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Maximizing Equity Market Sector Predictability in a Bayesian Time Varying Parameter Model* - page 32 / 46

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Table 1

Summary Statistics for Sector Returns Summary statistics for the returns of the 10 GICS sectors are presented. All sector returns are in log difference weekly rates. The sample period for the statistics is January 12, 1990 through January 10, 2003.

Summary Statistics

Mean

Median

S.D.

Min

Max

0.151

0.262

0.187

0.242

0.109

0.199

0.216

0.171

0.223

0.165

0.147

0.273

0.197

0.398

0.073

0.145

0.035

0.195

0.007

0.039

2.645

-15.074

9.833

2.280

-13.617

10.414

2.665

-13.897

9.634

3.105

-12.501

14.729

2.720

-11.553

9.151

2.543

-19.129

10.838

4.158

-24.197

14.583

2.776

-15.054

13.345

2.848

-14.190

14.331

2.330

-14.881

7.988

CONS DISCR

CONS STAPLE

ENERGY

FINANCIALS

HEALTHCARE

INDUSTRIALS

TECHNOLOGY

MATERIALS

TELECCOMS

UTILITIES

31

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