Table 4.9: Testing for predictive ability. Nominal (pn), White's (2000) Reality Check (pW) and Hansen's (2001) Superior Predictive Ability test (pH) p-values, if the best strategy is selected by the mean return criterion (Panel A) or if the best strategy is selected by the Sharpe ratio criterion, in the case of 0 and 0.10% costs per trade.

  Panel A   Panel B
selection criterion Mean return   Sharpe ratio
costs per trade 0% 0.10%   0% 0.10%
Data set pn pW pH pn pW pH   pn pW pH pn pW pH
AEX 0 0.93 0.08 0 1 0.28   0 0.77 0.08 0 0.96 0.25
ABN 0 0.65 0.36 0 0.9 0.59   0 0.42 0.13 0 0.52 0.12
AMRO 0 0.99 0.84 0 1 0.94   0 0.78 0.13 0 0.94 0.26
ABN AMRO 0 0.51 0.04 0 1 0.88   0 0.96 0.21 0 1 0.71
AEGON 0 0.26 0.06 0 1 0.94   0 0.77 0.03 0 1 0.45
AHOLD 0 0.47 0.15 0 0.99 0.64   0.01 0.88 0.12 0 0.98 0.19
AKZO NOBEL 0 1 0 0 1 0.4   0 0.01 0 0 0.57 0.02
ASML 0 1 0.96 0 1 0.96   0 0.98 0.02 0 0.98 0.02
BAAN 0.01 1 0.96 0 1 0.97   0 0.06 0.03 0 0.06 0.02
BUHRMANN 0 1 0.39 0 1 0.98   0 0.1 0 0 0.63 0.03
CETECO 0 1 0.51 0 1 0.51   0 0.45 0.01 0 0.46 0.01
CMG 0 1 0.99 0 1 1   0 0.63 0.05 0 0.61 0.03
CORUS 0 1 1 0 1 1   0.04 1 0.82 0 1 0.8
CSM 0.02 1 0.86 0 1 0.98   0.07 1 0.73 0 1 0.7
DAF 0 1 0.27 0 1 0.27   0 0.32 0.29 0 0.36 0.28
DSM 0 0.05 0 0 0.99 0.3   0 0.35 0.01 0 1 0.2
REED ELSEVIER 0.01 1 0.95 0 1 1   0.05 1 0.63 0.01 1 0.88
FOKKER 0.04 1 0.79 0.04 1 0.76   0.04 0.8 0.38 0.04 0.77 0.3
FORTIS 0 0.94 0.92 0 1 0.99   0 0.89 0.03 0 1 0.58
GETRONICS 0 1 0.29 0 1 0.79   0 0.24 0 0 0.78 0.08
GIST BROCADES 0 1 0.92 0 1 0.96   0 0.97 0.22 0 0.99 0.22
GUCCI 0.04 1 0.93 0 1 0.98   0 1 0.36 0 1 0.32
HAGEMEYER 0 1 0.91 0 1 0.96   0 0.22 0 0 0.96 0.04
HEINEKEN 0 0.31 0 0 1 0.78   0 0.7 0.03 0 1 0.43
HOOGOVENS 0 0.31 0 0 1 0.78   0 0.7 0.03 0 1 0.43
ING 0 0.99 0 0 1 0.34   0 0.32 0 0 1 0.12

KLM		 0 1 0.98 0 1 0.99   0 0.68 0.22 0 0.84 0.34
KON. PTT NED. 0.15 1 0.84 0 1 0.84   0.44 1 0.97 0.02 1 0.97
KPN 0 1 0.96 0 1 0.98   0 0.23 0.05 0 0.31 0.08
KPNQWEST 0 1 0.3 0 1 0.3   0 0.08 0.08 0 0.08 0.08
VAN DER MOOLEN 0 1 0.07 0 1 0.8   0 0.8 0 0 1 0.33
NAT. NEDERLANDEN 0 0.28 0.11 0 0.99 0.66   0 0.32 0.08 0.01 0.83 0.42
NEDLLOYD 0 1 0.13 0 1 0.65   0 0.16 0 0 0.55 0.02
NMB POSTBANK 0 0.66 0.12 0 0.85 0.24   0 0.71 0.15 0 0.89 0.25
NUMICO 0 1 0.4 0 1 0.95   0 0.88 0.05 0 1 0.32
OCE 0 1 0.38 0 1 0.86   0 0.1 0.01 0 0.17 0
PAKHOED 0 1 0.75 0 1 0.77   0 1 0.21 0 1 0.14
PHILIPS 0 1 0.01 0 1 0.52   0 0.1 0 0 0.87 0.03
POLYGRAM 0 0.86 0.12 0 1 0.58   0.03 0.99 0.39 0 1 0.73
ROBECO 0 0 0 0 0.75 0   0 0.02 0 0 0.74 0.02
ROYAL DUTCH 0.01 0.95 0.36 0 1 0.86   0.05 1 0.45 0 1 0.42
STORK 0.01 1 0.9 0 1 0.94   0 0.83 0.1 0 0.88 0.08
TPG 0 1 1 0 1 1   0 1 0.82 0 1 0.8
UNILEVER 0 1 0.87 0 1 0.82   0 1 0.85 0.04 1 0.92
UPC 0 1 0.1 0 1 0.1   0 0.06 0.02 0 0.06 0.03
VEDIOR 0 1 0.98 0 1 0.98   0 0.92 0.33 0 0.94 0.33
VENDEX KBB 0 1 0.94 0 1 0.99   0 0.94 0.27 0 0.98 0.34
VERSATEL 0 1 0.42 0 1 0.43   0 0.03 0.03 0 0.03 0.03
VNU 0 1 0.01 0 1 0.9   0 0.85 0 0.02 1 0.28
WESSANEN 0 0.96 0.02 0 0.99 0.62   0 0.06 0 0 0.62 0.19
WOLTERS KLUWER 0 1 0.89 0 1 1   0 1 0.03 0 1 0.64
179