Table 4.15 continued.
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 KLM 0.000336 0.746a -0.000104 0.904 0.000493 0.713a -0.000205 0.935 KON. PTT NED. 0.000539 0.843 0.000164 1.074 0.00084 0.751b -2.57E-05 0.638a KPN 0.00245 1.706b 0.0023 2.244a 0.003785c 1.731b 0.001819 1.705c KPNQWEST -0.00421 1.182 -0.004448 1.174 -0.000803 0.647 -0.001073 0.636 VAN DER MOOLEN 0.001618a 0.811b 0.001064c 0.837c 0.001406a 0.662a 0.000632 0.810b NAT. NEDERLANDEN 0.000818c 0.639a 1.36E-05 0.549a 0.000929b 0.506a 0.000358 0.577a NEDLLOYD 0.001282a 0.639a 9.88E-05 0.647a 0.001015b 0.578a 0.000175 0.622a NMB POSTBANK 0.001547a 0.491a 0.000611 0.529a 0.000880b 0.481a 0.00072 0.417a NUMICO 0.001061a 0.504a 0.000558 0.558a 0.001020a 0.450a 0.000436 0.484a OCE 0.001104a 0.553a 0.000521 0.679a 0.001301a 0.533a 8.51E-05 0.630a PAKHOED 0.000508 0.540a 0.000243 0.569a 0.000617c 0.538a -5.79E-05 0.771b PHILIPS 0.001068a 1.025 -1.57E-05 1.203 0.000580c 0.94 0.00014 1.083 POLYGRAM 0.000849c 0.495a -0.000475 0.657a 0.000219 0.766a -0.000175 0.694a ROBECO 0.000681a 0.413a 0.000106 0.470a 0.000670a 0.369a 5.77E-06 0.415a ROYAL DUTCH 0.00035 0.493a 0.000184 0.528a 0.000452b 0.484a 9.14E-05 0.532a STORK 0.000525 0.834 -0.000206 0.568a 0.000550c 0.580a -0.000235 0.490a TPG 0.001137 0.450a 0.000209 0.568a 0.001019 0.571a 0.000232 0.374a UNILEVER 0.000264 0.370a -5.50E-05 0.402a 0.000269 0.403a -7.37E-05 0.399a UPC -0.001767 0.736 0.000276 0.071a -0.001142 1.158 -0.00182 0.301a VEDIOR -0.000718 0.467a -0.001119 0.548a 0.00023 0.689c 0.000203 0.703c VENDEX KBB 0.000876 0.464a 2.81E-05 0.632a 0.000891 0.363a 0.000519 0.480a VERSATEL 0.00177 0.598 0.001552 0.594 0.000621 0.485 0.000526 0.579 VNU 0.001359a 0.700a 0.000422 0.846c 0.001129a 0.825b 0.000225 0.795a WESSANEN 0.000706b 0.602a -0.000231 0.520a 0.000541c 0.546a -6.58E-05 0.552a WOLTERS KLUWER 0.000978a 0.542a -6.04E-05 0.799c 0.000873a 0.507a -7.49E-05 0.602a
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