http://clevelandfed.org/research/workpaper
Best available copy
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%.
More intriguing information
1. Licensing Schemes in Endogenous Entry2. Putting Globalization and Concentration in the Agri-food Sector into Context
3. The name is absent
4. PEER-REVIEWED FINAL EDITED VERSION OF ARTICLE PRIOR TO PUBLICATION
5. Survey of Literature on Covered and Uncovered Interest Parities
6. The name is absent
7. Human Rights Violations by the Executive: Complicity of the Judiciary in Cameroon?
8. Subduing High Inflation in Romania. How to Better Monetary and Exchange Rate Mechanisms?
9. The name is absent
10. Financial Markets and International Risk Sharing