Table 4.7 continued.
Panel A Panel B selection criterion Mean return Sharpe ratio Data set 0% 0.10% 0.25% 0.50% 0.75% 1% 0% 0.10% 0.25% 0.50% 0.75% 1% UNILEVER 0.0737 0.0721 0.0698 0.0659 0.0619 0.0580 0.0047 0.0025 0.0022 0.0018 0.0017 0.0017 UPC 12.2299 12.2355 12.2439 12.2579 12.2720 12.2862 0.1288 0.1288 0.1288 0.1289 0.1289 0.1290 VEDIOR 0.6728 0.6498 0.6157 0.5604 0.5069 0.4551 0.0520 0.0506 0.0487 0.0454 0.0421 0.0388 VENDEX KBB 0.4594 0.2836 0.2824 0.2803 0.2782 0.2761 0.0456 0.0391 0.0389 0.0387 0.0384 0.0381 VERSATEL 18.0630 17.5873 16.8951 15.7960 14.7618 13.7890 0.1658 0.1646 0.1626 0.1595 0.1563 0.1531 VNU 0.3613 0.1797 0.1166 0.1154 0.1143 0.1131 0.0375 0.0174 0.0154 0.0152 0.0150 0.0148 WESSANEN 0.2736 0.1554 0.1263 0.1184 0.1107 0.1029 0.0426 0.0280 0.0232 0.0218 0.0203 0.0189 WOLTERS KLUWER 0.2585 0.0929 0.0564 0.0531 0.0498 0.0464 0.0309 0.0092 0.0072 0.0041 0.0035 0.0035 Average 1.5103 1.4049 1.3492 1.3038 1.2671 1.2332 0.0477 0.0388 0.0357 0.0339 0.0323 0.0311
Table 4.8: Estimation results CAPM. Coefficient estimates of the Sharpe-Lintner CAPM: rti-rtf=α + β (rtAEX-rtf) + εt. That is, the return of the best recursive optimizing and testing procedure, when selection is done in the optimizing period by the mean return criterion (Panel A) or by the Sharpe ratio criterion (Panel B), in excess of the risk-free interest rate is regressed against a constant and the return of the AEX-index in excess of the risk-free interest rate. Estimation results for the 0 and 0.50% 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.
Panel A Panel B selection criterion Mean return Sharpe ratio costs per trade 0% 0.50% 0% 0.50% Data set α β α β α β α β AEX 0.000527a 0.809b 0.000340b 0.996 0.000526a 0.767a 0.000340b 0.996 ABN 0.000734b 0.501a 0.000544c 0.372a 0.000734b 0.501a 0.000544c 0.372a AMRO 0.001014b 0.537a 0.000702c 0.494a 0.001014b 0.537a 0.000702c 0.494a ABN AMRO 0.001125a 0.954 0.000489c 1.086 0.001125a 0.954 0.000489c 1.086 AEGON 0.001309a 0.934 0.000672b 0.852c 0.001309a 0.934 0.000630a 0.797b AHOLD 0.000958a 0.875a 0.000618b 0.740a 0.000958a 0.875a 0.000618b 0.740a AKZO NOBEL 0.001414a 0.759a 0.00047 0.991 0.001414a 0.759a 0.000347 0.621a ASML 0.002888a 1.158 0.002722a 1.159 0.002888a 1.158 0.002722a 1.159 BAAN 0.000724 1.066 0.00116 0.226a 0.001289c 0.227a 0.00116 0.226a BUHRMANN 0.001383a 0.744a 0.000820a 0.442a 0.001383a 0.744a 0.000820a 0.442a
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