6400LectureSpreadsheets.xlsx

8/14/2019 6400LectureSpreadsheets.xlsx

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The worksheets presented here are arranged by topics covered

Lecture topics are identified in the tabs at the bottoms of the

It may be useful to use these worksheets in conjunction with y

lecture notes to follow the computations. Also, these worksheebe useful to students who were unable to attend certain lectur

Perhaps, most students will find this collection of worksheets u

understanding many of the more quantitative topics discussed

course and provide opportunities to practice many of the comp

In many instances, students can use these worksheets to creat

additional problems which can be worked through by hand and

checked with solutions given on the worksheets.


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Computing Geometric Mean Return on Investment: Real Price DataOn this worksheet, we make use of use historical stock price quotes provided by Yahoo (See http://web

Two years of monthly price quote for GM and PCS are downloaded in spreadsheet format from Yahoo.

is added to each of the returns in column H. Geometric mean returns are computed in Column J.

GM Stock: October, 2000 to September 2002, Monthly Returns

Date Open High Low Close Volume r(t) 1+r(t)3-Sep-02 47.5 47.51 38.11 38.9 5414895 -0.18721 0.812787 PI(1+r(t))

1-Aug-02 46.4 50.05 41.08 47.86 4259440 0.028142 1.028142 ROG(g)

1-Jul-02 53.3 54.08 40.5 46.55 6527578 -0.12909 0.870907 ROI(g)/Yr

3-Jun-02 62.5 63.1 50 53.45 5193919 -0.13998 0.860016 ROG(g)

1-May-02 64 67.8 62.15 62.15 3616043 -0.02403 0.975974 ROI(g)/Yr

1-Apr-02 59.56 65.94 58.32 63.68 3917782 0.061156 1.061156

1-Mar-02 52.81 61.55 52.81 60.01 5743195 0.141091 1.141091

1-Feb-02 50.35 55.39 47.24 52.59 5055470 0.046567 1.046567

2-Jan-02 47.9 50.27 47.09 50.25 3096881 0.052136 1.052136

3-Dec-01 47.66 52.3 46.01 47.76 2938333 -0.02211 0.977887

1-Nov-01 40.13 49.3 39.52 48.84 2470372 0.217045 1.217045

1-Oct-01 41.28 44.51 39.35 40.13 2847620 -0.03673 0.963274

4-Sep-01 52.47 54.32 38.04 41.66 3648700 -0.21648 0.783525

1-Aug-01 61.62 62.63 51.96 53.17 2548600 -0.13234 0.867657

2-Jul-01 61.67 65.33 59.14 61.28 2346600 -0.01161 0.988387

1-Jun-01 54.83 62.52 54.63 62 2721754 0.130768 1.130768

1-May-01 52.48 56.17 51.66 54.83 2021760 0.047574 1.047574

2-Apr-01 49.58 55.25 47.94 52.34 2472395 0.05716 1.05716

1-Mar-01 50.93 57.01 47.99 49.51 3011243 -0.02769 0.97231

1-Feb-01 50.91 55.13 48.51 50.92 2980480 0.001968 1.001968

2-Jan-01 48.21 54.06 48.09 50.82 3771677 0.054138 1.054138

1-Dec-00 46.85 51.7 46.08 48.21 2857576 0.029029 1.029029

1-Nov-00 58.27 59.8 45.84 46.85 2963281 -0.19598 0.804016

2-Oct-00 61.32 64.02 51.12 58.27 2658817 N/A #VALUE!

PCS Stock: October, 2000 to September 2002, Monthly ReturnsDate Open High Low Close Volume r(t) 1+r(t)

3-Sep-02 3.82 3.93 1.75 1.96 11035885 -0.50505 0.494949 PI(1+r(t))

1-Aug-02 3.8 5.14 3.15 3.96 7020356 -0.03415 0.965854 ROG(g)

1-Jul-02 4.52 6.93 2.36 4.1 11209278 -0.08277 0.917226 ROI(g)/Yr

3-Jun-02 10.13 10.44 3.5 4.47 15463276 -0.57184 0.428161 ROG(g)

1-May-02 11.25 12 9.34 10.44 7701569 -0.06869 0.931311 ROI(g)/Yr

1-Apr-02 10.25 13.45 9 11.21 10386886 0.089407 1.089407

1-Mar-02 10 12.2 8.12 10.29 12611519 0.112432 1.112432

1-Feb-02 16.09 16.7 7.22 9.25 21943820 -0.43529 0.564713

2-Jan-02 24.45 25.2 15.01 16.38 15091195 -0.32896 0.6710363-Dec-01 25 26.37 22.3 24.41 6145352 -0.02164 0.978357

1-Nov-01 22.5 27.5 22.25 24.95 5252709 0.118834 1.118834

1-Oct-01 26.4 29.05 21.5 22.3 10553704 -0.15177 0.848231

4-Sep-01 25.05 27.1 22.25 26.29 10464787 0.052442 1.052442

1-Aug-01 25.98 26.5 22.43 24.98 11239554 -0.03627 0.963735

2-Jul-01 24.15 27 22.7 25.92 6663486 0.073292 1.073292

1-Jun-01 22.03 24.16 19.21 24.15 4679895 0.097727 1.097727

1-May-01 25.63 27.5 20.25 22 5211639 -0.14163 0.858369


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2-Apr-01 19.25 26.9 16.43 25.63 7444519 0.348947 1.348947

1-Mar-01 24 24.35 15.72 19 6083813 -0.24543 0.754567

1-Feb-01 30.75 32.4 20 25.18 5503705 -0.17443 0.825574

2-Jan-01 20.75 33.25 17.62 30.5 8484931 0.492172 1.492172

1-Dec-00 23.12 29.38 19.38 20.44 5440242 -0.09916 0.900837

1-Nov-00 38.25 38.44 21.88 22.69 7432204 -0.40477 0.595226

2-Oct-00 37 39.19 29 38.12 5709582 N/A #VALUE!


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page.pace.edu/jteall/spreadsheets.htm for information).

Then monthly returns are computed in Column G. One

0.667582The product of (1+r(t)) for 24 months-0.0167The geometric mean return over the 24 month period

-0.18294The annualized geometric mean rate of return-0.0167The geometric mean return over the 24 month period

-0.18294The annualized geometric mean rate of return

0.051417The product of (1+r(t)) for 24 months-0.11632The geometric mean return over the 24 month period-0.77325The annualized geometric mean rate of return-0.11632The geometric mean return over the 24 month period-0.77325The annualized geometric mean rate of return


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Expected Return, Variance and Standard Deviation

Stock Ai R(i) P(i) R(i)P(i) R(i)-E[R(i)] (R(i)-E[R(i)])^2 (R(i)-E[R(i)])^2*P(i)

1 -0.2 0.2 -0.04 -0.33 0.1089 0.02178

2 0.1 0.5 0.05 -0.03 0.0009 0.00045

3 0.4 0.3 0.12 0.27 0.0729 0.02187 E[R] = 0.13 Variance = 0.0441

Standard Deviation = 0.21

Historical Variances for Stocks A and Bt R(A,t) R(B,t)

1 0.4 0.2 0.00017578 0.001218945 Squared

2 0.9 0.1 0.03611328 1.95313E-07 Differences

3 -0.8 0.12 0.16892578 4.39453E-05 for A and B4 0.9 0.05 0.03611328 0.00032832 divided by eight5 0.9 0.02 0.03611328 0.000825195

6 0.9 0.09 0.03611328 1.58203E-05

7 -0.2 0.11 0.03955078 9.57031E-068 -0.1 0.12 0.02673828 4.39453E-05

0.3625 0.1013 0.37984375 0.002485938 Variances of A and BAverage Returns 0.61631465 0.049859177 Standard Deviations of A and B


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Computing Variances and Standard Deviations of Returns: Real Price DReturns are computed in the "Geometric Returns" Worksheet for GM and PCS from which to compute varian

GM Stock: October, 2000 to September 2002, Monthly ReturnsDate Close r(t) 1+r(t) (Ri-E[Ri])^2 / 23

3-Sep-02 38.9 -0.18721 0.812787 0.001347717 PI(1+r(t)) 0.667582The product of (1+r(t))

1-Aug-02 47.86 0.028142 1.028142 6.71292E-05 ROG(g) -0.0167The geometric mean r1-Jul-02 46.55 -0.12909 0.870907 0.000604786 ROI(g)/Yr -0.18294The annualized geome3-Jun-02 53.45 -0.13998 0.860016 0.000721642 ROG(g) -0.0167The geometric mean r1-May-02 62.15 -0.02403 0.975974 7.20692E-06 ROI(g)/Yr -0.18294The annualized geome1-Apr-02 63.68 0.061156 1.061156 0.000227324 VAR(GM) 0.012061The monthly return var1-Mar-02 60.01 0.141091 1.141091 0.001007737 StD(GM) 0.109821The monthly return sta1-Feb-02 52.59 0.046567 1.046567 0.000144846 StD(GM) 0.38043The annual return stan

2-Jan-02 50.25 0.052136 1.052136 0.000174143

3-Dec-01 47.76 -0.02211 0.977887 5.224E-06

1-Nov-01 48.84 0.217045 1.217045 0.002264066

1-Oct-01 40.13 -0.03673 0.963274 2.84366E-05

4-Sep-01 41.66 -0.21648 0.783525 0.001832951

1-Aug-01 53.17 -0.13234 0.867657 0.000638584

2-Jul-01 61.28 -0.01161 0.988387 9.25098E-09

1-Jun-01 62 0.130768 1.130768 0.000875701

1-May-01 54.83 0.047574 1.047574 0.000149941

2-Apr-01 52.34 0.05716 1.05716 0.000202891

1-Mar-01 49.51 -0.02769 0.97231 1.18928E-05

1-Feb-01 50.92 0.001968 1.001968 7.48337E-06

2-Jan-01 50.82 0.054138 1.054138 0.000185337

1-Dec-00 48.21 0.029029 1.029029 7.01943E-05

1-Nov-00 46.85 -0.19598 0.804016 0.001485351

2-Oct-00 58.27 N/A #VALUE!

E[R] = -0.01115 VAR = 0.012060596

PCS Stock: October, 2000 to September 2002, Monthly ReturnsDate Close r(t) 1+r(t) (Ri-E[Ri])^2 / 23

3-Sep-02 1.96 -0.50505 0.494949 0.007732515 PI(1+r(t)) 0.051417The product of (1+r(t))1-Aug-02 3.96 -0.03415 0.965854 0.000105177 ROG(g) -0.11632The geometric mean r1-Jul-02 4.1 -0.08277 0.917226 1.34576E-08 ROI(g)/Yr -0.77325The annualized geome

3-Jun-02 4.47 -0.57184 0.428161 0.010375684 ROG(g) -0.11632The geometric mean r1-May-02 10.44 -0.06869 0.931311 9.32088E-06 ROI(g)/Yr -0.77325The annualized geome1-Apr-02 11.21 0.089407 1.089407 0.001297316 VAR(PCS) 0.06341The monthly return var1-Mar-02 10.29 0.112432 1.112432 0.001666221 StD(PCS) 0.251814The monthly return sta1-Feb-02 9.25 -0.43529 0.564713 0.0053858 StD(PCS) 0.872308The annual return stan2-Jan-02 16.38 -0.32896 0.671036 0.002623289

3-Dec-01 24.41 -0.02164 0.978357 0.000165448

1-Nov-01 24.95 0.118834 1.118834 0.0017769771-Oct-01 22.3 -0.15177 0.848231 0.000203644

4-Sep-01 26.29 0.052442 1.052442 0.000801484

1-Aug-01 24.98 -0.03627 0.963735 9.63092E-05

2-Jul-01 25.92 0.073292 1.073292 0.001066546

1-Jun-01 24.15 0.097727 1.097727 0.001425299

1-May-01 22 -0.14163 0.858369 0.00014778

2-Apr-01 25.63 0.348947 1.348947 0.008124525

1-Mar-01 19 -0.24543 0.754567 0.001142488


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1-Feb-01 25.18 -0.17443 0.825574 0.000360802

2-Jan-01 30.5 0.492172 1.492172 0.014400141

1-Dec-00 20.44 -0.09916 0.900837 1.08982E-05

1-Nov-00 22.69 -0.40477 0.595226 0.004492445

2-Oct-00 38.12 N/A #VALUE!

