IVOL1 THANG 1

IVOL1_RANK
0
1
2
3
4

IVOL1 THANG 1

The TTEST Procedure

Variable: XV_H_L

N
26

Mean
-0.0682

DF
25

Summary Panel for XV_H_L

Q-Q Plot for XV_H_L

IVOL1 THANG 1

Intercept
0.015058

IVOL1 THANG 1

Intercept
0.39907
IVOL1 THANG 1

Intercept
0.003093496

IVOL1 THANG 1

Intercept
0.080302

IVOL1 THANG 1

IVOL1_RANK
0
1
2
3
4

IVOL1 THANG 1

Intercept
0.015058

IVOL1 THANG 1

Intercept
0.39907
IVOL1 THANG 1

Intercept
0.003093496

IVOL1 THANG 1

Intercept
0.080302

IVOL1 THANG 1

Directory
Libref
Engine
Physical Name
Filename

#
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IVOL1 THANG2-12

IVOL1_RANK
0
1
2
3
4
IVOL1 THANG2-12

Intercept
-0.039974

IVOL1 THANG2-12

Intercept
-4.34206

IVOL1 THANG2-12

Intercept
-0.058328

IVOL1 THANG2-12

Intercept
-6.55559
 VWRET
0.026243
0.033272
0.024333
0.034742
0.037183

Procedure

Mean
-0.0682

95% CL Mean
-0.1256

t Value
-2.44

Panel for XV_H_L

or XV_H_L
VWRET
0.026243
0.033272
0.024333
0.034742
0.037183
THESIS
V9
E:\IVOL\KOREAN DATA FOR THESIS\SAS CODE FOR THESIS\kospi\data25112016\20161111_Thesis
E:\IVOL\KOREAN DATA FOR THESIS\SAS CODE FOR THESIS\kospi\data25112016\20161111_Thesis

Name
DAILYRETURN
DAILY_LOGRET
DAILY_RF
MONTHLYRETURN
MONTHLY_LOGRET
MONTHLY_RF
PASTOR2003
TEMP0
TEMP1
TEMP2
_001_EIVOL_1989_1996
_001_EIVOL_31012000_31072015
_001_EIVOL_31012013_31102016
_002_EIVOL_1996_2001
_003_EIVOL_2000_2010
_20160923_001_RETURN_D
_20160923_002_PRICE_D
_20160923_002_SHR_M
_20160923_002_SIZE_D
_20160923_003_PRICE_M
_20160923_003_RETURN_M
_20160923_004_SIZE_M
_20160923_005_VOLUME_M
_20160924_002_TSE_Y
_20160924_006_DISTING_D
_20160924_007_VOLUME_D
_20160924_009_ASSET_Y
_20160924_009_PS_Y
_20160924_010_BOOKEQ_Y
_20160924_011_SIZE6_Y
_20160924_012_BEME_Y
_20160924_013_FACCRIT_Y
_20160924_014_FACTOR_D
_20160924_015_3FACTOR_M
_20160924_015_5FACTOR_M
_20160924_015_FACTOR_M
_20160924_016_PORTCRIT_Y
_20160924_017_PORTFOLIO_D
_20160924_018_PORTFOLIO_M
_20160925_001_MARKET_D
_20160925_001_RPICE_D
_20160925_002_MARKET_M
_20160925_003_RISKFREE_D
_20160925_004_RISKFREE_M
_20160926_001_PREBETA6_Y
_20160926_002_PORTCRIT_Y
_20160926_003_POSTBETA_C
_20160926_004_POSTBETA_M
_20160927_001_IVOL_M
_20160928_001_EIVOL_M
_20160928_005_EIVOL_M
_20161006_001_RET_M
_20161006_002_WINRET_M
_20161006_003_IVOL_M
_20161006_004_EIVOL_M
_20161007_001_LOG_M
_20161007_002_PASTRET_M
_20161011_001_POOL_M
_20161011_001_POOL_M1
_20161011_001_POOL_M2
_20161011_001_POOL_M3
_20161101_001_FEIVOL_M2
_20161101_003_PORTFOLIO_M
_20161101_004_PRESULT_M
_20161126_001_EPORT_M
_20161126_001_LPORT_M
_20161126_001_MPORT_M
_20161126_002_EPRESULT_M
_20161126_002_LPRESULT_M
_20161128_001_HPORT_M
_20161128_001_LMW_M
_20161128_001_UMD_M
_20161128_001_WML_M
_20161128_002_HPRESULT_M
_20161128_002_LMW_M
_20161128_002_WML_M
_20161129_001_ANPHA_M
_20161129_001_RPORT_M
_20161129_002_ANPHA_M
_20161129_002_RPRESULT_M
_20170101_001_FULLPORT_M
_20170101_015_5FACTOR_M
_20170101_015_6FACTOR_M
_20170102_001_RPORT_M
_20170102_002_RPRESULT_M
_20170102_003_RPRESULT_M
_IVOL2
_IVOL3
_MOM
_MOM1
_MOM2
_MOM_BD
_MOM_BU
_MOM_RET
_MOM_SD
_MOM_SU
_PS2003
_TEMP0
_TEMP1
_TEMP2
_TEMP6

