Errors in recorded security prices and the turn-of-the year effect



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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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