E[R] = -0.08333 VAR = 0.063410124


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ta es and standard deviations in Column G.

for 24 months

turn over the 24 month periodtric mean rate of return

turn over the 24 month period

tric mean rate of return

iance

ndard deviation

dard deviation

for 24 months





iance

ndard deviation

dard deviation


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Returns Covariance

Stocks A and Bi R(A,i) R(B,i) P(i) (R(A,i)-E[R(A)]) (R(B,i)-E[R(B)]) Product of Deviations and Prob

1 -0.2 0.5 0.2 -0.33 0.26 -0.01716

2 0.1 0.4 0.5 -0.03 0.16 -0.0024

3 0.4 -0.2 0.3 0.27 -0.44 -0.03564Covariance = -0.0552

E[R(A)] = 0.13E[R(B)] = 0.24s A) = 0.21s B) = 0.29052r A,B) = -0.90479r2A,B) = 0.81865


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bility


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Computing Variances and Standard Deviations of ReturnsReturns are computed in the "Geometric Returns" Worksheet for GM and PCS from which to compute varian

GM Stock: October, 2000 to September 2002, Monthly ReturnsDate Close r(t) 1+r(t) (Ri-E[Ri])^2 / 23

3-Sep-02 38.9 -0.18721 0.812787 0.001347717 PI(1+r(t)) 0.667582The product of (1+r(t))

1-Aug-02 47.86 0.028142 1.028142 6.71292E-05 ROG(g) -0.0167The geometric mean r1-Jul-02 46.55 -0.12909 0.870907 0.000604786 ROI(g)/Yr -0.18294The annualized geome3-Jun-02 53.45 -0.13998 0.860016 0.000721642 ROG(g) -0.0167The geometric mean r1-May-02 62.15 -0.02403 0.975974 7.20692E-06 ROI(g)/Yr -0.18294The annualized geome1-Apr-02 63.68 0.061156 1.061156 0.000227324 VAR(GM) 0.012061The monthly return var1-Mar-02 60.01 0.141091 1.141091 0.001007737 StD(GM) 0.109821The monthly return sta1-Feb-02 52.59 0.046567 1.046567 0.000144846 StD(GM) 0.38043The annual return stan

2-Jan-02 50.25 0.052136 1.052136 0.000174143

3-Dec-01 47.76 -0.02211 0.977887 5.224E-06

1-Nov-01 48.84 0.217045 1.217045 0.002264066

1-Oct-01 40.13 -0.03673 0.963274 2.84366E-05

4-Sep-01 41.66 -0.21648 0.783525 0.001832951

1-Aug-01 53.17 -0.13234 0.867657 0.000638584

2-Jul-01 61.28 -0.01161 0.988387 9.25098E-09

1-Jun-01 62 0.130768 1.130768 0.000875701

1-May-01 54.83 0.047574 1.047574 0.000149941

2-Apr-01 52.34 0.05716 1.05716 0.000202891

1-Mar-01 49.51 -0.02769 0.97231 1.18928E-05

1-Feb-01 50.92 0.001968 1.001968 7.48337E-06

2-Jan-01 50.82 0.054138 1.054138 0.000185337

1-Dec-00 48.21 0.029029 1.029029 7.01943E-05

1-Nov-00 46.85 -0.19598 0.804016 0.001485351

2-Oct-00 58.27 N/A #VALUE!

E[R] = -0.01115 VAR = 0.012060596

PCS Stock: October, 2000 to September 2002, Monthly ReturnsDate Close r(t) 1+r(t) (Ri-E[Ri])^2 / 23

3-Sep-02 1.96 -0.50505 0.494949 0.007732515 PI(1+r(t)) 0.051417The product of (1+r(t))1-Aug-02 3.96 -0.03415 0.965854 0.000105177 ROG(g) -0.11632The geometric mean r1-Jul-02 4.1 -0.08277 0.917226 1.34576E-08 ROI(g)/Yr -0.77325The annualized geome

3-Jun-02 4.47 -0.57184 0.428161 0.010375684 ROG(g) -0.11632The geometric mean r1-May-02 10.44 -0.06869 0.931311 9.32088E-06 ROI(g)/Yr -0.77325The annualized geome1-Apr-02 11.21 0.089407 1.089407 0.001297316 VAR(PCS) 0.06341The monthly return var1-Mar-02 10.29 0.112432 1.112432 0.001666221 StD(PCS) 0.251814The monthly return sta1-Feb-02 9.25 -0.43529 0.564713 0.0053858 StD(PCS) 0.872308The annual return stan2-Jan-02 16.38 -0.32896 0.671036 0.002623289

3-Dec-01 24.41 -0.02164 0.978357 0.000165448

1-Nov-01 24.95 0.118834 1.118834 0.0017769771-Oct-01 22.3 -0.15177 0.848231 0.000203644

4-Sep-01 26.29 0.052442 1.052442 0.000801484

1-Aug-01 24.98 -0.03627 0.963735 9.63092E-05

2-Jul-01 25.92 0.073292 1.073292 0.001066546

1-Jun-01 24.15 0.097727 1.097727 0.001425299

1-May-01 22 -0.14163 0.858369 0.00014778

2-Apr-01 25.63 0.348947 1.348947 0.008124525

1-Mar-01 19 -0.24543 0.754567 0.001142488


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1-Feb-01 25.18 -0.17443 0.825574 0.000360802

2-Jan-01 30.5 0.492172 1.492172 0.014400141

1-Dec-00 20.44 -0.09916 0.900837 1.08982E-05

1-Nov-00 22.69 -0.40477 0.595226 0.004492445

2-Oct-00 38.12 N/A #VALUE!

E[R] = -0.08333 VAR = 0.063410124


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es and standard deviations in Column G.

for 24 months

turn over the 24 month periodtric mean rate of return



iance

ndard deviation

dard deviation

for 24 months





iance

ndard deviation

dard deviation


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Computing Return Covariances: Real Price DataReturns are computed in the "Geometric Returns" Worksheet for GM and PCS from which to compute cov

GM And PCS Stock: October 2000 to September 2002, Monthly ReturnsDate Close P(GM) r(t)GM (RiGM-E[RiGM]) Close P(PCS) r(t)PCS (RiPCS-E[RiPCS])

3-Sep-02 38.9 -0.18721 -0.176061073 1.96 -0.50505 -0.421720106

1-Aug-02 47.86 0.028142 0.039293413 3.96 -0.03415 0.0491840571-Jul-02 46.55 -0.12909 -0.11794098 4.1 -0.08277 0.00055635

3-Jun-02 53.45 -0.13998 -0.128832279 4.47 -0.57184 -0.488508682

1-May-02 62.15 -0.02403 -0.012874752 10.44 -0.06869 0.014641728

1-Apr-02 63.68 0.061156 0.072308104 11.21 0.089407 0.17273759

1-Mar-02 60.01 0.141091 0.152243093 10.29 0.112432 0.195762831

1-Feb-02 52.59 0.046567 0.057718795 9.25 -0.43529 -0.351956536

2-Jan-02 50.25 0.052136 0.063287309 16.38 -0.32896 -0.245633141

3-Dec-01 47.76 -0.02211 -0.010961392 24.41 -0.02164 0.061687112

1-Nov-01 48.84 0.217045 0.228196235 24.95 0.118834 0.20216448

1-Oct-01 40.13 -0.03673 -0.025574246 22.3 -0.15177 -0.068438334

4-Sep-01 41.66 -0.21648 -0.205323826 26.29 0.052442 0.135772352

1-Aug-01 53.17 -0.13234 -0.121191712 24.98 -0.03627 0.047064967

2-Jul-01 61.28 -0.01161 -0.000461273 25.92 0.073292 0.156622324

1-Jun-01 62 0.130768 0.141919458 24.15 0.097727 0.181057672

1-May-01 54.83 0.047574 0.058725188 22 -0.14163 -0.058300502

2-Apr-01 52.34 0.05716 0.0683118 25.63 0.348947 0.432277767

1-Mar-01 49.51 -0.02769 -0.016538864 19 -0.24543 -0.162102484

1-Feb-01 50.92 0.001968 0.01311936 25.18 -0.17443 -0.091095831

2-Jan-01 50.82 0.054138 0.065289776 30.5 0.492172 0.57550261

1-Dec-00 48.21 0.029029 0.040180446 20.44 -0.09916 -0.015832228

1-Nov-00 46.85 -0.19598 -0.184832581 22.69 -0.40477 -0.321443998

2-Oct-00 58.27 N/A 38.12 N/A

E[R] = -0.01115 E[R] = -0.08333 COV[GM,PCS] =

VAR[GM] =

VAR[PCS] = StD[GM] =

StD[PCS] =

Corr.Coef[GM,PCS]=


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riances and Corelation Coefficients in Column G.

0.074248495

0.00193261-6.56164E-05

0.062935687

-0.000188509

0.012490328

0.029803539

-0.020314507

-0.01554546

-0.000676177

0.046133173

0.001750259

-0.027877299

-0.005703884

-7.22456E-05

0.025695607

-0.003423708

0.029529672

0.002680991

-0.001195119

0.037574437

-0.000636146

0.059413324

0.013412585 Covariance

0.012060596

0.0634101240.109820743

0.251813668

0.485007886 Correlation Coefficient

0.23523265 r-square


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Yield to Maturity ExampleEnter Bond data into Column B of the Yellow Region. Revise your y estimate until you are sufficiently clo

Bond Details

F 1000

c 0.1

Guess for y 0.15

n 30

Initial Bond Price 1000

PV Bond 671.701DECREASE YOUR y ESTIMATE

Note: This calculator assumes that coupon payments are made annually beginning in one year.


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se to the bond's correct yield.


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2X2 Matrix Inversion: Gauss-Jordan EliminationThis worksheet provides a step-by-step example on how to invert a 2X2 matrix by hand.

Suppose that we wish to invert the following matrix one step at a time using a Gauss-Jordan elimination

1 2

3 4

First, we augment the matrix with the identity matrix (a matrix with 1's in the Principal Diagonal and zero

1 2 1 0

3 4 0 1

We start in the first column and the first row. Simply perform row operations to obtain a 1 in the first row

1 2 1 0 Row 1 * 1/A73 4 0 1

Now, perform row operations to obtain a zero in the second row of the first column:

1 2 1 0

0 -2 -3 1 Row 2 - A11 * Row 1

Now, perform a row operation to obtain a 1 in the second row of the second column:

1 2 1 0

0 1 1.5 -0.5 Row 2 * 1/B14Now, perform row operations to obtain a zero in the first row of the second column:

1 0 -2 1 Row 1 - B16 * Row 20 1 1.5 -0.5

The last two columns represent the inverse of our original matrix. We can check our work below:

-2 11.5 -0.5

You may use this worksheet for any 2X2 matrix. Simply enter elements into the yellow input area A4:B5

and output will appear in the red areas just above here. The matrix will be solved step-by-step.


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procedure:

s elsewhere):

of the first column:


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Matrix Inversion: Gauss-Jordan EliminationThis worksheet provides a step-by-step example on how to invert a 3X3 matrix by hand.

Suppose that we wish to invert the following matrix one step at a time using a Gauss-Jordan elimination

5 0 8

2 4 0

4 8 4

First, we augment the matrix with the identity matrix (a matrix with 1's in the Principal Diagonal and zero

5 0 8 1 0 0

2 4 0 0 1 0

4 8 4 0 0 1

We start in the first column and the first row. Simply perform row operations to obtain a 1 in the first row

1 0 1.6 0.2 0 0 Row 1 * 1/A82 4 0 0 1 0

4 8 4 0 0 1

Now, perform row operations to obtain a zero in the second row of the first column:

1 0 1.6 0.2 0 0

0 -4 3.2 0.4 -1 0 Row 1 * A13 - Row 24 8 4 0 0 1

Now, perform row operations to obtain a zero in the third row of the first column:1 0 1.6 0.2 0 0

0 -4 3.2 0.4 -1 0

0 -8 2.4 0.8 0 -1 Row 1*A18 - Row 3Now, perform a row operation to obtain a 1 in the second row of the second column:

1 0 1.6 0.2 0 0

0 1 -0.8 -0.1 0.25 0 Row 2 * 1/B21

0 -8 2.4 0.8 0 -1

Now, perform row operations to obtain a zero in the first row of the second column:

1 0 1.6 0.2 0 0 Row 1 - Row 2 * B240 1 -0.8 -0.1 0.25 0

0 -8 2.4 0.8 0 -1

Now, perform row operations to obtain a zero in the third row of the second column:1 0 1.6 0.2 0 0

0 1 -0.8 -0.1 0.25 0

0 0 -4 0 2 -1 Row 3 - B30 * Row 2

Now, perform a row operation to obtain a 1 in the third row of the third column:

1 0 1.6 0.2 0 0

0 1 -0.8 -0.1 0.25 0

0 0 1 0 -0.5 0.25 Row 3 * 1/C34

Now, perform row operations to obtain a zero in the first row of the third column:

1 0 0 0.2 0.8 -0.4 Row 1 - C36 * Row 30 1 -0.8 -0.1 0.25 0

0 0 1 0 -0.5 0.25

Now, perform row operations to obtain a zero in the second row of the third column:

1 0 0 0.2 0.8 -0.40 1 0 -0.1 -0.15 0.2 Row 2 - $C41 * Row 3

0 0 1 0 -0.5 0.25

The last three columns represent the inverse of our original matrix. We can check our work below:

0.2 0.8 -0.4-0.1 -0.15 0.2

0 -0.5 0.25You may use this worksheet for any 3X3 matrix. Simply enter elements into the yellow input area A4:C


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and output will appear in the red areas just above here. The matrix will be solved step-by-step.


