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 UNILEVER 0.000606b 0.519a 0.000578b 0.518a 0.000476b 0.427a 0.000451b 0.532a UPC -1.37E-08a 1.38E-08a -1.37E-08a 1.38E-08a -1.37E-08a 1.38E-08a -1.37E-08a 1.38E-08a VEDIOR 0.001478 0.302a 0.001198 0.306a 0.001478 0.302a 0.001198 0.306a VENDEX KBB 0.001724b 0.426a 0.001172b 0.558a 0.001724b 0.426a 0.001169c 0.560a VERSATEL 0.002604 1.086 0.00211 1.085 0.002604 1.086 0.00211 1.085 VNU 0.001604a 0.752a 0.000803a 0.838b 0.001604a 0.752a 0.000803a 0.838b WESSANEN 0.000877a 0.629a 0.000363 0.622a 0.000877a 0.629a 0.000363 0.622a WOLTERS KLUWER 0.001325a 0.585a 0.000590c 0.747a 0.001325a 0.585a 0.000473b 0.635a
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