V.10:7 (287-290): SIDEBAR: T-TEST RETURNS
Product Description
T-TEST RETURNS
For each of the 10 trading strategies, Article Figure 2 presents the mean quarterly net returns, the standard deviation of these returns, the results of the t-test, the autocorrelation coefficient (the column titled Auto contains the estimated values of the correlation coefficient between adjacent returns), and the value of the Shapiro-Wilkes statistic (the column titled S-W). The Shapiro-Wilkes test statistic is bounded between 0 and 1, with small values cause for rejection of the null hypothesis; the distribution of the Shapiro-Wilkes test statistic is right-skewed and, thus, even relatively large values can lead to rejection. The seven trading strategies in Article Figure 2 that are marked with a single asterisk are characterized by statistical significance at the 5% level.
For each of the 10 trading strategies, Article Figure 2 presents the mean quarterly net returns, the standard deviation of these returns, the results of the t-test, the autocorrelation coefficient (the column titled Auto contains the estimated values of the correlation coefficient between adjacent returns), and the value of the Shapiro-Wilkes statistic (the column titled S-W). The Shapiro-Wilkes test statistic is bounded between 0 and 1, with small values cause for rejection of the null hypothesis; the distribution of the Shapiro-Wilkes test statistic is right-skewed and, thus, even relatively large values can lead to rejection. The seven trading strategies in Article Figure 2 that are marked with a single asterisk are characterized by statistical significance at the 5% level.
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