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procedure:

s elsewhere):

of the first column:


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Inverting Matrices and Solving Systems of Linear Equations

0.01 0 0.02Let V represent a 3X3 matrix that we wish to invert

0 0.04 0.03

0.02 0.03 0.09 V

245.5 54.55 -72.73 V-1is the inverse 1 1E-16 0We check t

54.55 45.45 -27.27of Matrix V 0 1 0 VX V-1= I

-72.73 -27.27 36.36 0 0 1

V-1

I

Steps:

1. Enter elements of matrix to be inverted into cells A3:C5.

2. Highlight A8:C10 for location of inverse matrix.

3. Left click the "Paste Function" (fx) button on the menu bar.

4. Select "MATH & TRIG" in the Dialogue Box.

5. Select "MINVERSE" in the Dialogue Box and left click OK.

6. Enter A3:C5 as the array to invert. Do not click OK.

7. Simultaneously enter "Ctrl" "Shift" and "Enter."

8. The inverted matrix should now appear in the highlighted region.


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o see if


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Portfolio Variance Matrices: w'Vw = s2pAssume three securities with w(1) =.2, w(2) = .3 and w(3) = .5. Security variances are .01, .04 and .09.

Covariances are COV(1,2) = 0, COV(1,3) = .02 and COV(2,3) = .03. Find portfolio standard deviation.

Weights Vector Variance/Covariance Matrix

0.2 0.01 0 0.02 These are the weights and

0.3 0 0.04 0.03 variance/covariance matrices

0.5 0.02 0.03 0.09 to be multiplied

w VFirst, multiply w'V

0.01 0 0.02

0.2 0.3 0.5 0 0.04 0.03 = 0.012 0.027

w' 0.02 0.03 0.09 w'V

V

0.2 Next, multiply w'Vby w

0.012 0.027 0.058 0.3 = 0.04 Portfolio Variance

w'V 0.5

w

Standard deviation is the square root of varia

0.199 Portfolio Standard De


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0.058

ce

iation


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Holmes and Market Risk Premiums:Calculating Beta

Year Holmes Market T-Bill

2006 12% 10% 6%2007 18% 14% 6%

2008 7% 6% 6%

2009 3% 2% 6%

2010 10% 8% 6%

rH-rf rM-rf

0.06 0.04

0.12 0.08

0.01 0-0.03 -0.04

0.04 0.02

Summary Output: Excel Functions

H2= 0.0032 0.00252

M2= 0.002 0.0016

H,M = 0.0025 0.002

b1= 1.25 1.25

H,M= 0.996 0.996

2

H,M= 0.99206 0.99206

b0= 0.015 0.015

Summary Output with Matrix Mathematics

1 1 1 1 1 1 0.04

0.04 0.08 0 -0.04 0.02 * 1 0.081 0 =

XT

1 -0.04

1 0.02

X

-0.04

-0.02

0

0.02

0.04

0.06

0.08

0.1

0.12

0.14

-.04 .02 .04

0

0.5

1

0 0.01 0.02 0.03Residuals

X Variable 1

X Variable 1 Residu

-0.006

-0.004

-0.002

0

0.002

0.004

0.006

-0.06 -0.04 -0.02 0 0.02 0.04 0


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0.25 -2.5 * 1 1 1 1 1 =

-2.5 125 0.04 0.08 0 -0.04 0.02

(XTX)

-1X

T

0.15 0.05 0.25 0.35 0.2 * 0.06 0.015

2.5 7.5 -2.5 -7.5 4E-16 0.12 1.25

0.01 =

-0.03

0.04

(XTX)

-1X

T y b

-0.03

0.01

0.04

0.06

0.12


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SUMMARY OUTPUT: Excel Spreadsheet Regression

Regression Statistics

Multiple R 0.996023841

R Square 0.992063492

Adjusted R Square 0.989417989

Standard Error 0.005773503

Observations 5

ANOVA

df SS MS F

Regression 1 0.0125 0.0125 375

Residual 3 1E-04 3.33E-05

Total 4 0.0126

Coefficients Standard Error t Stat P-value

Intercept 0.015 0.002886751 5.196152 0.013847

X Variable 1 1.25 0.064549722 19.36492 0.000301

RESIDUAL OUTPUT

Observation Predicted Y Residuals ard Residuals

1 0.065 -0.005 -1

2 0.115 0.005 1

3 0.015 -0.005 -1

4 -0.035 0.005 1

5 0.04 -6.939E-18 -1E-15

5 0.1 n xi

0.1 0.01 = xi xi2

XTX

.08

0.04 0.05

al Plot

.06 0.08 0.1


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0.15 0.05 0.25 0.35 0.2

2.5 7.5 -2.5 -7.5 4.44E-16

(XTX)

-1X

T

= b0

= b1

SUMMARY OUTPUT


Multiple R 0.996024

R Square 0.992063

Adjusted R Squ 0.989418


Observations 5

ANOVA

df SS MS F ignificance F

Regression 1 0.0125 0.0125 375 0.000301Residual 3 1E-04 3.33333E-05

Total 4 0.0126

Coefficient Standard Error t Stat P-value Lower 95%Upper 95%

Intercept 0.015 0.002886751 5.196152423 0.013846833 0.005813 0.024187

X Variable 1 1.25 0.064549722 19.36491673 0.000300795 1.044574 1.455426

RESIDUAL OUTPUT

Observation redicted Residuals1 0.065 -0.005

2 0.115 0.005

3 0.015 -0.005

4 -0.035 0.005

5 0.04 -6.93889E-18


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Significance F

0.000300795

Lower 95% Upper 95% ower 95.0 pper 95.0%

0.005813069 0.024187 0.005813 0.024187

1.044573974 1.455426 1.044574 1.455426


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Lower 95.0% pper 95.0%

0.005813069 0.024187

1.044573974 1.455426


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Jensen's Alpha Illustration: Simple OLS

Rp-rf Rm-rf

0.11 0.02 SUMMARY OUTPUT

0.09 0.01

0.02 0.03 Regression Statistics

0.13 0.08 Multiple R 0.930122286

0.01 -0.14 R Square 0.865127468

0.11 0.06 Adjusted R Square 0.857634549

0.22 0.09 Standard Error 0.038425474

0.21 0.13 Observations 20

0.08 -0.01

-0.12 -0.15 ANOVA

0.06 0.02 df SS MS F

0.16 0.11 Regression 1 0.170477693 0.170477693 115.4593

0.15 0.09 Residual 18 0.026577307 0.001476517

-0.07 -0.11 Total 19 0.197055

-0.01 -0.13

0.22 0.15 Coefficients Standard Error t Stat P-value

0.15 0.04 Intercept 0.073509121 0.00864236 8.505677269 1.01E-07

0.13 0 .03 X Variable 1 0.951512255 0.088552299 10.74520108 2.92E-09

-0.11 -0.18

0.13 0.07


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Significance F

2.92226E-09

Lower 95% Upper 95%ower 95.0 pper 95.0%

0.055352198 0.091666 0.055352 0.091666

0.765470779 1.137554 0.765471 1.137554


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Back Test for Mean Reversion or Momentum Evidence

Date t Pricet Returnt Returnt-1

2/1/2007 1 492/2/2007 2 50 0.020408163

2/3/2007 3 51 0.02 0.020408163

2/4/2007 4 52 0.019607843 0.02

2/5/2007 5 55 0.057692308 0.019607843

2/6/2007 6 57 0.036363636 0.057692308

2/7/2007 7 58 0.01754386 0.036363636

2/8/2007 8 59 0.017241379 0.01754386

2/9/2007 9 58 -0.016949153 0.0172413792/10/2007 10 55 -0.051724138 -0.016949153

2/11/2007 11 53 -0.036363636 -0.051724138

2/12/2007 12 52 -0.018867925 -0.036363636

Test for Significance of Momentum Coefficient

t Returnt Returnt-1 E[Rt] i3 0.02 0.020408163 0.013735899 0.006264 0.01961 0.02 0.013420889 0.00619

5 0.05769 0.019607843 0.013118232 0.04457

se(b)= 6 0.03636 0.057692308 0.042510901 -0.00610.23679 7 0.01754 0.036363636 0.026049948 -0.0085

8 0.01724 0.01754386 0.011525299 0.00572

t = 9 -0.0169 0.017241379 0.011291852 -0.0282

3.2593291 10 -0.0517 -0.016949153 -0.015095574 -0.0366

11 -0.0364 -0.051724138 -0.041934067 0.0055712 -0.0189 -0.036363636 -0.030079203 0.01121

SSR=


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0.000775 = COV(rt, rt-1)

0.001004 = VAR( rt-1)0.771776 = b Evidence for Momentum

-0.00201 = a

i23.92E-053.83E-05

0.001987

3.78E-05

7.24E-05

3.27E-05

0.000798

0.001342

3.1E-050.000126 Significant at .025 level

0.004503

17717758.0020142.

=t

rr

23.056069.01003.

000562888.

)(

2)(2

===

=

tt rrn

SSE

bse


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679


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Stock Y against the Market and Industry

On this sheet, we use matrices to compute regression coefficients b0, b1and b2for our stock return illustration.

Original Data

Year Stock Y Market Industry

2000 0.15 0.1 0.4

2001 0.25 0.1 -0.02

2002 0.5 0.25 0.5

2003 0.35 0.25 0.5

2004 -0.18 -0.03 -0.4

2005 -0.3 0.08 -0.5

2006 0.4 0.3 0.6

2007 -0.17 -0.05 -0.23

2008 -0.35 -0.25 -0.4

2009 0.35 0.15 0.65

0.1

X

1 1 1 1 1 1 1 1 1 1

0.1 0.1 0.25 0.25 -0.03 0.08 0.3 -0.05 -0.25 0.15

0.4 -0.02 0.5 0.5 -0.4 -0.5 0.6 -0.23 -0.4 0.65

XT

0.143411 -0.6315 0.122029

-0.6315 10.72305 -3.03254

0.122029 -3.03254 1.37181

(XTX)

-1

1 1 1 1 1 1 1 1 1 1

0.1 0.1 0.25 0.25 -0.03 0.08 0.3 -0.05 -0.25 0.15

0.4 -0.02 0.5 0.5 -0.4 -0.5 0.6 -0.23 -0.4 0.65

XT


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1 0.1 0.4 10 0.9 1.1

1 0.1 -0.02 0.9 0.3298 0.649

1 0.25 0.5 1.1 0.649 2.0658

1 0.25 0.5

1 -0.03 -0.4 XTX

1 0.08 -0.5

1 0.3 0.6

1 -0.05 -0.23

1 -0.25 -0.4

1 0.15 0.65

X -0.00928 = b0

0.666086 = b1

0.15 1 0.448505 = b2

0.25 0.5024

0.5 1.3486 b

0.35

-0.18 Xty

-0.3

0.4

-0.17

-0.35

0.35

y


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On this sheet, we use the Excel Add-in regression function to compute regression coefficients b0, b1and

Original Data


2000 0.15 0.1 0.4

2001 0.25 0.1 -0.02

2002 0.5 0.25 0.5

2003 0.35 0.25 0.5

2004 -0.18 -0.03 -0.4

2005 -0.3 0.08 -0.5

2006 0.4 0.3 0.6

2007 -0.17 -0.05 -0.23

2008 -0.35 -0.25 -0.4

2009 0.35 0.15 0.65

SUMMARY OUTPUT


Multiple R 0.953167

R Square 0.90852733

Adjusted R Square 0.882392281


Observations 10

ANOVA

df SS MS F Significance F

Regression 2 0.830212274 0.415106137 34.7627946 0.000231483

Residual 7 0.083587726 0.011941104

Total 9 0.9138

Coefficients Standard Error t Stat P-value Lower 95%

Intercept -0.009283302 0.041382246 -0.224330555 0.828907356 -0.107136764

X Variable 1 0.666086037 0.357833902 1.861439158 0.104989409 -0.180056685

X Variable 2 0.44850508 0.127987984 3.504274896 0.009935665 0.145861589

RESIDUAL OUTPUT

Observation Predicted Y Residuals

1 0.236727334 -0.086727334

2 0.0483552 0.2016448

3 0.381490747 0.118509253


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4 0.381490747 -0.031490747

5 -0.208667915 0.028667915

6 -0.180248959 -0.119751041

7 0.459645557 -0.059645557

8 -0.145743772 -0.024256228

9 -0.355206843 0.005206843

10 0.382157905 -0.032157905


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b2for our stock return illustration.

