Changes in the Dow - Babson...

Changes in the Dow An Event Study

12/9/2013

Written By:

David Abers

Alex Goldman

Justin Laurenzo

Gregory Reichardt

FIN 3560

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Table of Contents:

Executive Summary ………………………………………………………………………………….... 2

Introduction …………………………………………………………………………………………..... 3

Procedure ……………………………………………………………………………………………… 6

Event Studies………………………………………………………………………………….. 6

Assumptions ………………………………………………………………………………….. 7

Identifying the Event …………………………………………………………………………. 7

Collecting the Data …………………………………………………………………………… 8

Measuring Cumulative Abnormal Returns …………………………………………………… 8

Significance ………………………………………………………………………………….. 10

Analysis ……………………………………………………………………………………………….. 10

Overview ……………………………………………………………………………………... 10

Overall Impact ……………………………………………………………………………….. 11

Added Stocks ………………………………………………………………………………… 12

Removed Stocks ……………………………………………………………………………... 12

Actual vs. Benchmarks ………………………………………………………………………. 13

Significance ………………………………………………………………………………….. 14

Conclusion ……………………………………………………………………………………………. 14

Works Cited …………………………………………………………………………………………... 16

Exhibit ………………………………………………………………………………………………… 18

Appendix ……………………………………………………………………………………………… 20

Waiver ………………………………………………………………………………………………… 54

Babson Honor Code …………………………………………………………………………………... 54

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Executive Summary

The Dow Jones Industrial Average, upon its creation in 1896, has been important in the financial

sector in an attempt to gauge the strength of the economy. Charles Dow, the creator, chose twelve stocks

that he believed were representative of the backbone of the economy. Today’s investors still watch the

Dow Jones Industrial Average carefully to gauge the strength of the economy even though the index has

increased its portfolio to thirty equities. Being added to the Dow Jones Industrial Average shows that the

company is one of its industry leaders. Being removed from this index, however, does not mean that the

company is not a quality investment, but rather demonstrates that their company is not as strong of an

indicator of the country’s economic health as other competitors.

The group conducted an event study centered on the announcement date of being added or

delisted to the Dow with the goal of analyzing its effect on the company’s returns in the short term.

Logically, one might conclude that stocks being added to the Dow should see an increase in their returns

due to the positive publicity associated with being added to such a prestigious list, while the delisted

stocks should see a decrease in their returns due to negative publicity. However, several studies have

shown that the opposite is true: delisted stocks actually perform strongly over a long-term period of

around five years.1 Lastly, being added or removed from the Dow could have no significant effect on a

company’s returns, as being added or delisted from the Dow does not fundamentally change anything

about the company: the honor is just a title of recognition.

In order to achieve our goal, the group calculated thirty-three cumulative abnormal returns to see

if the announcement date had an effect on the company’s short term returns. The cumulative abnormal

return is the difference between the expected return on a stock and the actual return. The analysis entailed

calculating the expected returns using held-back data, calculating the cumulative abnormal returns, and

using statistical analysis to test for the significance of our data. If our data proves significant, our analysis

regarding the effects of the announcement of a company’s addition to or removal from the DJIA on its

1 Dow Exiles Often Have Last Laugh

3

returns can be used when making investments going forward. If proven insignificant, being added or

delisted to the Dow Jones Industrial Average has no effect on a company’s returns.

Introduction

The Dow Jones Industrial Average, also known as the Dow Jones, DJIA, or the Dow, is the oldest

major equity benchmark index in the United States. It was first founded on May 26, 1896 by Charles

Dow, and originally consisted of twelve stocks. The Dow is a price-weighted index, which, since 1928,

includes thirty of the nation’s most prominent companies, mostly representing each major sector of the

economy2. The DJIA specifically tracks how thirty large, publically owned companies have been trading

during a period or standard trading session. Overall, the Dow provides a snap-shot of how both the stock

market and the American economy as a whole are doing on a daily basis3. All of the stocks in the DJIA

are traded on either the New York Stock Exchange (NYSE) or the National Association of Securities

Dealers Automated Quotations (NASDAQ). Nearly 66% of the companies in the Dow are manufactures

of industrial and/or consumer goods, such as Nike (NKE) and Wal-Mart (WMT).

One of the major reasons that this index has become so important over the years is because the

United States is the largest economy in the world, and economies have become increasingly

interconnected as technology continues to improve. Since the DJIA provides a reflection of how the

United States’ economy is performing, people are particularly interesting in tracking the performance of

the country’s most famous index.

Despite the Dow’s major role as a measuring stick for the stock market and US economy, this

was not always the case. For over twenty-five years after its induction, it was predominantly viewed by

readers of the Wall Street Journal. It was not until the “roaring twenties” that the DJIA began to really

become a staple for those who followed the market. After the crash in the late 1920s and early 1930s,

instead of tracking each and every stock, media outlets began to reference the Dow to track the overall

big-picture of the stock market’s performance. With the beginning of the internet era and the turn of the

2 JSTOR, The Dow Jones Industrial Average Re-Reexamined

3 Foundations for Living

4

century, the Dow has only become more prominent in the marketplace, especially in crisis periods. Post

September 11th and the most recent financial crisis, the general public focused their attention on the

Dow’s performance, as it is a key indicator of the overall market’s action. Today, there are few, if any,

financial news sources that do not reference or publish information on or from the Dow Jones Industrial

Average.4

When the Dow Jones was initially calculated, it contained a mere twelve stocks, only 1 of which

still remains today: General Electric (GE). Upon its introduction in the late 19th century, the index stood

at 62.76 points. To put this number into perspective, this year the Dow has soared to 16,174.50 points5.

