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Unformatted text preview: 0.311 in the three different periods that are greater than 0.05. There is in sufficient evidence from the residuals to conclude that the normal distribution is unreasonable. When we split the sample into two halves, we can observe the similarity of coefficient for the January effect. From Jan 1990 to Dec 1994, the Jan coefficient becomes 0.0266. The second half of the data, from January 1995 to December 1999, we have a Jan coefficient of 0.0194. We can see immediately that Nike Incs first five years (0.0266) and the last five years (0.0194) both show a positive results in January. Therefore, there is evidence that January tens to give a higher return....
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This note was uploaded on 11/29/2010 for the course ECONOMICS 300400 taught by Professor Varies during the Spring '10 term at Cornell University (Engineering School).
 Spring '10
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