Table 3.14 continued.
costs per trade 0% 0.10% 0.25% 0.50% 0.75%
Data set α β α β α β α β α β
INTERNATIONAL PAPER 0.000675a 0.932 0.000106 0.927 -2.36E-05 0.83 -0.000118 0.973 -0.000164 1.134
J.P. MORGAN CHASE & CO. 0.001124a 0.792b 0.000496c 0.791b 0.000345 0.819c 0.000294 0.819c 0.000243 0.819c
JOHNSON & JOHNSON 0.000795a 0.769a 0.000328 0.746b 0.000277 0.746b 0.000193 0.746b 0.000148 1.183a
MCDONALDS 0.000597b 0.893 0.000292 0.711a 0.000273 0.711a 0.000241 0.711a 0.000209 0.711a
MERCK 0.000814a 0.848 0.000412c 0.916 0.000329 0.887b 0.000316 0.888b 0.000303 0.888b
MICROSOFT 0.001735a 0.891 0.001111a 1.063 0.001057a 1.062 0.000924a 1.200a 0.000917a 1.201a
MINNESOTA MNG. & MNFG. 0.000536a 0.896 0.000398b 0.896 0.000191 0.897 -4.32E-06 0.882 -8.67E-05 0.882
PHILIP MORRIS 0.000420b 0.702a 0.000398b 0.702a 0.000364c 0.702a 0.000310c 0.915b 0.000308c 0.915b
PROCTER & GAMBLE 0.000494b 0.821b 0.000156 0.617a 0.000133 0.636a 0.0001 0.636a 7.45E-05 0.954
SBC COMMUNICATIONS 0.000602b 0.577a 0.000543b 0.577a 0.000455c 0.577a 0.000308 0.578a 0.00011 1.121
SEARS, ROEBUCK & CO. 0.000513b 0.88 0.000155 0.714a 0.000153 0.715a 0.00015 0.715a 0.000146 0.716a
UNITED TECHNOLOGIES 0.001255a 0.868 0.000474b 0.648a 0.000437b 0.648a 0.000375b 0.648a 0.000314c 0.648a
WAL - MART STORES 0.001106a 1.119 0.000854a 1.118 0.000670b 1.192c 0.000666b 1.192c 0.000663b 1.192c
WALT DISNEY 0.000983a 0.93 0.000253 0.731c 0.000252 0.731c 0.00025 0.731c 0.000248 0.731c

Table 3.16: Testing for predictive ability: Sharpe ratio criterion. Nominal (pn), White's (2000) Reality Check (pW) and Hansen's (2001) Superior Predictive Ability (pH) p-values, when strategies are ranked by the Sharpe ratio criterion, for the full sample period 1973:1-2001:6 in the case of 0 and 0.10% costs per trade and for the subperiods 1973:1-1986:12 and 1987:1-2001:6 in the case of 0 and 0.25% costs per trade.

period 1973:1-2001:6 1973:1-1986:12 1987:1-2001:6
costs per trade 0% 0.10% 0% 0.25% 0% 0.25%
Data set pn pW pH pn pW pH pn pW pH pn pW pH pn pW pH pn pW pH
DJIA 0 0.21 0.06 0.05 1 0.46 0 0.24 0.05 0.01 0.97 0.26 0 0.93 0.28 0.04 1 0.7
ALCOA 0 0.02 0 0 0.86 0.04 0 0.02 0 0 0.98 0.29 0 0.93 0.12 0 1 0.37
AMERICAN EXPRESS 0 0.54 0.06 0 0.99 0.44 0 0.02 0 0 0.99 0.29 0 1 0.56 0 1 0.52
AT&T 0 1 0.47 0 1 0.46 0.02 0.71 0.21 0.05 1 0.41 0 1 0.69 0 1 0.64
BETHLEHEM STEEL 0 0.18 0.05 0 0.55 0.14 0 0.03 0.02 0 0.72 0.35 0 0.82 0.36 0 0.91 0.35
BOEING 0 0.74 0.01 0 1 0.77 0 0.94 0.01 0 1 0.8 0.01 0.99 0.23 0 1 0.68
CATERPILLAR 0 0.04 0.01 0 0.42 0.04 0 0.02 0.01 0 0.88 0.27 0 0.91 0.16 0 1 0.3
CHEVRON - TEXACO 0.01 0.49 0.04 0 0.98 0.17 0 0.02 0 0 0.99 0.25 0 1 0.26 0 1 0.28
CITIGROUP 0 1 0.24 0 1 0.3             0 1 0.24 0 1 0.33
COCA - COLA 0 0.66 0.06 0.02 1 0.22 0 0.36 0.06 0.02 0.97 0.3 0 1 0.81 0 1 0.51
E.I. DU PONT DE NEMOURS 0.01 0.79 0.15 0 0.97 0.27 0 0.24 0.06 0.01 0.99 0.58 0 0.69 0.03 0 1 0.56
135