The reason for such growth is because of how the index is calculated. At first, calculating the DJIA was

quite simple: take all of the stock prices, add them up, and divide this total by the number of stocks in the

index. However, due to stock splits and stock dividends, which are very prevalent today, it has become

much more complicated to calculate the average. The price of every stock in the index is still added up,

but instead of dividing this number by the number of stocks in the index, it is divided by the “Dow

divisor.” Whenever a stock leaves or enters into the Dow, the divisor will change to reflect the new stock

prices. According to Wall Street Journal, the divisor currently resides at 0.15571590501117. The Dow is

a price-weighted index, so the more expensive stocks in the Dow have a greater effect on the overall

average because they have more influence than the lower priced stocks. For example, International

Business Machines (IBM-177.09) price changes will have a greater effect on the average than those of

Cisco Systems (CSCO-21.17) because it is nearly 7 times more expensive.6 Each and every stock in the

Dow has a different weight by price as well as weight by float-adjusted market cap.7

Since the DJIA is comprised of thirty of the strongest companies in the United States, the

addition and subtraction of companies from the index is important and quite rare – happening only a few

times per decade on average. Perhaps the most important reason for the lack of changes is because the

4 Dow Jones Indexes, 5 Questions About the Dow That You Always Wanted to Ask

5 Measuringworth.com

6 Yahoo Finance, Components for DJI

7 Exhibit 5

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Dow believes that constantly modifying the index’s complexion alters the very nature of the index itself.8

That being said, there have been a total of 53 changes since the Dow’s induction in 1896. The most

recent change was made this year on September 20, 2013, when Goldman Sachs, Nike, and Visa replaced

Bank of America, Alcoa Incorporated, and Hewlett Packard Company, respectively. The main reason that

such changes occur is because a stock price has gone lower than expected. In the most recent change, the

chairmen of the index committee, David Blitzer explained: “We are removing three lowest-priced stocks

and replacing them with stocks with higher prices.” Again, the correlation between a stock price and the

impact on the index is direct: the higher the price of a stock, the higher its impact will be on the index.

Companies are also added and removed to take into account sector representation. Sector representation

means that certain companies will be added or removed to represent their various industries, such as the

consumer sector, technology sector, investment banking, and many others. In the recent change, Nike will

represent the consumer sector, Visa will represent the technology sector, and Goldman Sachs will

represent the investment banking sector. With this change, the Dow is losing an industrial company in

Alcoa, as neither Nike, Visa, nor Goldman Sachs is in the same industry as Alcoa. In rare situations, a

company is forced to leave the Dow due to bankruptcy, or government ownership. During the financial

crisis in 2009, General Motors (GM) and Citigroup (C) were forced to leave the Dow for both of these

reasons. General Motors filed for bankruptcy and Citigroup became partially government-owned, giving

up 34% of their equity to the government. The removal of General Motors was a huge deal for both the

company and the index because at the time, they had been in the Dow for all 83 years without

interruption.9 With each and every company that is either added or subtracted from the Dow, it certainly

makes headlines.

There are also various indices, some even larger than the Dow. The S&P 500 is a stock market

index just like the Dow, but consists of 500 different companies from all different sectors of the

8 Dow Jones Indexes, 5 Questions About the Dow That You Always Wanted to Ask

9 Wall Street Journal, Travelers, Cisco Replace Citi, GM in Dow

6

economy.10

Just like the Dow, it is closely followed and depicts the American economy’s progression.

Although several of the other indices in the United States contain many more companies than the Dow,

they are both performing about the same.11

According to correlation tables (1 represents perfect

correlation), the relationship between the DJIA and other Major U.S Indices is nearly the same, meaning

that although the Dow contains fewer companies, its performance is still in line with these other respected

indices.12

The Dow Jones also has other more industry-focused indices, such as the Dow Jones

Transportation Average and the Dow Jones Utility Average. The Dow Jones Transportation Average only

consists of stocks from the transportation sector. Likewise, the Dow Jones Utility Average solely consists

of fifteen prominent utility companies. There is no doubt that the Dow has competitors, but because some

of them consist of such a high number of stocks, such as the S&P 500, the Dow is much easier to follow

and actually depicts the same picture of the economy as do these larger indices.13

Overall, the Dow Jones Industrial Average is the most important index in the world and is

followed on a minute-by-minute basis. The prices of the stocks and the DJIA represent general market

trends and give an overall view of how the economy is performing on a daily basis. Whenever someone

asks how the market is doing, the first thing to look at would be how the DJIA is performing at that

moment. If the index is up, then the markets are performing well and vice versa. The largest drawback of

the Dow is that it only tracks 30 stocks. This is why some people prefer the S&P 500 because it includes

500 companies as oppose to just 30.

