A Monthly Effect in Stock Returns
A Monthly Effect in Stock Returns
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In our eReader you can find the full English version of the book. Read A Monthly Effect in Stock Returns Online - link to read the book on full screen. Our eReader also allows you to upload and read Pdf, Txt, ePub and fb2 books. In the Mini eReder on the page below you can quickly view all pages of the book - Read Book 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.
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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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