Upper 95% Lower 95.0% Upper 95.0%

0.088570159 -0.107136764 0.088570159

1.512228759 -0.180056685 1.512228759

0.751148571 0.145861589 0.751148571


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On this sheet, we conduct simple calculations to verify regression coefficients b0, b1and b2and other o

Original Data


2000 0.15 0.1 0.4

2001 0.25 0.1 -0.02

2002 0.5 0.25 0.5

2003 0.35 0.25 0.5

2004 -0.18 -0.03 -0.4

2005 -0.3 0.08 -0.5

2006 0.4 0.3 0.6

2007 -0.17 -0.05 -0.23

2008 -0.35 -0.25 -0.4

2009 0.35 0.15 0.65

y = 0.1

0.3298

SUM (Rm)2

SUMMARY OUTPUT


Multiple R 0.953167 0.953167 = Multiple r

R Square 0.90852733 0.90852733 = r-square

Adjusted R Square 0.88239228 0.882392281 = adjusted r-square

Standard Error 0.10927536 0.109275357 = Standard Error

Observations 10

ANOVA


Regression 2 0.830212274 0.415106 34.7627946 0.0002315

Residual 7 0.083587726 0.011941 34.7627946 = F

Total 9 0.9138 0.9138 = SS

Coefficients Standard Error t Stat P-value Lower 95% Upper 95%

Intercept -0.0092833 0.041382246 -0.22433 0.828907356 -0.1071368 0.0885702

X Variable 1 0.66608604 0.357833902 1.861439 0.104989409 -0.1800567 1.5122288

X Variable 2 0.44850508 0.127987984 3.504275 0.009935665 0.1458616 0.7511486

T-Dist = 0.828907356 0.5887499 p-Value (Nor

T-Dist = 0.104989409 0.0313411 p-Value (Nor

T-Dist = 0.009935665 0.0002289 p-Value (Nor

RESIDUAL OUTPUT

Observation Predicted Y Residuals Squared Residuals

1 0.23672733 -0.086727334 0.00752163 -0.086727

2 0.0483552 0.2016448 0.040660625


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3 0.38149075 0.118509253 0.014044443

4 0.38149075 -0.031490747 0.000991667

5 -0.20866792 0.028667915 0.000821849

6 -0.18024896 -0.119751041 0.014340312

7 0.45964556 -0.059645557 0.003557592

8 -0.14574377 -0.024256228 0.000588365

9 -0.35520684 0.005206843 2.71112E-0510 0.38215791 -0.032157905 0.001034131

0.009287525 = 0.083587726 0.0119411 34.762795

0.083587726

130.09091

119.25

110.07692

102.21429

95.4

89.4375

84.176471


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utputs for our stock return illustration.

yi- y (yi- y )2

0.05 0.0025 r(y,m) = 0.864904

0.15 0.0225 r(y,I) = 0.929112

0.4 0.16 r(m,I) = 0.790679

0.25 0.0625

-0.28 0.0784 R-square = 0.908527

-0.4 0.16

0.3 0.09 0.15 0.25 0.5 0.35

-0.27 0.0729 0.1 0.1 0.25 0.25

-0.45 0.2025 0.4 -0.02 0.5 0.5

0.25 0.0625

0 0.9138 = SS

0.4569 = SS/m

0.34756

0.654304

0.0119411

Lower 95.0% Upper 95.0% 0.3108

-0.10713676 0.0885702

-0.18005669 1.5122288

0.145861589 0.7511486

mal Distribution)

mal Distribution)

mal Distribution)


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= F

96.36363636 112.72727 41.73913 42.12


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-0.18 -0.3 0.4 -0.17 -0.35 0.35

-0.03 0.08 0.3 -0.05 -0.25 0.15

-0.4 -0.5 0.6 -0.23 -0.4 0.65


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On this sheet, we use matrices to compute regression coefficients b0, b1and b2for our stock return illustration.

Original Data


2000 0.15 0.1 0.4

2001 0.25 0.1 -0.02

2002 0.5 0.25 0.5

2003 0.35 0.25 0.5

2004 -0.18 -0.03 -0.4

2005 -0.3 0.08 -0.5

2006 0.4 0.3 0.6

2007 -0.17 -0.05 -0.23

2008 -0.35 -0.25 -0.4

2009 0.35 0.15 0.65

0.1

X

1 1 1 1 1 1 1 1 1 1

0.1 0.1 0.25 0.25 -0.03 0.08 0.3 -0.05 -0.25 0.15

0.4 -0.02 0.5 0.5 -0.4 -0.5 0.6 -0.23 -0.4 0.65

XT

0.143411 -0.6315 0.122029

-0.6315 10.72305 -3.03254

0.122029 -3.03254 1.37181

(XTX)

-1

1 1 1 1 1 1 1 1 1 1

0.1 0.1 0.25 0.25 -0.03 0.08 0.3 -0.05 -0.25 0.15

0.4 -0.02 0.5 0.5 -0.4 -0.5 0.6 -0.23 -0.4 0.65

XT

Residuals

0.129074 -0.77221 0.367499 0.236727 -0.08673 -0.08673 0.201645


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0.077821 0.50146 -0.20866 0.048355 0.201645

0.046552 0.532999 0.0498 0.381491 0.118509

0.046552 0.532999 0.0498 0.381491 -0.03149 0.083588

0.113545 0.259828 -0.33572 -0.20867 0.028668 eTe = Sum of S

0.031877 1.742618 -0.80648 -0.18025 -0.11975

0.02718 0.765898 0.035354 0.459646 -0.05965 0.001712 -0.00754

0.146919 -0.47016 -0.04186 -0.14574 -0.02426 -0.00754 0.128045

0.252474 -2.09924 0.33144 -0.35521 0.005207 0.001457 -0.03621

0.128006 -0.99419 0.558825 0.382158 -0.03216 Est. Var.[b|X] = (1/(n-

X(XTX)

-1X(X

TX)

-1X

Ty e = y-X(X

TX)

-1X

Ty

Predicted Values Residuals


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1 0.1 0.4 10 0.9 1.1

1 0.1 -0.02 0.9 0.3298 0.649

1 0.25 0.5 1.1 0.649 2.0658

1 0.25 0.5

1 -0.03 -0.4 XTX

1 0.08 -0.5

1 0.3 0.6

1 -0.05 -0.23

1 -0.25 -0.4

1 0.15 0.65

X -0.00928 = b0

0.666086 = b1

0.15 1 0.448505 = b2

0.25 0.5024

0.5 1.3486 b

0.35

-0.18 XTy

-0.3

0.4

-0.17

-0.35

0.35

y

0.118509 -0.03149 0.028668 -0.11975 -0.05965 -0.02426 0.005207 -0.03216


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eT

uared Residuals

0.001457 0.041382= SE(b0) -0.22433 = t(b0)

-0.03621 0.357834= SE(b1) 1.861439 = t(b1)

0.016381 0.127988= SE(b2) 3.504275 = t(b2)

-1))*eTe(X

TX)

-1


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Bond Yields: DtAgainst t and t2

D(2.5) = 0.7999402

y(0,2.5)= 0.09339477 1

1 1 1 1 1

1 2 3 4 5

1 4 9 14 25

XT

3.323076923 -2.1961538 0.326923077

-2.196153846 1.7173077 -0.278846154

0.326923077 -0.2788462 0.048076923

(XTX)

-1

1 1 1 1 1

1 2 3 4 5

1 4 9 14 25

XT

SUMMARY OUTPUT


Multiple R 0.999731062

R Square 0.999462196Adjusted R Square 0.998924391


Observations 5

ANOVA


Regression 2 0.0963909 0.048195451 1858.41211 0.0005378

Residual 2 5.1867E-05 2.59337E-05


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Total 4 0.09644277

Coefficients tandard Erro t Stat P-value Lower 95% Upper 95%

Intercept 1.044110521 0.0092833 112.4719606 7.9042E-05 1.0041677 1.08405332

X Variable 1 -0.097281394 0.00667354 -14.57718677 0.00467305 -0.1259953 -0.0685675

X Variable 2 -0.000154693 0.00111661 -0.138538637 0.90250508 -0.0049591 0.00464968

RESIDUAL OUTPUT Residual Ma

Observation Predicted Y Residuals Residuals-Squared 1 1

1 0.946674434 -0.0032782 1.07466E-05 1 2

2 0.848928961 0.00524333 2.74925E-05 1 3

3 0.750874101 0.0004407 1.94217E-07 1 4

4 0.652819241 -0.0034986 1.22399E-05 1 5

5 0.553836221 0.00109274 1.19407E-06

X

5 15 53 3.3230769

15 55 217 -2.1961538

53 217 919 0.3269231

XTX

1.453846154 -0.7576923 0.096153846 0.7923077 0.3230769

0.238461538 0.1230769 -0.038461538 0.3230769 0.3307692

-0.323076923 0.4461538 -0.076923077 0.0461538 0.2615385

-0.884615385 0.7692308 -0.115384615 -0.2307692 0.1923077

0.515384615 -0.5807692 0.134615385 0.0692308 -0.1076923

X(XTX)

-1

1 0 0 0 0

0 1 0 0 00 0 1 0 0

0 0 0 1 0

0 0 0 0 1

I


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Original Data

t y0,t Dt t t2

1 0.06 0.943396226 1 1

2 0.082

0.85417229 2 4

3 0.1 0.751314801 3 9

4 0.114 0.649320683 4 14

5 0.125 0.554928957 5 25

1 1 1 5 15 53

1 2 4 15 55 217

1 3 9 53 217 919

1 4 14

1 5 25 XTX

X

1.044110521

0.94339623 3.753132957 -0.09728139

0.85417229 10.27761273 -0.00015469

0.7513148 34.08563209

0.64932068 b

0.55492896 Xty

y


60/350

Lower 95.0% Upper 95.0%

1.00416772 1.08405332

-0.12599531 -0.06856748

-0.00495907 0.00464968

ker:

1 1 1 1 1 1

4 1 2 3 4 5

9 1 4 9 14 25

14

25 XT

-2.1961538 0.32692308

1.71730769 -0.27884615

-0.2788462 0.04807692

(XTX)

-1

0.04615385 -0.23076923 0.069230769

0.26153846 0.19230769 -0.10769231

0.32307692 0.38461538 -0.01538462

0.38461538 0.57692308 0.076923077

-0.0153846 0.07692308 0.976923077

X(XTX)

-1X

T

Residuals

0.20769231 -0.32307692 -0.04615385 0.230769 -0.06923 0.943396 -0.00328

-0.3230769 0.66923077 -0.26153846 -0.19231 0.107692 0.854172 0.005243-0.0461538 -0.26153846 0.676923077 -0.38462 0.015385 0.751315 0.000441

0.23076923 -0.19230769 -0.38461538 0.423077 -0.07692 0.649321 -0.0035

-0.0692308 0.10769231 0.015384615 -0.07692 0.023077 0.554929 0.001093

I - X(XTX)

-1X

Ty e

M = The Residual Maker

Mis idempotent and symetric


61/350

Multi-Index Model: Index 1 and Index 2

On this sheet, we use matrices to compute regression coefficients b0, b1and b2for our 2-index model.

Original Data

Year Return Index 1 Index 2

2001 0.15 0.1 -0.2

2002 0.25 0.1 -0.02

2003 0.5 0.25 0.5

2004 0.35 0.25 -0.5

2005 -0.27 -0.03 -0.4

2006 -0.3 0.08 -0.5

2007 0.4 0.3 -0.2

2008 -0.28 -0.05 -0.23

2009 -0.1 -0.25 -0.34

2010 0.5 0.15 0.1

0.12

X

1 1 1 1 1 1 1 1 1 1

0.1 0.1 0.25 0.25 -0.03 0.08 0.3 -0.05 -0.25 0.15

-0.2 -0.02 0.5 -0.5 -0.4 -0.5 -0.2 -0.23 -0.34 0.1

XT

0.208756 -0.57114 0.320413

-0.57114 4.594739 -0.88051

0.320413 -0.88051 1.347301

(XTX)

-1

1 1 1 1 1 1 1 1 1 1

0.1 0.1 0.25 0.25 -0.03 0.08 0.3 -0.05 -0.25 0.15

-0.2 -0.02 0.5 -0.5 -0.4 -0.5 -0.2 -0.23 -0.34 0.1

XT


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0.1 0.1 0.25 0.25 -0.03 0.08 0.3 -0.05 -0.25 0.15

0.13355 =E[R(i)]

0.690847 (i)2

1 0.1 -0.2 10 0.9 -1.79

1 0.1 -0.02 0.9 0.3298 0.0015 0.3298

1 0.25 0.5 -1.79 0.0015 1.1689 1.1689

1 0.25 -0.5

1 -0.03 -0.4 XTX

1 0.08 -0.5

1 0.3 -0.2

1 -0.05 -0.23

1 -0.25 -0.34

1 0.15 0.1

X 0.099129 = b0

1.154299 = b1

0.15 1.2 0.463778 = b2

0.25 0.4706

0.5 0.3664 b

0.35

-0.27 Xty

-0.3

0.4-0.28

-0.1

0.5

y


63/350

-0.2

-0.02

0.5

-0.5

-0.4 = 0.0015

-0.5

-0.2

-0.23

-0.34

0.1

=VAR[I(1)]

=VAR[I(2)]


64/350

Annual S&P500Returns Regressed on Changes in 10-Yr. T-Bond Rates and Pres

S&P 500 returns are reflected for the year ending prior to the start of the year (e.g., the return for year 1971 w

