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

F-TEST: <Xι,ι = <Xι,2 = ∙∙∙∙ = <x,,ιo

F-TEST: <Xι,ι = <Xι,2 = ∙∙∙∙ = <*ι,s

MV Portfolios: F(9,5H9O) = 1.584
PR Portfolios: F(9,5119O) = 1.501

SIZE Portfolios: F(4,25595) = 0.071
PRICE Portfolios: F(4,25595) = 0.970

MVPR Portfolios: F(4,25595) = 2.192

F-T'EST: <X2,1 = =2,2 = ∙∙∙∙ = <X2,1O

F-TEST: α₂,∣ = <X2,2 = ∙∙∙∙ = α₂,s

MV Portfolios: F(9,5H9O) = 70.073'

PR Portfolios: F(9,5119O) = 71.400⁺

SIZE Portfol ios: F(4,25595) = 17.233⁺
PRICE Portfol ios: F(4,25595) = 44.348'
MVPR Portfol ios: F(4,25595) = 109.542'

F-TEST: ʤ,i = <X3,2 = ∙∙∙∙ = <%3,ιo

F-TEST: cc3_j1 = <X3 ,2 = ∙∙∙∙ = ɑs,s

MV Portfol ios: F(9,51190> = 3.402^,
PR Portfolios: F(9,5119O> = 0.348

SIZE Portfol ios: F(4,25595) = 3.678^,
PRICE Portfolios: F(4,25595) = 1.528

MVPR Portfolios: F(4,25595) = 0.839

F-TEST: β,,, = Bi,2 = ∙∙∙∙ = β<,₁₀

F-TEST : β1,1 = Bi,2 = ∙∙∙∙ = β1,5

MV Portfolios: F(9,51190) = 0.695

PR Portfolios: F(9,51190) = 2.292*

SIZE Portfolios: F(4,25595) = 1.605
PRICE Portfol ios: F(4,25595) = 4.307⁺
MVPR Portfolios: F(4,25595) = 1.393

F-TEST: β2,1 - β, , = ∙∙∙∙ = β2,10

F-TEST: β₂,₁ = β₂,₂ = ∙∙∙∙ = B₂,5

MV Portfolios: F(9,51190) = 16.111'

PR Portfolios: F(9,51190) = 17.620'

SIZE Portfolios: F(4,25595) = 2.221
PRICE Portfol ios : F(4,25595) = 6.740^,
MVPR Portfol ios: F(4,25595) = 29.296'

F-TEST: β 3 _j1 =β_{3 2} = ∙∙∙∙ = β3,∣0

F-TEST: β₃,₁ = B₃,₂ =       = Вз,5

MV Portfolios: F(9,51190) = 134.923'

PR Portfol ios: F(9,5H9O) = 73.063'

SIZE Portfol ios: F(4,25595) = 183.451 ⁺
PRICE Portfol ios: F(4,25595) = 74.240⁺
MVPR Portfolios: F(4,25595) = 167.667'