http://clevelandfed.org/research/workpaper
Best available copy
Table 1: Mean Daily Returns for MV and PR Portfolios
(Basis Points)
|
MVl |
MV2 |
MV3 |
MV4 |
MV5 |
MV6 |
MV7 |
MV8 |
MV9 |
MVlO |
F-TEST MVl = ...=MVlO | |
|
SAMPLEa |
0.0520 |
0.0511 |
0.0472 |
0.0470 |
0.0405 |
0.0413 |
0.0400 |
0.0313 |
0.0307 |
0.0192 |
F(9,51190) = 0.837 |
|
ADJ YEARb |
0.0245 |
0.0294 |
0.0278 |
0.0296 |
0.0244 |
0.0273 |
0.0281 |
0.0214 |
0.0222 |
0.0131 |
F(9,49190) = 0.133 |
|
TOYc |
0.7282 |
0.5839 |
0.5232 |
0.4729 |
0.4368 |
0.3856 |
0.3313 |
0.2736 |
0.2398 |
0.1703 |
F(9,1990) = 5.819+ |
|
PRE-YRNDd |
0.3286 |
0.3526 |
0.3408 |
0.3033 |
0.2966 |
0.3285 |
0.2994 |
0.3079 |
0.2761 |
0.2494 |
F(9,99O) = 0.179 |
|
PST-YRNDe |
1.1278 |
0.8151 |
0.7057 |
0.6425 |
0.5771 |
0.4427 |
0.3632 |
0.2393 |
0.2036 |
0.0913 |
F(9,99O) = 7.141+ |
|
PRl |
PR2 |
PR3 |
PR4 |
PR5 |
PR6 |
PRZ |
PR8 |
PR9 |
PRlO |
F-TEST PRl=...=PRlO | |
|
SAMPLE |
0.0521 |
0.0418 |
0.0479 |
0.0472 |
0.0431 |
0.0411 |
0.0329 |
0.0337 |
0.0325 |
0.0297 |
F(9,5H90) = 0.458 |
|
ADJ YEAR |
0.0179 |
0.0180 |
0.0279 |
0.0301 |
0.0280 |
0.0280 |
0.0225 |
0.0244 |
0.0263 |
0.0256 |
F(9,49190) = 0.140 |
|
TOY |
0.8943 |
0.6278 |
0.5410 |
0.4667 |
0.4148 |
0.3618 |
0.2890 |
0.2615 |
0.1863 |
0.1304 |
F(9,1990) = 9.762' > |
|
PRE-YRND |
0.4647 |
0.3083 |
0.3601 |
0.3511 |
0.3061 |
0.3070 |
0.2519 |
0.2677 |
0.2461 |
0.2374 |
F(4,495) = 1.038 7 |
|
PST-YRND |
1.3420 |
0.9472 |
0.7213 |
0.5822 |
0.5237 |
0.4165 |
0.3262 |
0.2552 |
0.1265 |
0.0233 |
F(4,495) = 10.446' |
a. SAMPLE = sample period: 5,120 observations.
b. ADJ YEAR = adjusted-year period: 4,920 observations.
c. TOY = turn-of-the-year period: 200 observations.
d. PRE-YRND = pre-yearend period: 100 observations.
e. PST-YRND = post-yearend period: 100 observations.
* Significant at 5%.
Significant at 1%.
More intriguing information
1. Spectral calibration of exponential Lévy Models [1]2. Analyse des verbraucherorientierten Qualitätsurteils mittels assoziativer Verfahren am Beispiel von Schweinefleisch und Kartoffeln
3. Visual Artists Between Cultural Demand and Economic Subsistence. Empirical Findings From Berlin.
4. Subduing High Inflation in Romania. How to Better Monetary and Exchange Rate Mechanisms?
5. Education Responses to Climate Change and Quality: Two Parts of the Same Agenda?
6. The name is absent
7. The name is absent
8. Performance - Complexity Comparison of Receivers for a LTE MIMO–OFDM System
9. Studies on association of arbuscular mycorrhizal fungi with gluconacetobacter diazotrophicus and its effect on improvement of sorghum bicolor (L.)
10. Do Decision Makers' Debt-risk Attitudes Affect the Agency Costs of Debt?