Table 3.13 continued.
period 1973:1-2001:6 1973:1-1986:12 1987:1-2001:6
Data set 0% 0.10% 0.25% 0.75% 0% 0.10% 0.25% 0.75% 0% 0.10% 0.25% 0.75%
WAL - MART STORES 0.0144 0.0052 0.0012 0.0008 0.0476 0.0380 0.0235 0.0064 0.0164 0.0076 0.0052 -0.0009
WALT DISNEY 0.0288 0.0092 0.0091 0.0089 0.0410 0.0183 0.0163 0.0158 0.0182 0.0174 0.0162 0.0123
Average 0.0258 0.0146 0.0112 0.0078 0.0509 0.0322 0.0240 0.0181 0.0229 0.0179 0.0153 0.0100

Table 3.14: Estimation results CAPM: 1973-2001, Sharpe ratio criterion. Coefficient estimates of the Sharpe-Lintner CAPM in the period January 1, 1973 through June 29, 2001: rti-rtf=α + β (rtDJIA-rtf) + εt. That is, the excess return of the best strategy, selected by the Sharpe ratio criterion, over the risk-free interest rate is regressed against a constant and the excess return of the DJIA over the risk-free interest rate. Estimation results for the 0, 0.10, 0.25, 0.50 and 0.75% costs per trade cases are shown. a, b, c indicates that the corresponding coefficient is, in the case of α, significantly different from zero, or in the case of β, significantly different from one, at the 1, 5, 10% significance level. Estimation is done with Newey-West (1987) heteroskedasticity and autocorrelation consistent (HAC) standard errors.

costs per trade 0% 0.10% 0.25% 0.50% 0.75%
Data set α β α β α β α β α β
DJIA 0.000539a 0.872c 0.000210b 0.837 0.000206b 0.837c 0.000199b 0.838c 0.000191c 0.839c
ALCOA 0.001299a 0.887 0.000677b 0.885 0.000158 0.738a 0.000188 1.207a 0.000177 1.207a
AMERICAN EXPRESS 0.000762a 1.150c 0.000352 1.06 0.000301 1.06 0.000215 1.061 0.000144 1.228a
AT&T 0.000125 0.681a 9.18E-05 0.681a 6.59E-05 0.87 6.05E-05 0.87 5.51E-05 0.87
BETHLEHEM STEEL 0.000417 0.829c 4.16E-05 0.434a -3.90E-05 0.868 -0.00017 0.867 -0.000301 0.867
BOEING 0.001248a 0.879 0.000540b 0.83 0.000496b 0.83 0.000422c 0.83 0.000444c 1.215a
CATERPILLAR 0.001245a 0.781b 0.000648b 0.773a 5.32E-05 1.264 -9.66E-05 1.263 -0.000178 1.195
CHEVRON - TEXACO 0.000630a 0.667a 0.000376 0.744a 0.000282 0.744a 0.000187 0.672a 0.000101 0.672a
CITIGROUP 0.001185a 1.114 0.001045a 0.926 0.000962a 1.701a 0.000947a 1.701a 0.000931a 1.701a
COCA - COLA 0.000651a 0.832b 0.000308c 0.782a 0.000307c 0.782a 0.000304c 0.783a 0.000301c 0.783a
E.I. DU PONT DE NEMOURS 0.000406c 0.872 0.000238 0.918 3.17E-05 0.816c -1.70E-05 1.108 -1.79E-05 1.108
EASTMAN KODAK -4.80E-05 0.918 -0.000114 0.918 -0.000212 1.431c -0.000222 1.431c -0.000232 1.431c
EXXON MOBIL 0.00029 1.027 0.000217 0.956 0.000211 0.956 0.000202 0.956 0.000193 0.956
GENERAL ELECTRIC 0.000499b 1.017 0.000307c 0.790c 0.000242c 0.988 0.000302 1.214 0.00028 1.215
GENERAL MOTORS 0.000264 0.861 0.000206 0.674a 0.000202 0.674a 0.000195 0.674a 0.000188 0.674a
GOODYEAR TIRE 0.000519c 0.789a 0.000234 0.603a 0.000232 0.604a 0.000229 0.605a 0.000226 0.606a
HEWLETT - PACKARD 0.000474c 1.083 0.000455c 1.083 0.000428c 1.083 0.000382 1.082 0.000336 1.082
HOME DEPOT 0.001339a 0.977 0.001082b 1.578c 0.000955b 1.102 0.000927b 1.102 0.000900b 1.103
HONEYWELL INTL. 0.000581c 0.611a 0.000554c 0.611a 0.000513c 0.611a 0.000445 0.611a 0.000377 0.612a
INTEL 0.000896b 1.096 0.000494 1.181b 0.000482 1.181b 0.000462 1.181b 0.000441 1.181b
INTL. BUS. MACH. 0.000294 0.772b 0.000214 0.772b 8.23E-05 0.916 0.000109 0.704a 0.000104 0.704a
134