Table 3.21 continued.
Panel A Panel B selection criterion Mean return Sharpe ratio costs per trade 0% 0.10% 0% 0.10% Data set α β α β α β α β MINNESOTA MNG. & MNFG. 0.000259 0.841 -4.50E-06 0.855 0.000168 0.915 2.04E-05 0.904 PHILIP MORRIS 0.000343 0.822 0.000254 0.815 0.000580b 0.688a 0.000580b 0.680a PROCTER & GAMBLE 0.000123 0.982 4.05E-05 1.028 7.88E-05 0.647a -0.000105 0.658a SBC COMMUNICATIONS 0.000413 0.682a 2.75E-05 0.701a 0.000226 0.776a 4.89E-05 0.763a SEARS, ROEBUCK & CO. 0.000183 0.824c -9.44E-07 0.85 0.000203 0.864 0.000185 0.861 UNITED TECHNOLOGIES 0.000764a 0.897 0.000334 0.834 0.000944a 0.881 0.000334 0.780c WAL - MART STORES 0.000574 1.307a 0.000496 0.968 0.000633c 0.887 0.000514 0.89 WALT DISNEY 0.000793b 0.723b 0.000403 0.776c 0.000882a 0.814b 0.000416 0.683a
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