Procedure

Event Studies

The group conducted an event study to compare the differences in how equities react when added

to or delisted from the DJIA. An event study is used to “assess the impact of an event,” which in our case

was the day an announcement was made that a stock will be added or delisted from the DJIA. The

10

CNNMoney, S&P 500 11

Dow Jones Indexes, 5 Questions About the Dow That You Always Wanted to Ask 12

Exhibit 6 13

Dow Jones Indexes, 5 Questions About the Dow That You Always Wanted to Ask

7

analysis looks at each company that was added or removed from the Dow between 1997 and 2013,

totaling thirty-four changes: seventeen added and seventeen delisted. However, in our analysis for

delisted stocks, GM was removed from the data, because upon defaulting on its debt and filing for

bankruptcy, it did not have sufficient information required for the analysis. As a result, the total number

of companies in the event study that were removed from the Dow fell to sixteen. There are four basic

steps in an event study: identifying the event, collecting the data, measuring cumulative abnormal returns,

and analyzing the results.14

Assumptions

There are several key assumptions that must be made when conducting an event study: markets

are efficient, the event is unanticipated, and there is an absence of “noise” during the event window.

Before deciding to fully use event studies to measure the change in DJIA, the group had to address each

of these assumptions. First, since the market did not collapse and traded consistently through the time

period our group analyzed, the team was able to satisfy the assumption that the market is efficient.

Second, our group used the announcement date in order to be able to assume that the event was

unanticipated. Third, the absence of noise meant that when analyzing the data, our group had to assume

that the event itself was the only factor affecting the abnormal returns. If we analyzed the data using

another method, we would have been able to take into account other influences, such as the interest rate,

political turmoil, trade agreements, and other economic factors.

Identifying the Event

For this analysis, the event in question could be either the announcement day or the day of the

change itself. The announcement day is when the DJIA officially stated that the stock will be added or

removed. The day of the change would be the date in which the stocks were in fact added or removed

from the index, subsequently requiring a change in the divisor. Had the group looked at the day of the

change as the event in our study, the event would obviously have been anticipated, as the markets would

have had several days to react to the announcement.

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Event Study Method PowerPoint

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Collecting the Data

The group used CRSP data from 1997-2013 to collect all of the required data for our analysis.

From CRSP, the team collected the date, ticker, stock name, return of the individual stock, market cap,

and value weighted return including dividends.15

The dates range from one year before through the next

ten trading days after the announcement date of a change in Dow companies. This date range gave us the

actual data and returns around the announcement date, which are used to calculate a stock’s beta over this

period of time. Moreover, by calculating beta, we were able to create a forecast of expected returns, and

then compare these expected returns to the actual returns for a stock over the ten day period following the

announcement. All of this data, with the exception of the market cap, was essential to observing how the

return changed after the announcement date of being added or delisted from the DJIA.

Measuring Cumulative Abnormal Return

Cumulative abnormal return is the “sum of the differences between the expected return on

a stock (systematic risk multiplied by the realized market return) and the actual return often used to

evaluate the impact of news on a stock price.” 16

This measurement on a single stock would tell us how

the stock differed from how it was expected to move.

The first initial step to finding the cumulative abnormal return is to find the beta coefficient of the

stock during the specified time period. The beta coefficient is a measurement of volatility.17

To find the

beta, our group held back the ten days before the announcement, the announcement date, and ten days

after the announcement date, for a total of 21 days. This data was stored in another spreadsheet for

further analysis. With the remainder of the data – a little over 240 trading days – our group ran a

regression comparing the stock return versus the market return. The coefficient of the x-variable in our

regression equation is the stock’s beta over this 240 day span. For every regression, the p-value was

significant at the .01 level of significance.18

15

CRSP 16

NASDAQ 17

Beta Investopedia 18

See Appendices

http://www.nasdaq.com/investing/glossary/e/expected-return

http://www.nasdaq.com/investing/glossary/s/stock

http://www.nasdaq.com/investing/glossary/s/systematic-risk

http://www.nasdaq.com/investing/glossary/r/realized-return

http://www.nasdaq.com/investing/glossary/r/return

9

The next step of the analysis was to take beta and multiply it by each of the market returns,

including dividends, for the twenty-one days we removed earlier. The risk value of the stock multiplied

by the market gave us a forecast of the stock’s expected returns. The product of the market return and

beta coefficient of the stock produced the expected return of the stock.

After finding the expected value of each stock, our group subtracted each of the found expected

returns with the actual stock returns. In so doing, the team calculated the abnormal returns for each day.

For each stock, the abnormal returns were then summed to find the cumulative return over the time

period, or the cumulative abnormal return for an individual stock.

Our group found the cumulative abnormal return for several time periods within those 21 days:

Our group found the cumulative abnormal return for several time periods within those 21 days: 10 days

before the event through the day before the event (-10 to -1 day), five days before the event through the

day before the event (-5 to -1 day), 3 days before the event through the day before the event (-3 to -1 day),

the day of the event itself (0 days) , the day after the event through three days after the event (1 to 3 days),

the day after the event through five days after the event (1 to 5 days), and the day after the event through

ten days after the event (1 to 10 days). The goal of finding all of these returns was to see where the

abnormal return was greatest. The largest abnormal return signifies the time period that is most affected

by the announcement date. When conducting an event study, it is crucial that the time periods analyzed

both before and after the event itself should mirror each other for analytical reasons.

Our group performed analysis of these data points in their respective groups of the thirty-three

stocks, seventeen added, and sixteen delisted. Again, there are only sixteen delisted stocks because GM

was not included in our analysis. The goal was to look at all of the data points in their respective

categories: total – both added and delisted stocks, added stocks, and delisted stocks. For all three

categories, the average return was taken for each of the time periods described above: from 10 days

before the event through the day before the event, and from the day after the event through ten days after

the event. The averages are able to be compared to their counterpart. For instance, from three days

10

before the event through the day before the event can be compared to the day after the event through three

days after the event.19

Significance

The final step in the analysis was to find significance for the tests. In doing so, the significance

would show whether or not the cumulative abnormal returns were affected by the different time periods.

