Table 4.8 continued.
Panel A Panel B selection criterion Mean return Sharpe ratio costs per trade 0% 0.50% 0% 0.5% Data set α β α β α β α β CETECO 0.000398 0.150a 0.000341 0.151a 0.000398 0.150a 0.000298 0.161a CMG 0.002793b 0.967 0.002371a 0.702a 0.002417a 0.701a 0.002371a 0.702a CORUS 0.003574b 0.642b 0.003337c 0.639b 0.003202c 0.383a 0.003337c 0.639b CSM 0.000673b 0.449a 0.000483c 0.495a 0.000673b 0.449a 0.000386b 0.390a DAF 6.38E-05 0.448a -6.00E-08a 4.53E-08a 8.06E-05 0.7 -3.08E-06 0.698 DSM 0.001366a 0.541a 0.000682c 0.633a 0.001366a 0.541a 0.000677b 0.568a REED ELSEVIER 0.000807b 0.785a 0.000436 1.160a 0.000807b 0.785a 0.000436c 0.762a FOKKER -3.15E-08a 6.55E-08a -3.15E-08a 6.55E-08a -3.15E-08a 6.55E-08a -3.15E-08a 6.55E-08a FORTIS 0.001026a 0.825a 0.000341 1.103 0.001026a 0.825a 0.000335 0.649a GETRONICS 0.001581a 0.717a 0.000800b 0.565a 0.001581a 0.717a 0.000800b 0.565a GIST BROCADES 0.000495 0.587a 0.000273 0.740a 0.000495 0.583a 0.000273 0.740a GUCCI 0.001316 0.599a 0.001018 0.731b 0.001089 0.476a 0.001031 0.476a HAGEMEYER 0.001593a 0.618a 0.000566c 0.669a 0.001593a 0.618a 0.000566c 0.669a HEINEKEN 0.001005a 0.660a 0.000516b 0.476a 0.001005a 0.660a 0.000516b 0.476a HOOGOVENS 0.001565a 1.122c 0.000888b 0.855 0.001565a 1.122c 0.000888b 0.855 ING 0.001886a 1.016 0.000829b 1.144 0.001886a 1.016 0.000651b 0.97 KLM 0.000445 0.784a 0.000173 0.618a 0.000445 0.784a 0.000173 0.618a KON. PTT NED. 0.000845 0.738a 6.19E-05 1.341a 0.000845 0.738a 0.000128 0.819a KPN 0.003498b 1.786a 0.002349 1.775a 0.003498b 1.786a 0.001615 1.008 KPNQWEST 0.001679 0.842 0.001611 0.926 0.001679 0.842 0.001611 0.926 VAN DER MOOLEN 0.002127a 0.706a 0.001160b 0.762a 0.001989a 0.642a 0.001160b 0.762a NAT. NEDERLANDEN 0.001228a 0.577a 0.000494 0.671b 0.001228a 0.577a 0.000365 0.325a NEDLLOYD 0.001470a 0.782a 0.000805c 0.621a 0.001470a 0.782a 0.000805c 0.621a NMB POSTBANK 0.001215b 0.531a 0.000901c 0.507a 0.001203b 0.511a 0.000901c 0.507a NUMICO 0.001427a 0.523a 0.000921a 0.559a 0.001427a 0.523a 0.000921a 0.559a OCE 0.001257a 0.655a 0.000825a 0.491a 0.001257a 0.655a 0.000825a 0.491a PAKHOED 0.000721b 0.631a 0.000579c 0.611a 0.000600b 0.455a 0.000579c 0.611a PHILIPS 0.001616a 1.076 0.000788b 1.031 0.001616a 1.076 0.000788b 1.031 POLYGRAM 0.000932b 0.717a 0.000504 0.837b 0.000932b 0.717a 0.000504 0.837b ROBECO 0.000921a 0.438a 0.000394b 0.410a 0.000921a 0.438a 0.000350a 0.259a ROYAL DUTCH 0.000669a 0.571a 0.000474b 0.674a 0.000669a 0.571a 0.000474b 0.674a STORK 0.0007 0.807 0.000544c 0.558a 0.000712b 0.558a 0.000544c 0.558a TPG 0.000721 0.291a 0.000412 0.167a 0.000484 0.203a 0.000412 0.167a
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