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Table 2: Mean Daily Returns for SIZE, PRICE, and MVPR Portfolios
(Basis Points)
|
SIZEI |
SIZE2 |
SIZE3 |
SIZE4 |
SIZE5 |
F-TEST SIZEl=.. |
■.≈SIZE5 | |
|
SAMPLEa |
0.0548 |
0.0474 |
0.0399 |
0.0388 |
0.0269 |
F(4,25595) = |
0.864 |
|
ADJ YEARb |
0.0390 |
0.0290 |
0.0245 |
0.0276 |
0.01 54 |
F(4,24595) = |
0.585 |
|
TOYc |
0.4278 |
0.5002 |
0.4182 |
0.3141 |
0.3086 |
F(4,995) = |
1.550 |
|
PRE-YRNDd |
0.2954 |
0.331 2 |
0.31 97 |
0.3181 |
0.3073 |
F(4,495) = |
0.042 |
|
PST-YRNDe |
0.5605 |
0.6686 |
0.51 66 |
0.31 02 |
0.3099 |
F(4,495) = |
1.997 |
|
PRICE] |
PRICE2 |
PRICE3 |
PRICE4 |
PRICE5 |
F-TEST PRICE]=. |
.. ,=PRICE5 | |
|
SAMPLE |
0.0406 |
0.0478 |
0.0418 |
0.0348 |
0.0410 |
F(4,25595) = |
0.160 |
|
ADJ YEAR |
0.0123 |
0.0291 |
0.0280 |
0.0251 |
0.0346 |
F<4,24595) = |
0.513 |
|
TOY |
0.7376 |
0.5078 |
0.3827 |
0.2744 |
0.1994 |
F(4,995) = |
8.361' |
|
PRE-YRND |
0.4343 |
0.3862 |
0.3105 |
0.2510 |
0.2563 |
F(4,495) = |
1.038 |
|
PST-YRND |
1.0408 |
0.6295 |
0.4550 |
0.2978 |
0.1425 |
F(4,495) = |
8.054' |
|
M- |
M- |
M- |
M- |
M- |
F-TEST MVPRU.. |
.=MVPR5 | |
|
SAMPLE |
0.0505 |
0.0464 |
0.0425 |
0.0302 |
0.0246 |
F(4,25595) = |
0.934 |
|
ADJ YEAR |
0.0213 |
0.0283 |
0.0282 |
0.0203 |
0.0201 |
F(4,24595) = |
0.137 |
|
TOY |
0.7685 |
0.4923 |
0.3946 |
0.2741 |
0.1342 |
F(4,995) = |
10.494' |
|
PRE-YRND |
0.3597 |
0.3031 |
0.2968 |
0.2775 |
0.2307 |
F(4,495) = |
0.366 |
|
PST-YRND |
1.1773 |
0.6814 |
0.4923 |
0.2707 |
0.0378 |
F(4,495) = |
12.387' |
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%.
t Significant at 1%.
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