Testing across the different time periods is important because it takes into account the significance at each

time period surrounding the event, rather than just the significance of the event ten trading days later. We

ran a 1-sample t test to see what the confidence interval is for when stocks are added or removed. The

final test of significance was finding t-values of the cumulative abnormal returns using a parametric test,

for which the group utilized the following formula:20

This formula allowed us to find the t value required in order to determine whether or not the data is

significant. If the t value is higher than 1.96, the cumulative abnormal returns are significant. If the t value

is lower than 1.96, the cumulative abnormal returns are insignificant.

Analysis

Overview

Our analysis focuses on the average cumulative abnormal returns for a given period of time of all

the stocks involved in a Dow change. Cumulative abnormal returns (CARs) were calculated for three day,

five day, and ten day periods. The ten day period leading up to the announcement day, or event, was used

as a benchmark to determine if the stock did better or worse than how it was doing prior to the event. The

cumulative abnormal return already takes into account how the stock is performing in relation to the

market. The cumulative abnormal returns were calculated by taking the difference between the expected

return of our calculated model, which was Beta of the stock multiplied by the market return of that day,

19

See Exhibit 2 20

Lecture 6: Event Studies

11

and the actual return of the stock. Therefore, any positive abnormal returns mean that the stock

outperformed the market on that day, while a negative abnormal return meaning that the stock performed

worse than what was expected based on the market. The abnormal returns were then tested for

significance using a parametric test to find the t-value of each CAR, which was then compared with the

table of critical t-values for 95% confidence level.

Overall Impact

Overall, all stocks involved in the changes on average had cumulative abnormal returns in the ten

day period after the announcement date of 0.0347, suggesting that the event caused the stocks to have

slightly higher returns than what was expected, assuming all else equal. On average, all the stocks

involved in the changes were performing worse than the market in the ten day period leading up to the

announcement date. Then, after the change was announced, all the stocks involved on average performed

better than the market. This increase in returns on average for the stocks suggests that there may be a

beneficial factor that results from the publicity of being in the news. On the announcement date itself, the

stocks performed almost exactly as the model predicted they would. The difference between the actual

returns on that date and the expected returns found with the calculated Beta was only about 0.00316 on

average for all thirty-three stocks. This lack of a real change mostly likely is a result of not enough time

for investors to react to the announcement. Taking a deeper look at the underlying mechanics of the stock

gains, higher returns suggest higher prices, unless a dividend was paid out recently. Higher prices suggest

higher demand for the stock, meaning that more investors are trying to purchase the stock which in turn

drives up prices. This increase in demands implies that people in general expect stocks to do better when

there is a Dow change, whether the stock is going to be added or removed. A possible dilution of the data

may have occurred with the inclusion of the Dow changes in the years 2008 and 2009, which was in the

heart of the recession. However, the stocks’ returns were benchmarked against what was expected based

on what the market was doing at the time, so in theory any changes from what was expected is a result of

the event given the assumptions in the event study.

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Added Stocks

Stocks that were added to the Dow Jones, on average, had slightly positive cumulative abnormal

returns in the ten day period after the announcement date. Although the average was that stocks went

from having slight lower returns than the market to having slightly higher returns than the market, the

difference between the before and after was extremely small, which suggests that the impact of the

announcement was tangible but minimal on the returns of these stocks. This data proves that in the

immediate short run, there is little benefit to being added to the Dow Jones from a stock return standpoint.

The five-day CAR was the highest for the added stocks at 0.0159, reflecting that the first week of trading

after the announcement was made had the best returns for added stocks. After the initial week of trading

investors cooled off a little on the added stocks as returns decreased slightly to a ten-day CAR of only

0.0119. However, the bottom line is that tangible abnormal returns were observed, which suggests that

there was an impact, although small, of the Dow change announcement. When stocks are decided to be

added to the Dow, they are picked because they are already of “Dow quality.” They are well performing

stocks, so the announcement date is going to have little effect on their stocks. It is not as if the

announcement itself is what makes these stocks worthy of being listed on the Dow, so there is little

impact on investor expectations.

Removed Stocks

Stocks that were removed from the Dow Jones, on average, had much higher cumulative

abnormal returns in the 10 day period after the announcement date than stocks that were added to the

Dow. The average ten-day CAR for the 16 stocks that were removed was 0.0589, reflecting that the

announcement correlated with a beneficial effect on average. The three-day CAR, five-day CAR, and ten-

day CAR were all at least .11 greater than their respective benchmark periods before the announcement.

These differences reflect a measurable improvement in the return for these stocks that was correlated with

the expectation of being removed from the Dow, assuming all else equal. In addition, as the time periods

increased, so did the CARs, meaning that returns increased, on average, over the 10 day period after the

announcement. This data at first appears somewhat counterintuitive in that the Dow is supposed to be

13

composed of the industry-leading stocks. So, taking this logic a step further, one could say that being part

of the Dow is a tribute to the success of the company, and that being removed from the Dow is a sign that

the company is not performing up to the expectations of a market-leader. However, when stocks are

removed from the Dow they in fact rally a little bit. This finding suggests an interesting pattern; one that

has been previously discussed in a study recently featured in the Wall Street Journal that showed that over

a 5 year period stocks that were removed outperformed those that were added (Dow’s Exiles Often Have

Last Laugh). That study examined changes in the Dow from 1929 to 2005 and found that “[o]ver five

years following an index change, [removed stocks] collectively gained 173% on average compared with

65% for new entrants.”21

The findings of that study combined with the findings of the short-term event

study suggest that an intelligent investor could in theory therefore invest in all of the removed stocks as

soon as the change was announced, and would then enjoy some small gains in the short-term and larger

gains in the long-term.

