Table 2.

Descriptive statistics.

Statistic	EW	VW	TOP	BOTTOM	S&P 500 IT
Mean (%)	0.0077	0.0549	0.0159	−0.0125	0.0366
Median (%)	0.0405	0.0586	0.0209	0.0000	0.0559
Maximum (%)	10.5582	10.1711	10.3673	8.2638	11.4610
Minimum (%)	−7.1160	−6.5238	−7.7975	−11.2926	−9.6701
Std. Dev. (%)	1.2198	1.1391	1.0262	1.6259	1.3702
Skewness	−0.3194	0.0210	−0.1041	−0.1746	−0.0439
Excess Kurt.	4.5993	4.6354	9.0512	2.6647	6.3379
Jarque–Bera	2782.39	2772.99	10577.2	931.996	5184.43
	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)
Ljung–Box Q5	29.581	8.2820	24.890	12.497	21.378
	(0.0000)	(0.1414)	(0.0001)	(0.0286)	(0.0007)
Ljung–Box $Q_5^2$	1036.22(0.0000)	813.167(0.0000)	1277.68(0.0000)	54.547(0.0000)	901.965(0.0000)
Observations	3097	3097	3097	3097	3097

Notes: This table reports the descriptive statistics of continuously compounded day-to-day percentage returns on the five investment portfolios. EW denotes returns on an equally weighted portfolio of pharmaceutical stocks. VW denotes returns on a (time-varying) value-weighted portfolio of pharmaceutical stocks. TOP denotes returns on a constant-value-weighted portfolio of 10 largest pharmaceutical firms. BOTTOM denotes returns on a constant-value-weighted portfolio of 10 smallest pharmaceutical stocks. S&P 500 IT denotes returns on the S&P 500 Information Technology Index. Q₅ denotes the Ljung–Box test statistic for the fifth-order cumulative autocorrelation of stock returns, and $Q_5^2$ denotes the Ljung–Box test statistic for the fifth-order cumulative autocorrelation of returns squared. The table also provides the p-values for the significance tests of the Jarque–Bera and Ljung–Box statistics (in parentheses). We use daily data for the period 01/01/2003–11/13/2014 (a total of 3097 observations).