A Monthly Effect in Stock Returns
A Monthly Effect in Stock Returns
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469 . 0059 7. 49 . 313 . 0067 8. 4a^ . 260 . 0032 15. 18 , 184 . 0116 11. 81 . 332 . 0016 2. 01 . 276 . 0017 2. 16 . 173 . 0047 5. 95 -7- the period covered by the regression. This choice was confirmed by a Hildreth-Lu search in the vicinity of the chosen p. In all the regressions to be reported the Durbin-Watson test statistic falls between 1. 93 and 2. 01, indicating low auto-correlation of the residuals. In essence, regression (2) leads to a test for the difference of the mean return from th...ese two groups of days where there is dependence between 4 adjacent observations .
For both the equally weighted and value-weighted indices the results from the ordinary least squares regression are reported in Table 1 for the entire 1963-1981 period, and for four sub-periods. For both indexes for the 1963-1981 period the F-statistics for the regressions and the t-statistics for the coefficient on the dummy are all statistically significant at the . 0001 level. The monthly pattern in stock returns, therefore, is statistically significant.
What to read after A Monthly Effect in Stock Returns?
You can find similar books in the "Read Also" column, or choose other free books by Robert a Ariel to read onlineMoreLess
To quickly assess the difficulty of the text, read a short excerpt:
469 . 0059 7. 49 . 313 . 0067 8. 4a^ . 260 . 0032 15. 18 , 184 . 0116 11. 81 . 332 . 0016 2. 01 . 276 . 0017 2. 16 . 173 . 0047 5. 95 -7- the period covered by the regression. This choice was confirmed by a Hildreth-Lu search in the vicinity of the chosen p. In all the regressions to be reported the Durbin-Watson test statistic falls between 1. 93 and 2. 01, indicating low auto-correlation of the residuals. In essence, regression (2) leads to a test for the difference of the mean return from th...ese two groups of days where there is dependence between 4 adjacent observations .
For both the equally weighted and value-weighted indices the results from the ordinary least squares regression are reported in Table 1 for the entire 1963-1981 period, and for four sub-periods. For both indexes for the 1963-1981 period the F-statistics for the regressions and the t-statistics for the coefficient on the dummy are all statistically significant at the . 0001 level. The monthly pattern in stock returns, therefore, is statistically significant.
What to read after A Monthly Effect in Stock Returns?
You can find similar books in the "Read Also" column, or choose other free books by Robert a Ariel to read onlineMoreLess
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