Panel B: Big winner portfolios versus big losers portfolios
T
BW (%)
BW S.D (%)
BW Sharpe ratio (×100)
BL (%)
BL S.D (%)
BL Sharpe ratio (×100)
Difference in SD (%)
(%)
Difference in Sharpe ratio of BW and BL (×100)
1
3.69
5.31
0.64
1.85
4.54
0.34
0.78
1.85
(0.918)
0.30
(0.7294)
2
3.21
6.17
0.47
1.82
3.75
0.41
2.42
1.39
(0.671)
0.06
(0.1598)
3
3.55
6.24
0.52
2.18
4.19
0.45
2.05
1.37
(0.632)
0.07
(0.1756)
4
2.67
5.34
0.45
2.00
3.49
0.49
1.85
0.67
(0.358)
−0.04
(−0.1042)
5
3.29
5.83
0.51
2.68
2.72
0.88
3.11
0.61
(0.324)
−0.36
(−0.8851)
6
3.22
5.67
0.52
2.76
2.97
0.83
2.70
0.46
(0.249)
−0.31
(−0.7602)
7
2.19
5.74
0.33
2.25
3.32
0.59
2.42
−0.06
(−0.031)
−0.26
(−0.63)
8
1.79
5.34
0.28
2.48
3.75
0.58
1.60
−0.69
(−0.364)
−0.30
(−0.7353)
9
0.21
5.18
−0.02
1.81
4.46
0.34
0.72
−1.60
(−0.813)
−0.36
(−0.8747)
10
−1.05
6.79
−0.20
0.25
6.44
−0.01
0.35
−1.30
(−0.506)
−0.19
(−0.4936)
11
−0.77
7.54
−0.14
0.77
7.14
0.06
0.39
−1.54
(−0.547)
−0.21
(−0.5431)
12
−0.27
7.08
−0.08
0.75
6.07
0.07
1.02
−1.02
(−0.387)
−0.15
(−0.3878)
13
−0.28
7.93
−0.07
0.95
6.10
0.11
1.83
−1.23
(−0.433)
−0.18
(−0.4501)
14
1.32
6.72
0.15
2.33
5.41
0.37
1.30
−1.01
(−0.42)
−0.22
(−0.5658)
15
2.27
6.87
0.29
2.91
5.22
0.50
1.64
−0.64
(−0.26)
−0.21
(−0.5291)
16
2.00
7.16
0.24
3.45
4.51
0.70
2.66
−1.45
(−0.596)
−0.46
(−1.1306)
17
1.25
7.70
0.12
1.60
5.30
0.25
2.40
−0.35
(−0.129)
−0.12
(−0.2999)
18
0.87
7.77
0.07
1.34
5.71
0.18
2.06
−0.46
(−0.171)
−0.11
(−0.2712)
19
1.91
7.32
0.22
2.99
4.89
0.55
2.43
−1.08
(−0.435)
−0.33
(−0.8234)
20
0.06
8.50
−0.03
0.64
6.67
0.05
1.83
−0.57
(−0.182)
−0.08
(−0.1901)
21
1.52
6.71
0.18
1.32
5.90
0.17
0.81
0.20
(0.078)
0.01
(0.0219)
22
3.48
4.37
0.73
2.45
5.04
0.43
−0.67
1.03
(0.543)
0.30
(0.7481)
23
3.74
3.88
0.89
1.44
4.34
0.26
−0.45
2.31
(1.388)*
0.62
(1.5472)*
24
3.28
3.66
0.82
1.72
5.36
0.27
−1.71
1.56
(0.827)
0.55
(1.3518)*
25
2.93
5.70
0.46
1.59
5.54
0.23
0.16
1.34
(0.583)
0.23
(0.5585)
26
3.42
3.84
0.81
2.03
5.80
0.30
−1.96
1.39
(0.676)
0.52
(1.251)
27
2.63
5.91
0.39
1.30
4.80
0.21
1.12
1.34
(0.602)
0.19
(0.4496)
28
2.12
5.36
0.34
1.17
5.84
0.15
−0.47
0.95
(0.407)
0.19
(0.4579)
29
3.52
3.03
1.07
0.49
4.08
0.05
−1.05
3.03
(2.049)**
1.02
(2.469)***
30
3.87
2.21
1.62
2.29
3.17
0.63
−0.96
1.58
(1.488)
0.99
(2.5452)***
31
3.60
4.18
0.79
0.45
3.41
0.04
0.77
3.16
(2.106)**
0.75
(1.9038)**
32
3.16
3.95
0.73
1.13
4.32
0.19
−0.36
2.04
(1.262)
0.53
(1.3655)*
33
0.81
6.01
0.08
0.18
3.36
−0.03
2.64
0.62
(0.32)
0.12
(0.3003)
34
1.84
5.60
0.27
−0.12
4.27
−0.10
1.33
1.97
(0.995)
0.37
(0.948)
35
2.33
6.80
0.30
0.17
3.29
−0.04
3.51
2.15
(1.005)
0.34
(0.853)
36
1.42
8.14
0.14
0.05
3.33
−0.08
4.81
1.37
(0.545)
0.21
(0.534)
37
1.19
8.76
0.10
−0.48
3.02
−0.26
5.74
1.67
(0.627)
0.36
(0.912)
38
−0.01
8.03
−0.04
−1.35
2.90
−0.58
5.13
1.34
(0.549)
0.53
(1.328)*
39
−0.44
8.29
−0.09
−1.14
3.21
−0.45
5.08
0.70
(0.275)
0.36
(0.9066)
Average 1 - 39
1.89
6.09
0.35
1.33
4.56
0.23
1.5%
0.59
(1.674)**
0.12
(1.842)**