Actual vs. Benchmarks

Interestingly enough, more individual stocks that were added to the Dow outperformed their

benchmark period than individual stocks that were removed did, even though removed stocks had the

overall higher returns. Looking at four different time periods (10 day, 5 day, 3 day, and event day) and

comparing the CARs (benchmark to actual), found that 36 out of the possible 64 were higher for stocks

removed, whereas 46 out of the 70 were higher for stocks added. The 64 and 70 possible periods were

found by taking the four different time periods mentioned above and multiplying by the 16 stocks

included in the removed study and the 17 stocks included in the added study. These numbers suggest that

more stocks that are added do better in the short run, but by very small amounts, whereas fewer stocks

that are removed do better in the short run, but by much higher amounts. Applying these findings to

investing, one could say it is riskier to bet on the stocks that were removed but with a higher chance of

better returns, whereas stocks that are added to the Dow are a safer bet with less expected returns.

21

Dow Exiles Often Have Last Laugh

14

Significance

In order to find if the CARs differed from zero with any statistical significance, a parametric test

to find t-values was used. After utilizing a parametric test to calculate t-values for our data, each of the t-

values calculated were lower than the critical t-value at a 95% confidence level – which reflects that none

of the CARs are statistically significant on average22

. The closest CAR to being significant was the 5-day

CAR for added stocks. This CAR was the highest of all the added CARs and also had a low standard

deviation, which explains why this value was the closest to being significant. Although the removed

stocks performed better on average, the fact that none of the CARs were significant proves that not

enough stocks in the sample performed better. The standard deviations of the CARs were high enough

relative to the average CARs to make it so that none of the CARs statistically significant. The reason for

this lack of significance is that fewer stocks that were removed outperformed their benchmark period than

stocks that were added, as explained earlier. The lack of statistical significance makes an investment on

the announcement date in either or added or removed stock a risky bet in the short-term. On average, the

added stocks are a safer bet to have higher returns than the market, but with little hope of major gains.

The removed stocks, on the other hand, have a better chance of posting major gains, but at a much higher

risk because of their hit or miss nature.23

Lastly, after running a one sample t-test on all of the 10-day

CARs, the results revealed that the returns of a stock involved in a Dow change announcement could be

predicted to be within the range of -0.0181 and 0.0876 with a 95% confidence level.24

Conclusion

In conclusion, the data revealed a measurable impact of the Dow Jones index change

announcement on the returns of the stocks involved in the changes. Contrary to what logic might suggest,

on average, the stocks that were to be removed from the Dow outperformed both the market and the

stocks that were to be added to the Dow in the short period of 21 days that we examined. However, the

22

See Exhibit 1 23

See Exhibit 2 & 3 24

See Exhibit 4

15

stocks that were to be added did also outperform the market in the 10 days following the change, on

average. Although the averages were higher for removed stocks, more individual added stocks saw

improvements from the benchmark period of 10 days leading up to the change. This finding shows that

not all removed stocks experienced success following the event, but the ones that did find success, found

a large enough degree of success to make the overall average for removed stocks higher than that of the

added stocks, although the removed stocks had higher standard deviations. The overall average for all

stocks involved in the change suggested a small benefit of being involved in the announcement, which is

most likely due to the publicity factor of being in the news. Lastly, although there is no statistical

significance to back the abnormal returns of stocks that are added or removed from the Dow, the range of

the 10-day CAR for stocks involved in a change was predicted with a 95% confidence interval, which can

be a useful tool for investors trying to model the effects of the change of their stock portfolio.

16

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djiahourly.html>.

17

Pope, Ethan. "The Dow Jones Industrial Average: WHAT IS IT? WHAT DO YOU NEED TO KNOW

ABOUT IT?." Foundations for Living. n. page. Print.

<http://www.foundationsforliving.org/articles/foundation/dowwhatisit.html>.

Russolillo, Steven. "Morning MoneyBeat: Dow’s New Additions Face Tough Road Ahead." Wall Street

Journal MoneyBeat. n. page. Print. <http://blogs.wsj.com/moneybeat/2013/09/11/morning-

moneybeat-dows-new-additions-face-tough-road-ahead/?KEYWORDS=do>.

"S&P 500 Index." CNNMoney. n. page. Print. <http://money.cnn.com/data/markets/sandp/>.

"The Dow Through the Years." Wall Street Journal. n. page. Print.

<http://blogs.wsj.com/moneybeat/2013/09/10/the-dow-through-the-years/?KEYWORDS=dow

jones industrial average>.

Vigeland, Tess. "Why’s the Dow so Important?."MarketPlace World. n. page. Print.

<http://www.marketplace.org/topics/world/whys-dow-so-important>.

WRDS. CRSP. 1 Jan. 2013. Raw data. Pennsylvania, PHILADELPHIA.

