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



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 Entry
2. 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