Results Table III presents the mean monthly returns and the risk adjusted

Results table iii presents the mean monthly returns

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Results Table III presents the mean monthly returns and the risk-adjusted performances of the NYSE stocks and Table IV the results for the AMEX stocks. Table V presents the results for the combined exchanges. Each line of each table represents the performance of a set of securities purchased on March 31 of the year following the December 31 screen and sold either two years later or upon 50 per cent price appreciation.7 Table IIIindicates that use of any of the three screens on NYSE securities would have almost invariably provided raw returns in excess of the market return. Use of criteria (1) and (6) would have resulted in excess risk-adjusted returns. The performance estimates for the years prior to publication of the criteria indicate positive excess returns that are both statistically and economically significant. The smallest of the four-1.32 per cent per month-annualizes to an excess rereturn of 17 per cent per year. Both the size and the significance of the excess re- turns decline after publication. Only the 1979 screen provided statistically significant excess returns, but excess returns for the other years remained positive, and even the 0.37 per cent per month excess return for 1978 amounts to a risk-adjusted excess annual return of 4.5 per cent. For the most part, criteria (3) and (6) and (1), (3) and (6) provided large significant excess returns prior to publication, but mixed results subsequent to publication. The first two columns of Table III indicate that the selected securities were not in general those of small firms. It is thus unlikely that the excess returns detected were the result of a small firm effect. The equation was nevertheless reformu- lated to test for this possibility.8 The results parallel the earlier findings: Screens of criteria (1) and (6) provided significant pre and post- publication excess returns after adjustment for size effects;screens of criteria (3) and (6) and (1), FINANCIAL ANALYSTS JOURNAL / SEPTEMBER-OCTOBER 1984 O 70
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Table IV Performance Measures for the AMEX Screens Mean Median Firm Firm Raw Returns Risk-Adjusted Measures Risk and Size-Adjusted Measures Holding (millions of R1., Rmt tVi,tf) R2 d t() Period dollars) (% monthly) ci (%) t(a)A3t/) R % () ( (3 (x 1000) t(S)b R2 4/74-3/76 18.2 8.3 2.02 0.94 1.23 2.37** 1.18 16.12 0.264 7.69 1.71 1.17 16.07 - 1.62 - 1.44 0.266 4/75-3/77 46.7 10.9 3.56 1.23 1.61 2.86** 1.18 9.89 0.164 0.54 0.14 1.18 9.89 0.25 0.29 0.164 4/76-3/78 16.8 12.0 1.83 0.05 1.59 3.59** 0.63 4.00 0.025 8.42 1.52 0.62 3.98 -1.70 -1.24 0.027 ~..~4/77-3/79 19.2 13.9 2.45 0.83 1.81 4.22** 1.09 9.60 0.147 6.14 1.31 1.09 9.58 - 1.05 - 0.93 0.148 U ..4/78-3/80 24.4 11.9 2.62 1.24 0.60 1.03 1.46 12.35 0.217 9.85 1.73 1.45 12.27 - 2.24 - 1.63 0.221 4/79-3/81 18.7 12.3 3.09 1.92 1.09 2.07** 1.10 9.97 0.154 - 2.24 -0.34 1.10 9.97 0.81 0.51 0.155 4/80-12181 84.0 11.7 5.12 1.50 2.21 1.95* 1.06 4.14 0.106 11.42 1. 74* 1.04 4.08 - 2.12 - 1.42 0.119 4/74-3/76 79.3 10.5 1.87 0.94 1.15 2.75** 0.94 16.10 0.266 6.44 2.29** 0.93 16.09 - 1.27 - 1.91* 0.270 4/75-3/77 32.3 15.0 3.64 1.23 1.93 3.86** 1.01 9.45 0.144 11.90 2.94** 1.00 9.39 - 2.37 - 2.48** 0.154 ~ .4/76-3/78 47.0 15.5 1.32 0.05 1.04 3. 00** 0.40 3.33 0.017 5.20 I.93* 0.40 3.31 - 0.98 - 1.56 0.021 4/77-3/79 83.6 21.7 1.55 0.83 0.89 2.66** 0.69 8.22 0.097 4.55 1.95* 0.69 8.24 - 0.83 - 1.59 0.100 U ~.4/78-3/80 47.3 14.5 2.90 1.24 1.23 2.49** 0.97 9.45 0.152 1.37 0.36 0.97 9.44 - 0.03 -0.04 0.152 4/79-3/81 62.7 16.7 3.11 1.92 1.16 2.28** 1.07 10.03 0.195 1.73 0.42 1.07 10.01 - 0.13 - 0.14 0.195 4/80-12/81 163.1 18.6 2.30 1.50 0.96 1.15 0.31 1.65 0.016 1.53 0.31 0.31 1.65 - 0.13 - 0.12 0.017 ~ -4/74-3/76 44.3 9.8 1.99 0.94 1.24 3.00** 0.90 15.42 0.252 6.25 1.99** 0.90 15.41 - 1.22 -1.61 0.255 4/75-3/77 50.4 13.2 3.17 1.23 1.45 3.08** 1.01 10.11 0.163 7.83 2.18** 1.01 10.05 - 1.50 - 1.80* 0 168 4/76-3/78 68.9 20.1 1.45 0.05 1.16 2.74*'* 0.41 2.77 0.019 5.62 1. 70* 0.41 2.75 - 1.03 - 1.36 0.024 U ~ 4/77-3/79 106.3 25.2 2.03 0.83 1.40 2.44** 0.87 5.79 0.137 14.20 3.25** 0.88 5.95 - 2.82 - 2.96** 0.171 4/78-3/80 20.8 9.4 4.60 1.24 2.67 2.90** 1.05 5.39 0.195 -6.64 -0.77 1.05 5.41 2.29 1.09 0.203 4/79-3/81 27.2 14.8 3.06 1.92 1.08 1.25 1.11 6.13 0.198 0.42 0.05 1.11 6.11 0.16 0.08 a, 190 *Significant at 10 per cent level.
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