VWRET
0.003642968
0.004606031
0.00513387
0.003993577
-0.005497773
EWRET
0.024544
0.031043
0.031831
0.036253
0.035318

Std Dev Std Err Minimum Maximum

0.1422 0.0279 -0.49 0.1623

Std Dev 95% CL Std Dev

-0.0107 0.1422 0.1115 0.1963

Pr > |t|
0.0219
EWRET
0.024544
0.031043
0.031831
0.036253
0.035318
Member Type File Size Last Modified
DATA 159MB 11/28/2016 9:36
DATA 338MB 11/28/2016 20:50
DATA 320KB 11/29/2016 0:59
DATA 14MB 11/28/2016 9:36
DATA 15MB 11/28/2016 20:53
DATA 128KB 11/29/2016 0:44
DATA 591MB 1/1/2017 22:12
DATA 149MB 12/22/2016 4:39
DATA 149MB 12/22/2016 4:39
DATA 136MB 12/22/2016 4:39
DATA 11MB 12/4/2016 5:56
DATA 34MB 7/9/2016 8:51
DATA 8MB 12/21/2016 10:42
DATA 10MB 12/6/2016 18:35
DATA 22MB 7/3/2016 4:26
DATA 254MB 11/30/2016 5:45
DATA 254MB 11/30/2016 5:32
DATA 254MB 11/30/2016 5:35
DATA 254MB 11/30/2016 5:37
DATA 11MB 11/30/2016 5:37
DATA 11MB 11/30/2016 5:45
DATA 11MB 11/30/2016 5:37
DATA 11MB 11/30/2016 5:37
DATA 1MB 11/30/2016 5:46
DATA 652MB 11/30/2016 6:00
DATA 254MB 11/30/2016 5:33
DATA 1MB 11/30/2016 5:46
DATA 1MB 11/30/2016 5:46
DATA 1MB 11/30/2016 5:46
DATA 1MB 11/30/2016 5:48
DATA 1MB 11/30/2016 5:48
DATA 3MB 11/30/2016 6:01
DATA 320KB 11/30/2016 6:06
DATA 128KB 12/2/2016 8:35
DATA 128KB 1/1/2017 19:35
DATA 128KB 11/30/2016 6:06
DATA 3MB 11/30/2016 6:07
DATA 2MB 11/30/2016 6:12
DATA 192KB 11/30/2016 6:12
DATA 320KB 11/30/2016 6:12
DATA 256KB 11/29/2016 17:56
DATA 128KB 11/30/2016 6:12
DATA 320KB 11/30/2016 6:14
DATA 128KB 11/30/2016 6:14
DATA 1MB 11/30/2016 6:14
DATA 3MB 11/30/2016 6:16
DATA 128KB 11/30/2016 6:16
DATA 21MB 11/30/2016 6:16
DATA 12MB 11/30/2016 6:25
DATA 54MB 12/21/2016 16:59
DATA 5MB 1/3/2017 0:10
DATA 26MB 11/30/2016 18:56
DATA 49MB 11/30/2016 18:57
DATA 21MB 11/30/2016 6:26
DATA 62MB 12/21/2016 17:52
DATA 41MB 11/30/2016 6:29
DATA 79MB 11/30/2016 6:31
DATA 149MB 12/21/2016 18:00
DATA 136MB 12/30/2016 14:52
DATA 149MB 12/21/2016 17:59
DATA 149MB 12/30/2016 14:52
DATA 14MB 12/22/2016 4:55
DATA 144MB 12/30/2016 14:53
DATA 192KB 12/30/2016 14:53
DATA 161MB 12/22/2016 7:21
DATA 147MB 12/30/2016 14:53
DATA 163MB 12/22/2016 17:29
DATA 256KB 12/22/2016 7:21
DATA 256KB 12/30/2016 14:53
DATA 149MB 12/30/2016 14:53
DATA 107MB 11/30/2016 22:24
DATA 101MB 12/2/2016 5:55
DATA 107MB 11/30/2016 22:17
DATA 256KB 12/30/2016 14:53
DATA 128KB 11/30/2016 22:44
DATA 128KB 11/30/2016 22:17
DATA 320KB 12/22/2016 7:22
DATA 184MB 1/3/2017 4:35
DATA 448KB 12/22/2016 7:23
DATA 133MB 1/1/2017 14:51
DATA 169MB 1/1/2017 14:29
DATA 128KB 1/1/2017 19:35
DATA 100MB 1/2/2017 23:48
DATA 191MB 1/3/2017 9:16
DATA 128KB 1/3/2017 16:19
DATA 128KB 1/3/2017 9:55
DATA 9MB 12/22/2016 5:10
DATA 9MB 12/22/2016 5:10
DATA 14MB 12/2/2016 5:55
DATA 15MB 12/2/2016 5:55
DATA 15MB 12/2/2016 5:55
DATA 3MB 12/1/2016 7:12
DATA 5MB 12/1/2016 7:12
DATA 128KB 12/1/2016 6:59
DATA 17MB 12/1/2016 7:12
DATA 15MB 12/1/2016 7:12
DATA 44MB 1/1/2017 21:54
DATA 16MB 1/3/2017 16:19
DATA 17MB 1/3/2017 16:19
DATA 19MB 1/3/2017 16:19
DATA 128KB 1/3/2017 16:19

EWRET
0.002024
0.001392
-0.000534
-0.005684
-0.025137