Voices From the Grave, from Kim Zussman
It has been 342 trading days since Mr. Ben began chairing the Fed. Has his kingdom been different from his immediate predecessor? SPY daily returns compared Bernanke and Greenspan:
Two-sample T for Ben returns vs. Greenspan:
N Mean StDev SE Mean
Ben ret 342 0.00054 0.0066 0.00036 T=0.1
Grn ret 342 0.00049 0.0065 0.00035
no difference
What about volatility? Here the same data are used to compare variance:
Test for Equal Variances: Ben ret, Grn ret
95% Bonferroni confidence intervals for standard deviations:
N Lower StDev Upper
Ben ret 342 0.0061 0.0066 0.0072
Grn ret 342 0.0060 0.0065 0.0071
F-Test (normal distribution)
Test statistic = 1.03, p-value = 0.760
no difference
The Fed chairs have not exerted differing effects on mean or variance of stock returns, which does not exclude certain efforts for Alan to Pimpco his ride.