18

Exhibits

Exhibit 1

Parametric Test for Significance- T-Values

10-day CAR 5-day CAR 3-day CAR 0-day CAR

Added 1.00304638627 1.96543082282 1.63927545070 1.00068913768

Removed 1.12989305297 0.85913268715 0.92946827787 0.02178614711

Both 1.34019358084 1.60071108185 1.16013312344 0.38817654718

Exhibit 2

Average CAR for 10, 5, 3, and 0 days after the event:

Average CAR 10 Average CAR 5 Average CAR 3 Average CAR 0

Added 0.011983808352941 0.015865607705882 0.010079150235294 0.005808448176471

Removed 0.0589147136875 0.0168557798125 0.0428207253125 0.00034610925

Both 0.03473818669697 0.016345691151515 0.02595385330303 0.003160041424242

Exhibit 3

Average Standard Deviation for 10, 5, 3, and 0 days after the event:

Avg StDev 10 Average StDev 5 Average StDev 3 Average StDev 0

Added 0.04926044130392 0.033283072406505 0.025351078745687 0.023932352666304

Removed 0.208567398596723 0.078478121317459 0.184280523959623 0.063546665361889

Both 0.14890064581716 0.0586607089096 0.128514162042928 0.046764947699097

Exhibit 4

One-Sample T: 10day CAR Variable N Mean StDev SE Mean 95% CI

10day CAR 33 0.0347 0.1489 0.0259 (-0.0181, 0.0875)

19

Exhibit 5 25

Exhibit 6 26

25

Dow Jones Indexes, 5 Questions About the Dow That You Always Wanted to Ask 26

Dow Jones Indexes, 5 Questions About the Dow That You Always Wanted to Ask

20

Appendix

Cumulative Abnormal Returns

Stock -10 10 -5 5 -3 3 0

Added or

Removed

AIG 2008 -1.61247 0.825382 -1.45784 0.276794 -1.11934 0.729392 0.22265 R

BS 1997 0.125101 0.03153 0.058131 0.023169 0.076019 0.01806 -0.0327 R

BOA 2008 0.061756 -0.02492 -0.0163 0.004455 -0.00163 -0.00555 -0.00707 A

CVX 2008 0.031109 0.061108 0.007478 0.052343 -0.00292 0.028629 0.008364 A

HWP 1997 -0.07271 0.029889 -0.07088 0.046264 -0.025 0.014869 0.044568 A

JNJ 1997 0.016807 -0.03177 0.000549 -0.01076 -0.01492 -0.01269 0.006452 A

KFT 2008 0.086412 0.051243 0.029287 -0.01508 0.021439 -0.02062 0.009032 A

TRV 1997 -0.01217 0.010703 -0.00567 -0.01921 -0.01314 0.005515 -0.00033 A

TX 1997 0.010023 0.076537 0.008703 0.010801 -0.00146 0.003954 -0.01215 R

WMT 1997 0.073964 0.023584 0.074426 0.029303 0.05545 0.011888 0.025396 A

WX 1997 0.116052 0.001166 -0.02166 -0.01127 -0.02466 -0.01337 0.011023 R

Z 1997 0.100376 0.05817 0.031601 0.074348 0.075559 0.022551 -0.01662 R

CVX 1999 0.010044 -0.00866 -0.02786 -0.03023 -0.05147 -0.00245 0.017748 R

GT 1999 -0.16971 -0.10537 -0.08705 -0.06582 -0.06756 -0.04177 -0.02601 R

HD 1999 -0.01191 0.012095 -0.02176 0.011146 -0.0187 0.030052 -0.02536 A

HON 2008 -0.01265 -0.00423 -0.00197 -0.02754 -0.01846 -0.00844 -0.00851 R

INTC 1999 -0.02984 0.02015 0.064623 0.059498 -0.00545 0.017674 -0.04167 A

MO 2008 -0.015 0.004368 -0.00558 0.002473 0.001134 -0.00075 -0.01267 R

MSFT 1999 0.031884 -0.14895 0.040381 -0.06601 -0.00997 -0.05503 -0.02916 A

SBC 1999 -0.0653 -0.00589 -0.03683 0.00532 0.010778 0.055701 0.049722 A

Sears 1999 -0.12715 0.010098 -0.08711 -0.00731 -0.03944 -0.04203 0.013272 R

UK 1999 0.052674 0.020318 0.038514 0.035598 -0.01311 -0.00423 0.005789 R

AIG 2004 -0.03001 0.030523 -0.01361 0.033219 -0.00572 0.019761 0.019567 A

VZ 2004 -0.0271 0.010145 -0.01882 0.016373 -0.00269 0.018857 0.0037 A

PFE 2004 -0.00118 0.060401 -0.00791 -0.00472 0.004803 -0.00498 0.009153 A

IP 2004 0.011304 0.01842 0.016649 -0.00994 -0.00443 0.002286 -0.00938 R

EK 2004 0.006139 0.014695 0.01552 0.007585 0.004237 0.005072 -0.04818 R

T 2004 0.018619 -0.02087 -0.00838 -0.00761 -0.024 0.012914 -0.01912 R

CSCO 2009 -0.02208 0.017707 -0.01947 0.025601 -0.01225 0.009445 0.025962 A

C 2009 -0.05615 -0.03192 -0.09443 -0.0575 0.04247 -0.02865 -0.0715 R

TRV 2009 -0.03255 0.050825 -0.02182 0.061821 -0.03088 0.041186 -0.00168 A

UNH 2012 -0.03821 0.036873 -0.02972 0.040149 -0.00878 0.016649 0.002091 A

KFT 2012 -0.05551 0.052996 -0.0621 0.056149 -0.01268 0.032577 -0.00811 R

Average -0.04968 0.034738 -0.05245 0.016346 -0.03748 0.025954 0.00316

Difference 0.084418 0.068797 0.063432

Standard Deviation 0.287624 0.148901 0.255686 0.058661 0.196607 0.128514 0.046765

