Cumulative market gains are zero across ‘even years’

Mkt-RF returns in ‘even years’ sum to zero over the last 50+ years (data from Ken French’s library).  This could be a spurious result although the stats suggest otherwise.

odd-even-years

Is this result statistically significant?

Applying Student’s t-test gives a statistic of 2.3, i.e. mean returns of even versus odd years are different at the 5% significance level.

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3 thoughts on “Cumulative market gains are zero across ‘even years’

  1. Pingback: IMHO BEST LINKS FROM QUANTOCRACY FOR THE WEEK 5 OCT 15 — 11 OCT 15 | Quantitative Investor Blog

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