Table 4.15: Estimation results CAPM for best out-of-sample testing procedure. 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 0.000371b 0.99 -5.39E-05 1.082   0.000493a 0.730a 7.98E-05 0.846c
ABN 0.000663c 0.662b 0.000467 0.637b   0.000366 0.546a 0.00014 0.651b
AMRO 0.001047b 0.525a 0.0005 0.522a   0.000736c 0.412a 0.000467 0.523a
ABN AMRO 0.000935b 0.879c 0.00036 1.074   0.000627c 0.898c 0.000242 0.949
AEGON 0.001116a 1.005 0.000746b 1.062   0.001038a 0.687a 0.000602b 0.866
AHOLD 0.000972a 0.816b 0.000699b 0.876   0.000789a 0.610a 0.00044 0.696a
AKZO NOBEL 0.001397a 0.624a 0.000168 0.728a   0.001022a 0.558a 0.000432 0.768a
ASML 0.001011 1.556a 0.002076 1.489a   0.000959 1.497a 0.000337 1.431b
BAAN -0.00158 0.958 -0.00172 0.909   -6.01E-05 0.685b -0.001048 0.693b
BUHRMANN 0.000956b 0.831b 0.000248 1.045   0.000759b 0.621a 0.000157 0.856b
CETECO -0.000523 0.259a -0.001442 0.291a   -0.000159 0.290a -0.001581 0.094a
CMG 0.002969b 1.181 0.001839 1.176   0.003175b 0.919 0.001406 0.921
CORUS 0.004795c 0.616c 0.004226 0.560c   0.005136c 0.626c 0.004563 0.635
CSM 0.000537b 0.360a 8.29E-05 0.441a   0.000593b 0.355a 0.000248 0.387a
DAF -0.005082c 1.422 -0.006421b 1.497   -0.002042 1.373 -0.001437 1.566
DSM 0.001089a 0.524a 0.00029 0.522a   0.000981a 0.464a 0.000113 0.607a
REED ELSEVIER 0.000846a 0.722a 7.95E-06 0.964   0.000466 0.816a 3.84E-05 1.091
FORTIS 0.000785a 0.764a -3.76E-05 0.97   0.000564b 0.699a -2.84E-05 0.911c
GETRONICS 0.001028b 0.678a 0.000432 0.739b   0.001171a 0.708a 0.000665 0.965
GIST BROCADES 0.00016 0.714a -0.00016 0.697a   0.000365 0.645a -5.60E-05 0.656a
GUCCI 0.001627 0.570a 0.001947c 0.838   0.002076b 0.473a 0.001732c 0.488a
HAGEMEYER 0.001091a 0.726a 0.000434 0.617a   0.001156a 0.553a 0.000326 0.607a
HEINEKEN 0.000728a 0.615a 6.66E-05 0.689a   0.000966a 0.527a -6.22E-05 0.551a
HOOGOVENS 0.001074b 0.943 0.000437 0.89   0.001159a 0.818c 0.000258 0.779a
ING 0.000900b 1.01 0.000143 1.236c   0.000820b 0.881c 0.000193 0.954
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