21

KFT 2012

SUMMARY OUTPUT

Regression Statistics

Multiple R 0.68306099

R Square 0.46657231

Adjusted R Square0.46435892

Standard Error0.00661746

Observations 243

ANOVA

df SS MS F Significance F

Regression 1 0.009231 0.009231 210.7951 9.7E-35

Residual 241 0.010554 4.38E-05

Total 242 0.019784

CoefficientsStandard Error t Stat P-value Lower 95%Upper 95%Lower 95.0%Upper 95.0%

Intercept 0.00058033 0.000425 1.364183 0.173783 -0.00026 0.001418 -0.00026 0.001418

X Variable 1 0.50829721 0.03501 14.51878 9.7E-35 0.439333 0.577261 0.439333 0.577261

-0.04

-0.02

0

0.02

0.04

0.06

-0.05 0 0.05

Y

X Variable 1

X Variable 1 Line Fit Plot

Y

Predicted Y

Coded Day Date Market Return Beta Expected Actual Difference CAR

-10 08/30/2012 -0.007791 0.508297 -0.003960144 -0.00768 -0.0037189 -0.0555071

-9 08/31/2012 0.005875 0.508297 0.002986246 0.003869 0.00088275

-8 09/04/2012 0.000683 0.508297 0.000347167 0.007829 0.00748183

-7 09/05/2012 -0.000603 0.508297 -0.000306503 -0.00394 -0.0036375

-6 09/06/2012 0.019457 0.508297 0.009889939 0.015479 0.00558906

-5 09/07/2012 0.005651 0.508297 0.002872388 -0.05495 -0.0578174 -0.0621044

-4 09/10/2012 -0.005681 0.508297 -0.002887636 0.005501 0.00838864

-3 09/11/2012 0.003425 0.508297 0.001740918 -0.01094 -0.0126839 -0.0126756

-2 09/12/2012 0.002643 0.508297 0.00134343 -0.00478 -0.0061204

-1 09/13/2012 0.015281 0.508297 0.00776729 0.013896 0.00612871

0 09/14/2012 0.006141 0.508297 0.003121453 -0.00498 -0.0081055

1 09/17/2012 -0.004545 0.508297 -0.002310211 0.001503 0.00381321

2 09/18/2012 -0.001779 0.508297 -0.000904261 0.018262 0.01916626

3 09/19/2012 0.001315 0.508297 0.000668411 0.010266 0.00959759 0.03257706

4 09/20/2012 -0.001935 0.508297 -0.000983555 0.018609 0.01959256

5 09/21/2012 0.000447 0.508297 0.000227209 0.004207 0.00397979 0.05614941

6 09/24/2012 -0.003072 0.508297 -0.001561489 -0.00347 -0.0019095

7 09/25/2012 -0.010796 0.508297 -0.005487577 -0.00661 -0.0011184

8 09/26/2012 -0.005509 0.508297 -0.002800209 -0.00206 0.00074521

9 09/27/2012 0.010038 0.508297 0.005102287 -0.00182 -0.0069193

10 09/28/2012 -0.004497 0.508297 -0.002285813 0.003763 0.00604881 0.05299621

-0.06

-0.05

-0.04

-0.03

-0.02

-0.01

0

0.01

0.02

0.03

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21Actual

Expected

22

UNH 2012

SUMMARY OUTPUT


Multiple R 0.563286

R Square 0.317291



Observations 244

ANOVA


Regression 1 0.019989 0.019989 112.4704 7.9E-22

Residual 242 0.043009 0.000178

Total 243 0.062998


Intercept 0.000144 0.000855 0.168955 0.865973 -0.00154 0.001829 -0.00154 0.001829