The variable 10-T Rate is the change in the prior year 10-year Treasury bond rate from one year earlier (e.g.,

The Dummy variable for the presidential party affiliation takes a value of 1 is the president as of the year start

Annual S&P500Returns Regressed on Change

DATE S&P Return 10-T Rate D/R SUMMARY OUTPUT

1972-01-01 0.104931009 1

1973-01-01 0.146176186 0.51 1 Regression Statistics

1974-01-01 -0.188260135 0.53 1 Multiple R 0.347311871

1975-01-01 -0.245031734 0.51 1 R Square 0.120625535

1976-01-01 0.334895259 0.24 1 Adjusted R Square 0.070375566

1977-01-01 0.071649804 -0.53 1 Standard Error 0.17044471

1978-01-01 -0.130539499 0.75 0 Observations 38

1979-01-01 0.104819945 1.14 0

1980-01-01 0.112225454 1.7 0 ANOVA

1981-01-01 0.199278629 1.77 0 df SS

1982-01-01 -0.118045113 2.02 1 Regression 2 0.139476326

1983-01-01 0.230179028 -4.13 1 Residual 35 1.016798967

1984-01-01 0.153153153 1.21 1 Total 37 1.156275293

1985-01-01 0.03125 -0.29 1

1986-01-01 0.213286713 -2.19 1 Coefficients Standard Error

1987-01-01 0.270413064 -2.11 1 Intercept 0.154900697 0.048006201

1988-01-01 -0.052930057 1.59 1 X Variable 1 -0.031136909 0.02118257

1989-01-01 0.139321357 0.42 1 X Variable 2 -0.116144017 0.060079523

1990-01-01 0.191205326 -0.88 1

1991-01-01 -0.042591993 -0.12 1

1992-01-01 0.278318842 -1.06 1 Annual S&P500Returns Regressed on Change

1993-01-01 0.046024803 -0.43 1 SUMMARY OUTPUT

1994-01-01 0.086758725 -0.85 0

1995-01-01 -0.016363982 2.03 0 Regression Statistics

1996-01-01 0.320623321 -2.13 0 Multiple R 0.137999705

1997-01-01 0.24706227 0.93 0 R Square 0.019043918

1998-01-01 0.257289029 -1.04 0 Adjusted R Square -0.037010715

1999-01-01 0.296265155 -0.82 0 Standard Error 0.179889907

2000-01-01 0.14159533 1.94 0 Observations 38

2001-01-01 -0.063103697 -1.5 0

2002-01-01 -0.146312976 -0.12 1 ANOVA

2003-01-01 -0.214320169 -0.99 1 df SS

2004-01-01 0.264198964 0.1 1 Regression 2 0.021988135

2005-01-01 0.043169216 0.07 1 Residual 35 1.132613259

2006-01-01 0.082376144 0.2 1 Total 37 1.154601393

2007-01-01 0.113730029 0.34 1

2008-01-01 -0.031878441 -1.02 1 Coefficients Standard Error

2009-01-01 -0.372204009 -1.22 1 Intercept 0.114025259 0.050666466

2010-01-01 0.298066037 1.21 0 X Variable 1 -0.002926917 0.022356403

0.131979921 X Variable 2 -0.052076156 0.063408832


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dential Party Affiliation; 1973 to 2010

as .104931009).

he rate increased by .51% in 1972).

is a Republican (e.g., on January 1, 1977, the president was a Republican).

s in 10-Yr. T-Bond Rates and Presidential Party Affiliation; 1973 to 2010

MS F ignificance F

0.069738163 2.400509629 0.105449

0.029051399

t Stat P-value Lower 95% Upper 95% ower 95.0 pper 95.0%

3.226680989 0.002717375 0.057443 0.252358 0.057443 0.252358

-1.469930621 0.150513397 -0.07414 0.011866 -0.07414 0.011866

-1.933171414 0.061337043 -0.23811 0.005824 -0.23811 0.005824

s in 10-Yr. T-Bond Rates and Presidential Party Affiliation; 1974 (lagged independent variables

MS F ignificance F

0.010994067 0.339738526 0.714278

0.032360379

t Stat P-value Lower 95% Upper 95% ower 95.0 pper 95.0%

2.250507454 0.030802901 0.011167 0.216884 0.011167 0.216884

-0.13092077 0.896587624 -0.04831 0.042459 -0.04831 0.042459

-0.821276069 0.41704832 -0.1808 0.076651 -0.1808 0.076651


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) to 2011


67/350

Management Compensation = f(merger, stock performance, interaction)

(000's) Stock Merger Interaction

Firm Compensation Return Dummy Term SUMMARY OUTPUT

1 1309.057596 0.15 0 0

2 968.3782619 0.1 0 0 Regression Statistics3 1507.801144 0.22 0 0 Multiple R 0.996832

4 1764.293366 0.45 0 0 R Square 0.993674

5 861.3526143 -0.07 0 0 Adjusted R 0.990512

6 3265.62936 0.18 1 0.18 Standard E 109.2285

7 1845.469454 -0.02 1 -0.02 Observatio 10

8 4155.041237 0.31 1 0.31

9 2910.433255 0.15 1 0.15 ANOVA

10 3180.97272 0.17 1 0.17 df SS

Regression 3 11245146

Residual 6 71585.23

Total 9 11316731

Coefficientsandard Err

Intercept 964.5202 69.16621

X Variable 1868.567 288.0425

X Variable 996.8745 111.9759

X Variable 5157.474 545.909

SUMMARY OUTPUT


Multiple R 0.94846

R Square 0.899575

Adjusted R 0.870883

Standard E 402.9317

Observatio 10

ANOVA

df SSRegression 2 10180254

Residual 7 1136478

Total 9 11316731

Coefficientsandard Err

Intercept 720.4253 236.6764

X Variable 3304.419 902.6088

X Variable 1828.986 255.0665


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Compensation on return, merger dummy and interaction

MS F ignificance F

3748382 314.1751 5.52E-07

11930.87

t Stat P-value Lower 95%Upper 95% ower 95.0 pper 95.0%

13.94496 8.48E-06 795.2766 1133.764 795.2766 1133.764

6.487122 0.000638 1163.752 2573.382 1163.752 2573.382

8.902582 0.000112 722.8794 1270.87 722.8794 1270.87

9.447497 8E-05 3821.683 6493.265 3821.683 6493.265

Compensation on return and merger dummy

MS F ignificance F 5090127 31.35204 0.000321

162353.9

t Stat P-value Lower 95%Upper 95% ower 95.0 pper 95.0%

3.043926 0.018743 160.7747 1280.076 160.7747 1280.076

3.660965 0.00806 1170.089 5438.75 1170.089 5438.75

7.170624 0.000182 1225.849 2432.122 1225.849 2432.122


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Price Data for Three Target FirmsTarget Firm Symbol Announcement Date

Fleet Boston FBF 10/27/2003

Disney DIS 2/11/2004

AT&T Wireless AWE 1/18/2004

FBF DIS

Date Calendar Open High Low Close Volume Adj. Close Date Calendar Date Open High

10 10-Nov-03 40.32 40.6 40.21 40.35 4,188,800 39.69 10 26-Feb-04 26.55 26.98

9 7-Nov-03 41 41.02 40.5 40.5 6,886,200 39.84 9 25-Feb-04 26 26.39

8 6-Nov-03 40.55 40.94 40.1 40.93 10,945,000 40.26 8 24-Feb-04 26.39 26.43

7 5-Nov-03 40.02 40.57 40 40.55 11,056,600 39.89 7 23-Feb-04 26.55 26.75

6 4-Nov-03 40.45 40.8 40.14 40.26 13,285,900 39.6 6 20-Feb-04 26.99 26.99

5 3-Nov-03 40.3 40.57 39.91 40.52 12,562,300 39.86 5 19-Feb-04 27 27.05

4 31-Oct-03 40 40.48 40 40.39 11,617,100 39.73 4 18-Feb-04 26.8 26.86

3 30-Oct-03 39.95 40.23 39.46 40.1 18,065,700 39.45 3 17-Feb-04 27.4 27.5

2 29-Oct-03 38.62 39.9 38.6 39.55 27,672,400 38.9 2 13-Feb-04 27.6 27.75

1 28-Oct-03 39.05 39.5 38.39 38.8 29,173,800 38.17

1 12-Feb-04 27.95 28.4

0 27-Oct-03 39.81 40.44 39 39.2 57,491,700 38.56 0 11-Feb-04 27.92 28

-1 24-Oct-03 32.04 32.05 31.56 31.8 2,836,800 31.28 -1 10-Feb-04 23.85 24.3

-2 23-Oct-03 31.99 32.23 31.84 32.06 4,354,300 31.54 -2 9-Feb-04 23.35 23.98

-3 22-Oct-03 32.02 32.29 31.9 31.99 3,514,300 31.47 -3 6-Feb-04 23.1 23.53

-4 21-Oct-03 32.76 32.76 32.4 32.41 3,773,000 31.88 -4 5-Feb-04 23.3 23.52

-5 20-Oct-03 32.73 32.74 32.35 32.7 2,893,400 32.17 -5 4-Feb-04 23.06 23.72

-6 17-Oct-03 32.97 32.98 32.51 32.61 2,856,100 32.08 -6 3-Feb-04 23.43 23.88

-7 16-Oct-03 32.4 32.99 32.31 32.85 4,096,100 32.31 -7 2-Feb-04 23.8 24.03

-8 15-Oct-03 32.8 32.95 32.35 32.52 3,479,400 31.99 -8 30-Jan-04 23.72 24.18

-9 14-Oct-03 32.5 32.69 32.26 32.63 3,323,900 32.1 -9 29-Jan-04 23.8 24.65

-10 13-Oct-03 32.16 32.77 32.16 32.4 2,393,700 31.87 -10 28-Jan-04 24.07 24.13


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AWE

Adj. Close Date Calendar Open High Low Close Volume Adj. Close26.73 10 3-Feb-04 11.09 11.18 11.03 11.08 14,936,800 11.08

26.3 9 2-Feb-04 11.12 11.22 10.94 11.16 15,673,900 11.16

25.96 8 30-Jan-04 11.05 11.23 11 11.05 28,907,200 11.05

26.75 7 29-Jan-04 11.18 11.22 10.91 11.03 25,697,400 11.03

26.55 6 28-Jan-04 11.17 11.42 11 11.02 31,273,600 11.02

27 5 27-Jan-04 10.83 11.3 10.83 11.17 39,559,300 11.17

26.71 4 26-Jan-04 10.85 10.95 10.81 10.93 24,564,500 10.93

26.9 3 23-Jan-04 10.73 10.73 10.38 10.61 33,173,600 10.61

26.92 2 22-Jan-04 10.86 10.88 10.55 10.56 48,225,200 10.56

28 1 21-Jan-04 10.61 11 10.58 10.99 47,392,700 10.99

27.6 0 20-Jan-04 10.43 10.75 10.25 10.39 53,621,200 10.39

24.08 -1 16-Jan-04 9.93 10.05 9.86 9.99 36,760,400 9.99

23.77 -2 15-Jan-04 9.89 10.17 9.53 9.81 55,545,100 9.81

23.35 -3 14-Jan-04 9.45 10.1 9.15 9.99 73,782,600 9.99

23.2 -4 13-Jan-04 8.23 8.63 8.15 8.55 26,165,300 8.55

23.19 -5 12-Jan-04 8.16 8.16 7.94 8.13 16,523,200 8.13

23.26 -6 9-Jan-04 8.19 8.21 8.08 8.15 14,415,300 8.15

23.8 -7 8-Jan-04 8.25 8.32 8.16 8.24 14,480,700 8.24

24 -8 7-Jan-04 8.47 8.5 8.1 8.21 16,616,700 8.21

24.45 -9 6-Jan-04 7.98 8.31 7.92 8.29 16,318,100 8.29

23.67 -10 5-Jan-04 8 8.08 7.76 8.03 27,337,700 8.03


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Returns Data for Three Target FirmsTarget Firm Symbol Announcement DateFleet Boston FBF 10/27/2003



PRICES RETURNS

Date FBF DIS AWE FBF DIS AWE10 39.69 26.73 11.08 -0.004 0.016 -0.01

9 39.84 26.3 11.16 -0.01 0.013 0.01

8 40.26 25.96 11.05 0.009 -0.03 0.002

7 39.89 26.75 11.03 0.007 0.008 9E-04

6 39.6 26.55 11.02 -0.007 -0.02 -0.01

5 39.86 27 11.17 0.003 0.011 0.022

4 39.73 26.71 10.93 0.007 -0.01 0.03

3 39.45 26.9 10.61 0.014 -0 0.005

2 38.9 26.92 10.56 0.019 -0.04 -0.04

1 38.17 28 10.99 -0.01 0.014 0.058

0 38.56 27.6 10.39 0.233 0.146 0.04

-1 31.28 24.08 9.99 -0.008 0.013 0.018-2 31.54 23.77 9.81 0.002 0.018 -0.02

-3 31.47 23.35 9.99 -0.013 0.006 0.168

-4 31.88 23.2 8.55 -0.009 4E-04 0.052

-5 32.17 23.19 8.13 0.003 -0 -0

-6 32.08 23.26 8.15 -0.007 -0.02 -0.01

-7 32.31 23.8 8.24 0.01 -0.01 0.004

-8 31.99 24 8.21 -0.003 -0.02 -0.01

-9 32.1 24.45 8.29 0.007 0.033 0.032

-10 31.87 23.67 8.03 N/A N/A N/A


72/350


73/350

DATA FOR THE S&P 500 (^GSPC)Calendar Open High Low Close Volume Adj. Close Return FBF

