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

<Xl

O₂

ɑɜ

β,

β₂

β₃

R²

PRl

.00218⁺

(.00075)^a

.01178⁺

(.00072)

.00008

(.00010)

.12956

(.10834)

.54036⁺

(.08005)

.78469⁺

(.01299)

.4598

PR2

.00045

(.00059)

.00805*

(.00057)

.00007

(.00008)

.12682

(.08547)

.40242⁺

(.O6312)

.89180⁺

(.01024)

.6223

PR3

.00087

(.00050)

.OO573⁺

(.00057)

.00017*

(.00007)

.10083

(.07254)

.35123⁺

(.05360)

.90863⁺

(.00870)

.6994

PR4

.00096*

(.00439)

.00439⁺

(.00042)

.00019⁺

(.00006)

.02874

(.06341)

.29763⁺

(.04866)

.89472⁺

(.00760)

.7447

PR5

.00084*

(.00038)

.00388⁺

(.00037)

.00017⁺

(.00005)

-.03098

(.05515)

.28262⁺

(.04075)

.87628⁺

(.00661)

.7864

PR6

.00101⁺

(.00034)

.00290⁺
(.00033)

.00017⁺

(.00005)

-.06247

(.04929)

.20376⁺

(.03642)

.84463⁺

(.00591)

.8092

PR7

.00044

(.00031)

.OO2O7⁺
(.00030)

.00012⁺

(.00004)

-.05415

(.04456)

.19311⁺

(.03293)

.83231⁺

(.00534)

.8339

PR8

.00057*

(.00028)

.00138⁺

(.00027)

.00013⁺

(.00004)

-.06468

(.04088)

.13824⁺

(.03020)

.85072⁺

(.00490)

.8610

PR9

.00030

(.00027)

.00011

(.00026)

.00015⁺

(.00004)

-.09634*

(.03895)

.07426⁺

(.02878)

.88358⁺

(.00467)

.8796

PRlO

.00009

(.00023)

-.00084⁺

(.00022)

.00013⁺

(.00003)

-.13239⁺

(.O3266)

-.05914*

(.02413)

.96367⁺

(.00392)

.9245

a. Standard

error ( ).