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

ɑɪ

α₂

α₃

Bl

B₂

B₃

R²

MV1

.00133*

(.OOO66)^a

.00999⁺

(.00064)

.00016

(.00009)

.01084

(.09571)

.46875⁺

(.07072)

.66124⁺

(.01148)

.4352

MV2

.00115*

(.00059)

.00675⁺

(.OOO56)

.00019*

(.00008)

.04291
(.08460)

.36867⁺

(.06251)

.78742⁺

(.01015)

.5664

MV3

.00092

(.00053)

.00569⁺

(.00051)

.00017*

(.00007)

.08644

(.07600)

.30872⁺

(.05616)

.83474⁺

(.00911)

.6417

MV4

.00057

(.00047)

.00500⁺

(.00046)

.00018⁺

(.00006)

.03636

(.06841)

.28919⁺

(.05054)

.90557⁺

(.00820)

.7199

MV5

.00062

(.00043)

.00441⁺
(.00041)

.00013*

(.00006)

-.02335

(.06216)

.27277⁺

(.04593)

.9199O⁺

(.00745)

.7583

MV6

.00099*

(.00039)

.00305⁺

(.00037)

.00015⁺

(.00005)

-.05582

(.05584)

.24410⁺

(.04126)

.92876⁺

(.00670)

.8001

MV7

.00071*

(.00034)

.00232⁺

(.00033)

.00017⁺

(.00005)

-.06980

(.04912)

.20426⁺

(.03629)

.89398⁺

(.00589)

.8266

MV8

.00086⁺

(.00028)

.00121⁺

(.00027)

.00010*

(.00004)

-.07086

(.04109)

.12363⁺

(.03036)

.91750⁺

(.00493)

.8768

MV9

.00043

(.00023)

.00089⁺

(.00022)

.0001O⁺

(.00003)

-.03605

(.03361)

.07418⁺

(.02483)

.91944⁺

(.00403)

.9142

MVIO

.00014

(.00013)

-.00012

(.00012)

.00001
(.00002)

-.04253*

(.01830)

.01550

(.01372)

.96933⁺

(.00219)

.9755

a. Standard

error ( ).