26-Feb-04 1,140.94 1,147.22 1,138.67 1,144.91 1,620,109,952 1,144.91 0.001084

25-Feb-04 1,140.30 1,145.18 1,138.76 1,143.67 1,607,939,968 1,143.67 0.004021

24-Feb-04 1,137.74 1,144.52 1,134.61 1,139.09 1,994,489,984 1,139.09 -0.00167

23-Feb-04 1,146.56 1,146.66 1,137.35 1,140.99 1,820,160,000 1,140.99 -0.00273

20-Feb-04 1,147.06 1,149.68 1,139.07 1,144.11 1,850,130,048 1,144.11 -0.00257

19-Feb-04 1,157.82 1,158.54 1,146.83 1,147.06 1,975,500,032 1,147.06 -0.00413

18-Feb-04 1,156.99 1,157.32 1,149.85 1,151.82 1,674,780,032 1,151.82 -0.00447

17-Feb-04 1,153.76 1,158.99 1,145.81 1,156.99 1,667,270,016 1,156.99 0.009757

13-Feb-04 1,153.28 1,156.75 1,143.76 1,145.81 1,624,380,032 1,145.81 -0.00547

12-Feb-04 1,154.88 1,157.76 1,151.43 1,152.11 1,697,430,016 1,152.11 -0.00488

11-Feb-04 1,144.79 1,158.76 1,142.38 1,157.76 2,102,109,952 1,157.76 0.010667

10-Feb-04 1,139.38 1,146.87 1,138.91 1,145.54 1,554,960,000 1,145.54 0.005027

9-Feb-04 1,143.23 1,144.45 1,139.21 1,139.81 1,507,350,016 1,139.81 -0.00258

6-Feb-04 1,128.89 1,142.77 1,128.58 1,142.76 1,772,659,968 1,142.76 0.012555

5-Feb-04 1,128.42 1,131.10 1,124.45 1,128.59 1,941,209,984 1,128.59 0.001838

4-Feb-04 1,128.74 1,136.03 1,124.84 1,126.52 2,146,780,032 1,126.52 -0.00837

3-Feb-04 1,134.86 1,137.31 1,131.45 1,136.03 1,740,009,984 1,136.03 0.0006782-Feb-04 1,132.58 1,142.47 1,127.88 1,135.26 1,948,329,984 1,135.26 0.003651

30-Jan-04 1,133.06 1,133.20 1,127.81 1,131.13 1,309,560,064 1,131.13 -0.00263

29-Jan-04 1,130.06 1,134.19 1,122.41 1,134.11 1,631,110,016 1,134.11 0.004989

28-Jan-04 1,146.31 1,149.08 1,126.61 1,128.48 1,483,849,984 1,128.48 -0.01361

27-Jan-04 1,154.38 1,155.14 1,144.05 1,144.05 1,379,830,016 1,144.05 -0.0098

26-Jan-04 1,141.15 1,155.37 1,141.15 1,155.37 1,180,950,016 1,155.37 0.012106

23-Jan-04 1,145.98 1,150.21 1,136.84 1,141.55 1,322,759,936 1,141.55 -0.00209

22-Jan-04 1,147.99 1,150.43 1,143.04 1,143.94 1,390,669,952 1,143.94 -0.00321

21-Jan-04 1,137.85 1,148.91 1,134.65 1,147.62 1,404,349,952 1,147.62 0.007772

20-Jan-04 1,140.80 1,142.80 1,135.41 1,138.77 1,444,819,968 1,138.77 -0.00093

16-Jan-04 1,134.57 1,139.83 1,133.52 1,139.83 1,580,880,000 1,139.83 0.006872

15-Jan-04 1,128.67 1,136.35 1,123.76 1,132.05 1,451,590,016 1,132.05 0.00135314-Jan-04 1,122.68 1,130.74 1,122.68 1,130.52 1,218,739,968 1,130.52 0.008295

13-Jan-04 1,127.11 1,129.04 1,115.24 1,121.22 1,292,179,968 1,121.22 -0.00533

12-Jan-04 1,123.10 1,127.85 1,121.06 1,127.23 1,162,499,968 1,127.23 0.004787

9-Jan-04 1,128.92 1,131.30 1,120.97 1,121.86 1,386,509,952 1,121.86 -0.00889

8-Jan-04 1,126.33 1,131.92 1,124.91 1,131.92 1,571,629,952 1,131.92 0.004963

7-Jan-04 1,122.32 1,126.33 1,116.45 1,126.33 1,376,790,016 1,126.33 0.002367

6-Jan-04 1,120.74 1,124.44 1,118.52 1,123.67 1,239,250,048 1,123.67 0.001292

5-Jan-04 1,112.35 1,122.22 1,112.35 1,122.22 1,306,880,000 1,122.22 0.012395

2-Jan-04 1,112.61 1,118.70 1,105.02 1,108.48 951,875,008 1,108.48 -0.00309

31-Dec-03 1,109.54 1,112.52 1,106.26 1,111.92 817,198,976 1,111.92 0.002055

30-Dec-03 1,108.65 1,109.75 1,106.40 1,109.64 774,324,992 1,109.64 0.000144

29-Dec-03 1,097.53 1,109.48 1,097.53 1,109.48 813,236,992 1,109.48 0.012401

26-Dec-03 1,094.75 1,098.46 1,094.75 1,095.89 258,871,008 1,095.89 0.001691

24-Dec-03 1,094.56 1,096.38 1,092.75 1,094.04 392,068,000 1,094.04 -0.00181

23-Dec-03 1,091.88 1,096.79 1,091.77 1,096.02 934,430,976 1,096.02 0.002818

22-Dec-03 1,086.58 1,092.94 1,085.82 1,092.94 984,177,984 1,092.94 0.003922

19-Dec-03 1,090.02 1,091.03 1,084.24 1,088.67 1,445,660,032 1,088.67 -0.00047

18-Dec-03 1,076.92 1,089.45 1,076.92 1,089.18 1,257,990,016 1,089.18 0.011798

17-Dec-03 1,074.16 1,076.52 1,071.16 1,076.48 1,094,589,952 1,076.48 0.001256

16-Dec-03 1,068.37 1,075.91 1,068.34 1,075.13 1,245,350,016 1,075.13 0.006638


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15-Dec-03 1,080.11 1,082.82 1,068.04 1,068.04 1,248,720,000 1,068.04 -0.00568

12-Dec-03 1,072.14 1,074.77 1,067.83 1,074.14 948,680,000 1,074.14 0.002735

11-Dec-03 1,059.55 1,073.62 1,059.55 1,071.21 1,159,949,952 1,071.21 0.011482

10-Dec-03 1,061.06 1,063.01 1,053.52 1,059.05 1,187,289,984 1,059.05 -0.00107

9-Dec-03 1,070.74 1,071.77 1,059.26 1,060.18 1,194,749,952 1,060.18 -0.00853

8-Dec-03 1,061.12 1,069.53 1,061.02 1,069.30 975,227,008 1,069.30 0.007348

5-Dec-03 1,066.88 1,068.26 1,060.06 1,061.50 1,041,070,016 1,061.50 -0.007684-Dec-03 1,065.28 1,070.32 1,063.15 1,069.72 1,239,149,952 1,069.72 0.004687

3-Dec-03 1,067.73 1,074.21 1,064.64 1,064.73 1,266,130,048 1,064.73 -0.00177

2-Dec-03 1,069.01 1,071.20 1,065.31 1,066.62 1,136,499,968 1,066.62 -0.00327

1-Dec-03 1,061.89 1,070.43 1,061.89 1,070.12 1,143,100,032 1,070.12 0.011264

28-Nov-03 1,057.92 1,060.64 1,056.79 1,058.20 396,096,992 1,058.20 -0.00024

26-Nov-03 1,055.76 1,058.45 1,048.52 1,058.45 912,113,024 1,058.45 0.004327

25-Nov-03 1,051.73 1,058.00 1,049.29 1,053.89 1,100,470,016 1,053.89 0.00172

24-Nov-03 1,038.54 1,052.08 1,038.54 1,052.08 1,089,609,984 1,052.08 0.016227

21-Nov-03 1,035.77 1,037.52 1,031.24 1,035.28 1,054,049,984 1,035.28 0.001577

20-Nov-03 1,040.56 1,046.46 1,033.39 1,033.65 1,103,810,048 1,033.65 -0.00843

19-Nov-03 1,034.74 1,043.79 1,034.19 1,042.44 1,126,210,048 1,042.44 0.008016

18-Nov-03 1,045.19 1,048.73 1,034.09 1,034.15 1,190,979,968 1,034.15

-0.0090817-Nov-03 1,048.68 1,048.68 1,035.23 1,043.63 1,125,090,048 1,043.63 -0.0064

14-Nov-03 1,057.86 1,063.65 1,048.11 1,050.35 1,162,480,000 1,050.35 -0.00762

13-Nov-03 1,055.98 1,059.65 1,052.97 1,058.41 1,188,499,968 1,058.41 -0.00014

12-Nov-03 1,046.64 1,059.14 1,046.64 1,058.56 1,076,380,032 1,058.56 0.011456

11-Nov-03 1,046.93 1,048.25 1,043.46 1,046.57 931,601,984 1,046.57 -0.00052

10-Nov-03 1,053.16 1,053.58 1,045.58 1,047.11 1,013,539,968 1,047.11 -0.00579 10

7-Nov-03 1,059.01 1,062.39 1,052.19 1,053.21 1,244,009,984 1,053.21 -0.00457 9

6-Nov-03 1,053.14 1,058.97 1,046.89 1,058.05 1,285,590,016 1,058.05 0.005933 8

5-Nov-03 1,052.99 1,054.58 1,044.89 1,051.81 1,180,329,984 1,051.81 -0.00137 7

4-Nov-03 1,058.01 1,058.12 1,051.64 1,053.25 1,244,120,064 1,053.25 -0.00545 6

3-Nov-03 1,051.75 1,061.44 1,051.75 1,059.02 1,185,389,952 1,059.02 0.007909 5

31-Oct-03 1,047.79 1,053.10 1,047.79 1,050.71 1,216,169,984 1,050.71 0.003601 4

30-Oct-03 1,050.13 1,052.89 1,043.83 1,046.94 1,384,019,968 1,046.94 -0.00112 3

29-Oct-03 1,045.91 1,049.85 1,043.34 1,048.11 1,302,809,984 1,048.11 0.001261 2

28-Oct-03 1,032.94 1,046.79 1,032.94 1,046.79 1,468,050,048 1,046.79 0.015187 1

27-Oct-03 1,030.50 1,037.78 1,029.17 1,031.13 1,154,749,952 1,031.13 0.002158 0

24-Oct-03 1,030.75 1,030.75 1,018.27 1,028.91 1,312,199,936 1,028.91 -0.0047 -1

23-Oct-03 1,027.98 1,035.45 1,025.83 1,033.77 1,375,010,048 1,033.77 0.00331 -2

22-Oct-03 1,043.93 1,043.93 1,028.39 1,030.36 1,287,069,952 1,030.36 -0.01498 -3

21-Oct-03 1,045.20 1,049.40 1,042.53 1,046.03 1,212,889,984 1,046.03 0.001292 -4

20-Oct-03 1,039.39 1,044.69 1,036.13 1,044.68 1,007,980,032 1,044.68 0.005157 -5

17-Oct-03 1,050.02 1,051.92 1,036.56 1,039.32 1,185,810,048 1,039.32 -0.01024 -6

16-Oct-03 1,045.14 1,052.98 1,043.99 1,050.07 1,212,999,936 1,050.07 0.003162 -7

15-Oct-03 1,052.95 1,053.72 1,043.10 1,046.76 1,361,500,032 1,046.76 -0.00259 -8

14-Oct-03 1,044.69 1,049.49 1,040.84 1,049.48 1,043,310,016 1,049.48 0.003951 -913-Oct-03 1,039.60 1,048.93 1,039.60 1,045.35 908,182,976 1,045.35 #DIV/0! -10


75/350

DIS AWE10

9

8

7

6

5

4

3

2

1

0

-1

-2

-3

-4

-5

-6 10-7 9

-8 8

-9 7

-10 6

5

4

3

2

1

0

-1

-2-3

-4

-5

-6

-7

-8

-9

-10


76/350

Abnormal Returns Data for Three Target FirmsTarget Firm Symbol Announcement DateFleet Boston FBF 10/27/2003



