Notes: 1. t-statisties test the null hypothesis that the mean return is equal to zero.
2. F-statistics test the null hypothesis that the mean returns are equal across all months of year.
Table 6.7 Average daily returns by month in the sector indexes
F-stat.
0.9477
1.0622
0.5572
1.1062
1.1119
0.6850
0.3925
0.6404
0.9233
1.3645
0.9700
Dec.
-0.0045
-0.0040
-0.0033
-0.0037
-0.0033
-0.0044
-0.0045
-0.0069
-0.0062
-0.0061
-0.0037
Nov.
0.0002
0.0021
0.0033
0.0022
0.0027
-0.0003
0.0011
-0.0002
-0.0018
0.0012
-0.0004
Oct.
-0.0006
-0.0020
-0.0013
-0.0016
-0.0013
0.0033
0.0036
0.0032
0.0038
**0.0103
-0.0009
Sep.
-0.0002
-0.0008
0.0003
-0.0004
-0.
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