A: Local index as benchmark market portfolio Selection criterion: mean return costs α<0 α>0 β<1 β>1 α>0 ∧ α>0 ∧ β<1 β>1 0% 0 37 20 1 15 1 0.10% 0 29 21 1 11 0 0.25% 0 26 16 2 9 0 0.50% 3 16 17 2 6 0 0.75% 3 10 17 2 3 0 1% 4 7 13 3 2 0 Selection criterion: Sharpe ratio costs α<0 α>0 β<1 β>1 α>0 ∧ α>0 ∧ β<1 β>1 0% 0 40 39 0 30 0 0.10% 0 33 34 0 23 0 0.25% 1 28 36 1 20 0 0.50% 4 15 29 1 9 0 0.75% 6 9 26 0 5 0 1% 6 6 23 1 3 0 B: MSCI World Index as benchmark market portfolio Selection criterion: mean return costs α<0 α>0 β<1 β>1 α>0 ∧ α>0 ∧ β<1 β>1 0% 0 31 41 1 26 1 0.10% 0 24 40 0 21 0 0.25% 0 18 39 0 15 0 0.50% 2 7 40 1 6 0 0.75% 2 4 39 1 4 0 1% 3 1 38 3 1 0 Selection criterion: Sharpe ratio costs α<0 α>0 β<1 β>1 α>0 ∧ α>0 ∧ β<1 β>1 0% 0 33 45 0 28 0 0.10% 0 24 44 0 21 0 0.25% 0 17 42 0 16 0 0.50% 0 8 42 1 8 0 0.75% 0 2 42 0 2 0 1% 2 2 41 1 2 0
Table 5.17: Summary: significance CAPM estimates for best out-of-sample testing procedure. For each transaction cost case, the table shows the number of indices for which significant estimates are found at the 10% significance level for the coefficients in the Sharpe-Lintner CAPM. In panel A the local main stock market index and in panel B the MSCI World Index is taken to be the market portfolio in the CAPM estimations. Columns 1 and 2 show the number of indices for which the estimate of α is significantly negative and positive. Columns 3 and 4 show the number of indices for which the estimate of β is significantly smaller and larger than one. Column 5 shows the number of indices for which the estimate of α is significantly positive as well as the estimate of β is significantly smaller than one. Column 6 shows the number of indices for which the estimate of α is significantly positive as well as the estimate of β is significantly larger than one. Note that the number of indices analyzed is equal to 51.
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