Abnormal Returns Average Residual Normal CAR

Date FBF DIS AWE Residuals (ARs) s Deviate CAR FBF10 0.002027 0.015266 -0.0078467 0.00314854 0.0116 0.2715 0.229858 0.241609

9 -0.00586 0.009076 0.0063035 0.003174039 0.00794 0.39957 0.226709 0.239582

8 0.003343 -0.02787 0.0044408 -0.006694588 0.01834 -0.3649 0.223535 0.24544

7 0.00869 0.01026 -0.0040816 0.004956275 0.00787 0.63007 0.23023 0.242097

6 -0.00107 -0.01409 0.0001807 -0.004996184 0.0079 -0.6321 0.225274 0.233407

5 -0.00464 0.01499 0.0317556 0.014036246 0.01821 0.77059 0.23027 0.234481

4 0.003497 -0.00259 0.0180539 0.006318598 0.01061 0.59555 0.216234 0.239118

3 0.015255 -0.0105 0.0068241 0.003859667 0.01313 0.29393 0.209915 0.235621

2 0.017864 -0.0331 -0.0359198 -0.017053025 0.03027 -0.5633 0.206055 0.220366

1 -0.0253 0.019373 0.0499763 0.01468261 0.03786 0.38784 0.223108 0.202502

0 0.230579 0.135512 0.04097 0.135686966 0.0948 1.43123 0.208426 0.227803

-1 -0.00354 0.008014 0.0114761 0.005316123 0.00786 0.67597 0.072739 -0.00278-2 -0.00109 0.020569 -0.0193714 3.73539E-05 0.01999 0.00187 0.067423 0.000767

-3 0.00212 -0.00609 0.1601265 0.052052089 0.09369 0.55561 0.067385 0.001852

-4 -0.01031 -0.00141 0.0569922 0.015093001 0.03656 0.41285 0.015333 -0.00027

-5 -0.00235 0.005362 -0.0072407 -0.001410205 0.00635 -0.2219 0.00024 0.010039

-6 0.003119 -0.02337 -0.0020348 -0.007427746 0.01404 -0.5289 0.00165 0.012391

-7 0.006841 -0.01198 -0.0013089 -0.002150834 0.00944 -0.2278 0.009078 0.009272

-8 -0.00084 -0.01578 -0.0120174 -0.009543251 0.00777 -1.2279 0.011229 0.002431

-9 0.003266 0.027964 0.0310865 0.020772193 0.01524 1.36292 0.020772 0.003266

-10 N/A N/A N/A N/A N/A N/A N/A N/A


77/350

CAR CAR CAR Normal

DIS AWE CAR s Deviate0.1196 0.328365 0.229858 0.104878 2.191678

0.104334 0.336212 0.226709 0.116474 1.946444

0.095258 0.329908 0.223535 0.118849 1.880836

0.123125 0.325467 0.23023 0.101692 2.263999

0.112865 0.329549 0.225274 0.108571 2.074906

0.12696 0.329368 0.23027 0.10127 2.273827

0.11197 0.297613 0.216234 0.094913 2.278221

0.114565 0.279559 0.209915 0.085448 2.456643

0.125065 0.272735 0.206055 0.074868 2.752261

0.158168 0.308654 0.223108 0.07733 2.885135

0.138796 0.258678 0.208426 0.062246 3.348411

0.003284 0.217708 0.072739 0.125584 0.579205-0.00473 0.206232 0.067423 0.120244 0.560715

-0.0253 0.225603 0.067385 0.137692 0.489392

-0.01921 0.065477 0.015333 0.044446 0.34498

-0.0178 0.008485 0.00024 0.015645 0.01535

-0.02317 0.015725 0.00165 0.021555 0.076564

0.000202 0.01776 0.009078 0.008781 1.033889

0.012187 0.019069 0.011229 0.00836 1.343124

0.027964 0.031086 0.020772 0.015241 1.362916

N/A N/A N/A N/A N/A


78/350

Normally Distributed Random Variables with a Known Event DisturbanceMean return for stocks is zero

= 0.02

Disturbances: Day 15 = 0.02 Day 16 = 0.1 Day 17 = 0.02

Day Stock 1 Stock 2 Stock 3 Stock 4 Stock 5 Stock 6 Stock 7 Stock 8 Stock 9

1 -0.02133 -0.03944 -0.04063 0.013753 0.024338 0.013901 0.002214 -0.00786 -0.0221

2 0.015773 -0.02728 -0.04608 0.036016 -0.01579 0.020201 -0.01644 0.000586 0.047479

3 -0.01916 0.024521 0.021839 -0.01059 0.015296 0.003858 0.008798 -0.01135 0.006264

4 0.017415 -0.02116 0.01447 0.053503 0.031664 0.0114 -0.01967 0.022197 -0.04761

5 0.025689 0.023127 0.010833 0.050723 -0.01718 0.009295 0.022964 -0.0097 0.015227

6 -0.01876 0.001734 -0.01694 0.036527 0.022324 0.017004 0.004413 -0.0153 -0.04079

7 -0.01072 -0.02337 -0.03337 -0.01564 0.001881 0.03148 -0.02824 -0.00838 0.024362

8 0.00216 -0.00315 -0.00324 0.001318 0.002044 0.018464 0.016201 0.017189 -0.001

9 -0.00472 -0.00629 -0.02614 0.018582 -0.00741 -0.04172 -0.02901 0.010515 -0.00245

10 0.029143 -0.02718 0.016767 -0.01752 -0.01263 0.014528 -0.01582 -0.0085 -0.02511

11 0.004585 0.010937 0.060108 -0.00965 -0.0124 -0.01598 -0.01194 -0.00724 -0.0095512 -0.03029 -0.01757 0.020814 -0.00673 0.018264 0.012137 0.008318 0.00511 -0.02764

13 -0.02533 -0.00744 0.027665 0.014545 0.010801 0.03043 0.00987 -0.00304 0.002565

14 -0.01699 0.024913 -0.01844 -0.00421 0.002734 -0.00533 -0.02348 -0.00064 0.033674

15 -0.01917 0.014273 0.001384 0.011203 0.03121 0.039011 0.021403 0.03697 -0.00857

16 0.106761 0.066392 0.114192 0.128066 0.106272 0.12978 0.100843 0.112434 0.08292

17 0.010656 0.020415 0.015694 0.032765 0.00482 0.016734 0.031472 0.024403 0.003825

18 0.007613 -0.00832 -0.01971 -0.0292 -0.00726 -0.01084 0.015776 0.005767 0.006824

19 0.013551 0.014452 0.00883 0.013437 0.017094 -0.01235 -0.00264 -0.01017 -0.01576

20 -0.02974 -0.00764 0.009313 0.000268 -0.04274 -0.01019 0.004781 -0.00481 0.005346

21 -0.00667 -0.01979 -0.00178 -0.01232 -0.02101 8.93E-06 0.007307 -0.00158 0.028634

22 -0.00836 0.02472 -0.01234 0.001888 0.011671 -0.01718 -0.00104 0.025131 0.01113923 -0.00221 0.015561 -0.01557 0.011987 -0.00782 0.004691 -0.009 0.035956 -0.00646

24 -0.00128 0.031332 0.041078 0.00423 -0.02593 -0.01894 0.008255 -0.0101 0.013808

25 -0.01382 0.004126 0.00842 0.013696 0.003421 0.028837 -0.00805 -0.05296 0.007706

26 -0.03214 -0.00242 0.016916 -0.03128 -0.0125 -0.00611 -0.03522 -0.00394 -0.00854

27 -0.02543 -0.02197 0.007834 0.023475 -0.01929 -0.00766 -0.00279 0.007546 -0.01022

28 -0.02439 0.005896 -0.00592 0.005561 0.010012 -0.00781 -0.01585 -0.0102 -0.02482

29 0.003008 -0.02399 0.015248 -0.00081 0.014718 0.02874 -0.02566 -0.01668 0.020984

30 0.015923 -0.01956 0.022825 0.009641 0.005737 -0.01406 0.005194 0.000836 -0.02827

31 -0.01271 -0.01835 -0.01987 0.008931 -0.01053 -0.02104 -0.03053 0.003643 -0.02711


79/350

Average Residuals Cumulative Average Resi

Stock 10 ARt t Normal Deviate Day Stock 1 Stock 2 Stock 3

0.021087 -0.0056064 0.024316 -0.23056279 1 -0.02133 -0.03944 -0.04063

-0.01646 -0.00019872 0.029563 -0.00672202 2 -0.00555 -0.06672 -0.08671

-0.00213 0.003735327 0.014593 0.255961867 3 -0.02471 -0.0422 -0.06487

-0.02857 0.003365117 0.031277 0.107590806 4 -0.0073 -0.06336 -0.0504

-0.04834 0.008263766 0.027434 0.301218451 5 0.01839 -0.04023 -0.03956

0.019562 0.000978712 0.023696 0.041302543 6 -0.00037 -0.0385 -0.0565

-0.01798 -0.00799727 0.021496 -0.37204036 7 -0.01108 -0.06186 -0.08987

-0.00966 0.004031824 0.009785 0.412047361 8 -0.00892 -0.06501 -0.09311

0.017057 -0.00715971 0.020064 -0.35684533 9 -0.01364 -0.07131 -0.11925

-0.00598 -0.00523023 0.019038 -0.2747229 10 0.015499 -0.09849 -0.10248

-0.00416 0.000469207 0.022503 0.020850837 11 0.020084 -0.08755 -0.042370.016869 -7.1639E-05 0.019233 -0.00372472 12 -0.01021 -0.10512 -0.02156

0.02285 0.008290974 0.017207 0.481845111 13 -0.03554 -0.11256 0.006105

-0.00753 -0.00152889 0.018324 -0.08343793 14 -0.05253 -0.08765 -0.01233

-0.00816 0.011955126 0.020359 0.587229672 15 -0.0717 -0.07338 -0.01095

0.093259 0.104092048 0.019481 5.343287332 16 0.035059 -0.00698 0.103246

0.018472 0.017925548 0.009899 1.810760682 17 0.045715 0.01343 0.11894

0.035206 -0.00041351 0.018573 -0.02226351 18 0.053328 0.00511 0.099234

-0.01148 0.001495071 0.013184 0.113403536 19 0.066879 0.019563 0.108064

0.014929 -0.00604884 0.017925 -0.33745768 20 0.037139 0.01192 0.117377

-0.0017 -0.00289113 0.014252 -0.20286412 21 0.030468 -0.00788 0.115594

0.001011 0.003663406 0.014498 0.252676017 22 0.022103 0.016844 0.1032490.021277 0.004842045 0.016159 0.299647653 23 0.019893 0.032406 0.087677

0.001965 0.004441952 0.020781 0.213748429 24 0.01861 0.063738 0.128755

0.0156 0.000698365 0.022303 0.03131315 25 0.004794 0.067864 0.137174

0.017427 -0.00978096 0.018776 -0.5209155 26 -0.02734 0.065447 0.154091

0.010563 -0.00379523 0.016019 -0.23692451 27 -0.05277 0.04348 0.161925

-0.00132 -0.0068832 0.012273 -0.56081869 28 -0.07716 0.049376 0.156006

-0.04635 -0.00307908 0.024245 -0.12699609 29 -0.07415 0.025385 0.171254

0.007682 0.000595317 0.016203 0.036741347 30 -0.05823 0.005825 0.194079

0.012813 -0.01147522 0.015107 -0.75958633 31 -0.07094 -0.01252 0.174205

Averages: 0.003441412 0.018986 0.2004433


80/350

uals for Individual Stocks Cumulative Ave

Stock 4 Stock 5 Stock 6 Stock 7 Stock 8 Stock 9 Stock 10 Day CARt

0.013753 0.024338 0.013901 0.002214 -0.00786 -0.0221 0.021087 1 -0.00561

0.04977 0.008547 0.034101 -0.01422 -0.00727 0.025376 0.00463 2 -0.00581

0.039183 0.023843 0.037959 -0.00542 -0.01862 0.031639 0.002501 3 -0.00207

0.092686 0.055508 0.049359 -0.02509 0.003581 -0.01597 -0.02607 4 0.001295

0.143409 0.038329 0.058654 -0.00213 -0.00612 -0.00074 -0.07441 5 0.009559

0.179936 0.060652 0.075658 0.002286 -0.02142 -0.04153 -0.05485 6 0.010538

0.164293 0.062534 0.107138 -0.02596 -0.02979 -0.01716 -0.07283 7 0.002541

0.165611 0.064578 0.125602 -0.00976 -0.01261 -0.01816 -0.0825 8 0.006572

0.184194 0.057169 0.08388 -0.03877 -0.00209 -0.02061 -0.06544 9 -0.00059

0.166679 0.044536 0.098408 -0.05459 -0.01059 -0.04572 -0.07141 10 -0.00582

0.157026 0.032131 0.08243 -0.06653 -0.01784 -0.05528 -0.07558 11 -0.005350.150296 0.050394 0.094567 -0.05822 -0.01273 -0.08291 -0.05871 12 -0.00542

0.16484 0.061195 0.124997 -0.04835 -0.01577 -0.08035 -0.03586 13 0.002871

0.160627 0.063929 0.119671 -0.07183 -0.01641 -0.04667 -0.04339 14 0.001342

0.17183 0.095139 0.158681 -0.05042 0.020562 -0.05524 -0.05155 15 0.013297

0.299896 0.201411 0.288462 0.050421 0.132996 0.027677 0.041709 16 0.117389

0.332661 0.206231 0.305196 0.081894 0.157399 0.031503 0.06018 17 0.135315

0.30346 0.198975 0.294357 0.097669 0.163166 0.038326 0.095386 18 0.134901

0.316897 0.216069 0.282002 0.09503 0.152995 0.022562 0.083903 19 0.136396

0.317165 0.173331 0.271807 0.099811 0.148185 0.027908 0.098832 20 0.130348

0.304846 0.152318 0.271816 0.107119 0.146609 0.056543 0.097127 21 0.127456

0.306734 0.163989 0.254637 0.106083 0.17174 0.067681 0.098139 22 0.131120.318721 0.156172 0.259328 0.097085 0.207696 0.061224 0.119416 23 0.135962

0.322951 0.130247 0.240391 0.105341 0.197592 0.075032 0.121381 24 0.140404

0.336647 0.133668 0.269229 0.097289 0.144637 0.082738 0.136981 25 0.141102

0.305368 0.121164 0.263114 0.062065 0.140694 0.074202 0.154409 26 0.131321

0.328843 0.101869 0.255449 0.059272 0.14824 0.063982 0.164972 27 0.127526

0.334404 0.111881 0.247639 0.043423 0.138041 0.039166 0.163651 28 0.120643

0.33359 0.1266 0.276379 0.017764 0.121366 0.06015 0.117302 29 0.117564

0.343231 0.132336 0.262323 0.022958 0.122202 0.031881 0.124984 30 0.118159

0.352162 0.121804 0.241287 -0.00757 0.125845 0.004769 0.137797 31 0.106684

Averages:


81/350

rage Residual Statistics

t Normal Deviate

0.024316 -0.23056

0.042554 -0.13642

0.035722 -0.05794

0.04975 0.026037

0.061158 0.1563

0.074937 0.140622

0.082666 0.030732

0.086478 0.076

0.08815 -0.00666

0.088089 -0.06604

0.078581 -0.068060.081152 -0.06679

0.088668 0.032379

0.084508 0.015881

0.095049 0.139899

0.110848 1.059011

0.113407 1.19318

0.103166 1.307613

0.103878 1.313047

0.101313 1.286589

0.09861 1.292524

0.094449 1.3882530.098923 1.374417

0.090312 1.55465

0.096623 1.460336

0.098023 1.339697

0.109966 1.159683

0.11648 1.03574

0.121736 0.965728

0.123696 0.955235

0.130682 0.81636

0.08948 0.628627


82/350

Normally Distributed Random Variables with a Known Event DisturbanceMean return for stocks is zero

= 0.02

Disturbances: Day 3 = 0 Day 4= 0.05 Day 5 = 0.02


1 0.00318 -0.0026 -0.00347 -0.00122 -0.00875 0.024333 0.028207 0.032912 0.022793

2 -0.00288 -0.00708 0.021229 0.009362 -0.02235 0.018954 0.013334 -0.0391 0.003159

3 0.013999 -0.00835 0.005475 0.014003 0.008172 0.010376 -0.01584 -0.04022 -0.03256

4 0.04621 0.092033 0.051475 0.023577 0.028341 0.075461 0.014567 0.087915 0.061385

5 0.035914 -0.00261 0.014795 0.03354 0.033865 0.007626 -0.01289 0.013571 0.004919

6 -0.04138 -0.0159 -0.04062 0.022924 0.014363 0.008188 -0.00821 0.019581 0.009966

7 -0.03061 0.031943 -0.00187 -0.0097 0.00519 0.003875 0.006989 0.008317 0.027909

Normally Distributed Random Variables with a Known Event Disturbance

Mean return for stocks is zero

= 0.01



-3 -0.00378 0.018743 -0.00634 0.019228 -0.00426 -0.01817 0.008591 -0.00556 -0.00883

-2 0.01016 -0.01003 -0.0116 0.009446 -0.00836 -0.00897 0.005675 -0.00263 0.010073

-1 -0.0107 -0.00437 -0.00469 -0.00562 0.001884 -0.01665 -0.00129 -0.00795 0.0105090 0.056038 0.049864 0.053117 0.038451 0.073299 0.058178 0.055564 0.053724 0.037404

1 0.027321 0.004862 0.032417 0.038128 0.021311 0.014303 0.034802 0.012471 0.015684

2 -0.0079 0.015381 0.015806 -0.00549 0.016388 0.009416 0.002636 -0.01348 0.002745

3 0.013774 -0.00935 0.003762 -0.00397 -0.00168 -0.00976 0.005142 0.009899 0.01582

Normally Distributed Random Variables with a Known Event Disturbance

Mean return for stocks is zero

= 0.02



-3 0.043863 0.043183 0.018956 -0.01272 0.003188 0.008026 -0.01812 -0.04478 -0.02437

-2 0.03598 -0.02902 0.047024 0.009618 -0.00858 0.003285 0.004673 0.029908 0.003578

-1 -0.01593 0.011724 -0.00297 0.032047 0.02854 -0.00151 -0.00846 0.012117 -0.00533

0 0.071611 0.032228 0.050559 0.027148 0.031698 0.032934 0.074865 0.045448 0.054037

1 0.00084 0.038864 0.007568 0.004719 0.04624 0.010986 0.002 0.036629 0.022253

2 -0.00275 0.010675 -0.01687 -0.00832 -0.01089 -0.01277 0.038231 0.01076 -0.01551

3 -0.02504 -0.00957 -0.0027 -0.03424 -0.01744 -0.00145 -0.03445 0.001693 0.01658


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Average Residuals Cumulative Average Resi

Stock 10 ARt t Normal Deviate Day Stock 1 Stock 2 Stock 3

-0.0241 0.007128961 0.018767 0.379865237 1 0.00318 -0.0026 -0.00347

0.014394 0.000901084 0.019355 0.046555079 2 0.000295 -0.00968 0.017757

0.02553 -0.00194264 0.021627 -0.08982447 3 0.014294 -0.01804 0.023232

0.094826 0.057579064 0.029546 1.948810723 4 0.060504 0.073996 0.074707

0.024658 0.015339231 0.016583 0.924997307 5 0.096418 0.071385 0.089502

0.028506 -0.0002572 0.025332 -0.01015315 6 0.055042 0.055483 0.048887

-0.00039 0.004165119 0.017702 0.235286034 7 0.024435 0.087426 0.047015

Averages: 0.011844803 0.021273 0.490790966

Average Residuals Cumulative Average Resid

Stock 10 Day ARt t Normal Deviate Day Stock 1 Stock 2 Stock 3

0.001769 -3 0.000140959 0.012061 0.011687539 1 -0.00378 0.018743 -0.00634

-0.00088 -2 -0.00071146 0.008908 -0.07986364 2 0.006384 0.008718 -0.01794

0.017535 -1 -0.00213311 0.010028 -0.21270907 3 -0.00431 0 .00435 -0.022620.039626 0 0.051526657 0.01094 4.71002395 4 0.051724 0.054215 0.030494

0.022527 1 0.022382602 0.010769 2.078396361 5 0.079045 0.059077 0.062911

-0.02129 2 0.001420697 0.013189 0.107718447 6 0.071148 0.074458 0.078717

0.004503 3 0.002813911 0.00895 0.314410681 7 0.084922 0.065105 0.082479

Average Residuals Cumulative Average Resid

Stock 10 Day ARt t Normal Deviate Day Stock 1 Stock 2 Stock 3

-0.02541 -3 -0.00081726 0.029721 -0.02749757 1 0.043863 0.043183 0.018956

0.009727 -2 0.010619319 0.022164 0.479130267 2 0.079842 0.014159 0.06598

-0.00614 -1 0.004409405 0.016103 0.273825859 3 0.063915 0.025884 0.063008

0.047118 0 0.046764675 0.016635 2.811231325 4 0.135526 0.058112 0.113566

0.046106 1 0.021620524 0.018684 1.15719514 5 0.136367 0.096976 0.121134

-0.00802 2 -0.00154511 0.017046 -0.0906435 6 0.133619 0.107651 0.104266

-0.02507 3 -0.01316934 0.016876 -0.78033693 7 0.108576 0.098082 0.101562


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-0.00122 -0.00875 0.024333 0.028207 0.032912 0.022793 -0.0241 1 0.007129

0.008141 -0.0311 0.043288 0.041541 -0.00619 0.025953 -0.0097 2 0.00803

0.022145 -0.02293 0.053663 0.025699 -0.04641 -0.00661 0.015828 3 0.006087

0.045722 0.005415 0.129125 0.040266 0.041501 0.054775 0.110655 4 0.063666

0.079262 0.03928 0.136751 0.027381 0.055072 0.059694 0.135313 5 0.079006

0.102186 0.053643 0.144939 0.019175 0.074652 0.06966 0.163819 6 0.078749

0.092485 0.058833 0.148813 0.026164 0.082969 0.097569 0.163427 7 0.082914

Averages:



0.019228 -0.00426 -0.01817 0.008591 -0.00556 -0.00883 0.001769 1 0.000141

0.028675 -0.01262 -0.02714 0.014266 -0.00819 0.001247 0.000893 2 -0.00057

0.023054 -0.01074 -0.04379 0.012976 -0.01613 0.011756 0.018428 3 -0.00270.061505 0.062559 0.014389 0.06854 0.03759 0.04916 0.058055 4 0.048823

0.099633 0.08387 0.028692 0.103342 0.050061 0.064844 0.080582 5 0.071206

0.094138 0.100258 0.038108 0.105978 0.036576 0.067589 0.059293 6 0.072626

0.090171 0.098574 0.028352 0.11112 0.046475 0.083409 0.063797 7 0.07544



-0.01272 0.003188 0.008026 -0.01812 -0.04478 -0.02437 -0.02541 1 -0.00082

-0.0031 -0.00539 0.011311 -0.01345 -0.01487 -0.02079 -0.01568 2 0.009802

0.028948 0.023152 0.009802 -0.02191 -0.00275 -0.02612 -0.02181 3 0.014211

0.056096 0.05485 0.042736 0.052957 0.042698 0.027916 0.025304 4 0.060976

0.060815 0.10109 0.053722 0.054957 0.079327 0.050169 0.07141 5 0.082597

0.052496 0.090199 0.040957 0.093188 0.090087 0.034662 0.063389 6 0.081052

0.018261 0.072762 0.039505 0.058734 0.09178 0.051242 0.038318 7 0.067882


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rage Residual Statistics

t Normal Deviate

0.018767 0.379865

0.024044 0.333968

0.029257 0.20807

0.035846 1.776106

0.036766 2.148889

0.045266 1.739684

0.046739 1.773966

0.033812 1.194364

age Residual Statistics

t Normal Deviate

0.012061 0.011688

0.016419 -0.03475

0.020942 -0.12910.016696 2.924155

0.022758 3.128764

0.023747 3.058281

0.024781 3.044296

age Residual Statistics

t Normal Deviate

0.029721 -0.0275

0.035299 0.277684

0.033034 0.430207

0.03573 1.70659

0.030156 2.738962

0.031988 2.533773

0.031268 2.17096


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Annual Stock Against S&P500and Industry Returns; 1971 to 2010

Year

Stock

Return

S&P

Return

Industry

Return

1971 0.10744 0.146176 0.14585 SUMMARY OUTPUT

1972 -0.20158 -0.18826 -0.17561

1973 -0.52248 -0.24503 -0.23107 Regression Statistics

1974 0.43227 0.334895 0.33108 Multiple R 0.9287335441975 -0.05039 0.07165 0.08910 R Square 0.862545997

1976 -0.37331 -0.13054 -0.13011 Adjusted R Square 0.85511605

1977 0.27566 0.10482 0.09815 Standard Error 0.121703412

1978 0.20091 0.112225 0.11660 Observations 40

1979 0.23306 0.199279 0.19621

1980 -0.27492 -0.11805 -0.13030 ANOVA

1981 0.27318 0.230179 0.23046 df SS

1982 0.43995 0.153153 0.16905 Regression 2 3.438999416

1983 0.11354 0.03125 0.03702 Residual 37 0.548033658

1984 0.45988 0.213287 0.21460 Total 39 3.987033074

1985 0.33915 0.270413 0.26119

1986 -0.39223 -0.05293 -0.04328 Coefficients Standard Error1987 0.22408 0.139321 0.14231 Intercept -0.021423527 0.021616345

1988 0.21501 0.191205 0.21137 X Variable 1 3.006318797 1.856435223

1989 -0.13159 -0.04259 -0.05571 X Variable 2 -1.293186386 1.863567292

1990 0.3

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