X Variable 10.747213 0.070457 10.6052 7.9E-22 0.608425 0.886 0.608425 0.886

-0.1

-0.05

0

0.05

0.1

-0.05 0 0.05

Y

X Variable 1


Y

Predicted Y

Coded DayDate Market ReturnBeta Expected Actual DifferenceCAR

-10 08/30/2012 -0.007791 0.747213 -0.005822 0.000915 0.006737 -0.03821

-9 08/31/2012 0.005875 0.747213 0.0043899 -0.007131 -0.01152

-8 09/04/2012 0.000683 0.747213 0.0005103 0.004788 0.004278

-7 09/05/2012 -0.000603 0.747213 -0.000451 -0.005132 -0.00468

-6 09/06/2012 0.019457 0.747213 0.0145385 0.011238 -0.0033

-5 09/07/2012 0.005651 0.747213 0.0042225 -0.000182 -0.0044 -0.02972

-4 09/10/2012 -0.005681 0.747213 -0.004245 -0.020773 -0.01653

-3 09/11/2012 0.003425 0.747213 0.0025592 -0.017492 -0.02005 -0.00878

-2 09/12/2012 0.002643 0.747213 0.0019749 0.004403 0.002428

-1 09/13/2012 0.015281 0.747213 0.0114182 0.020257 0.008839

0 09/14/2012 0.006141 0.747213 0.0045886 0.00668 0.002091

1 09/17/2012 -0.004545 0.747213 -0.003396 0.00424 0.007636

2 09/18/2012 -0.001779 0.747213 -0.001329 0.011931 0.01326

3 09/19/2012 0.001315 0.747213 0.0009826 -0.003265 -0.00425 0.016649

4 09/20/2012 -0.001935 0.747213 -0.001446 -0.000182 0.001264

5 09/21/2012 0.000447 0.747213 0.000334 0.02257 0.022236 0.040149

6 09/24/2012 -0.003072 0.747213 -0.002295 -0.00356 -0.00126

7 09/25/2012 -0.010796 0.747213 -0.008067 0.00393 0.011997

8 09/26/2012 -0.005509 0.747213 -0.004116 -0.007473 -0.00336

9 09/27/2012 0.010038 0.747213 0.0075005 0.008247 0.000746

10 09/28/2012 -0.004497 0.747213 -0.00336 -0.014758 -0.0114 0.036873

-0.03

-0.02

-0.01

0

0.01

0.02

0.03

0.04

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

Actual

Expected

23

TRV 2009

SUMMARY OUTPUT


Multiple R 0.749877

R Square 0.562315


Standard Error 0.030558

Observations 241

ANOVA


Regression 1 0.286722 0.286722 307.0549 9.01E-45

Residual 239 0.223173 0.000934

Total 240 0.509895


Intercept 0.001909 0.001971 0.968842 0.333604 -0.00197 0.005791 -0.00197 0.005791

X Variable 1 1.199797 0.06847 17.52298 9.01E-45 1.064915 1.334678 1.064915 1.334678

-0.4

-0.2

0

0.2

0.4

-0.1 0 0.1 0.2

Y

X Variable 1


Y

Predicted Y

Coded DayDate Market Beta Expected Actual DifferenceCAR

-10 05/15/2009 -0.010643 1.199797 -0.01277 -0.00476 0.008013 -0.03255

-9 05/18/2009 0.033016 1.199797 0.039612 0.021127 -0.01849

-8 05/19/2009 0.000506 1.199797 0.000607 -0.03276 -0.03337

-7 05/20/2009 -0.001788 1.199797 -0.00215 -0.00739 -0.00524

-6 05/21/2009 -0.016573 1.199797 -0.01988 0.018471 0.038355

-5 05/22/2009 -0.000097 1.199797 -0.00012 0.014106 0.014222 -0.02182

-4 05/26/2009 0.028116 1.199797 0.033733 0.028564 -0.00517

-3 05/27/2009 -0.017272 1.199797 -0.02072 -0.06013 -0.03941 -0.03088

-2 05/28/2009 0.015061 1.199797 0.01807 0.013618 -0.00445

-1 05/29/2009 0.014744 1.199797 0.01769 0.030672 0.012982

0 06/01/2009 0.027025 1.199797 0.032425 0.030743 -0.00168

1 06/02/2009 0.003103 1.199797 0.003723 0.025531 0.021808

2 06/03/2009 -0.017262 1.199797 -0.02071 -0.00652 0.014196

3 06/04/2009 0.013639 1.199797 0.016364 0.021546 0.005182 0.041186

4 06/05/2009 -0.003114 1.199797 -0.00374 0.00298 0.006716

5 06/08/2009 -0.002647 1.199797 -0.00318 0.010743 0.013919 0.061821

6 06/09/2009 0.005493 1.199797 0.00659 0.002732 -0.00386

7 06/10/2009 -0.002836 1.199797 -0.0034 -0.00613 -0.00273

8 06/11/2009 0.007217 1.199797 0.008659 -0.00457 -0.01323

9 06/12/2009 -0.001359 1.199797 -0.00163 -0.00849 -0.00686

10 06/15/2009 -0.025417 1.199797 -0.0305 -0.01482 0.01568 0.050825

-0.1

-0.08

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

0.08

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21Actual

Expected

24

C 2009

SUMMARY OUTPUT


Multiple R 0.649011

R Square 0.421215



Observations 241

ANOVA


Regression 1 1.097407 1.097407 173.934 3.3E-30

Residual 239 1.507931 0.006309

Total 240 2.605338


Intercept 0.001156 0.005123 0.225651 0.821666 -0.00894 0.011247 -0.00894 0.011247

X Variable 1 2.34726 0.177979 13.1884 3.3E-30 1.996652 2.697868 1.996652 2.697868

-0.5

0

0.5

1

-0.1 0 0.1 0.2

Y

X Variable 1


Y

Predicted Y

Coded DayDate Market Beta Expected Actual DifferenceCAR

-10 05/15/2009 -0.01064 2.34726 -0.02498 -0.01972 0.005264 -0.05615

-9 05/18/20090.033016 2.34726 0.077497 0.045977 -0.03152

-8 05/19/20090.000506 2.34726 0.001188 0.035714 0.034526

-7 05/20/2009 -0.00179 2.34726 -0.0042 -0.02122 -0.01702

-6 05/21/2009 -0.01657 2.34726 -0.0389 0.00813 0.047031

-5 05/22/2009 -9.7E-05 2.34726 -0.00023 -0.01344 -0.01321 -0.09443

-4 05/26/20090.028116 2.34726 0.065996 0.027248 -0.03875

-3 05/27/2009 -0.01727 2.34726 -0.04054 -0.01857 0.021974 0.04247

-2 05/28/20090.015061 2.34726 0.035352 -0.00811 -0.04346

-1 05/29/20090.014744 2.34726 0.034608 0.013624 -0.02098

0 06/01/20090.027025 2.34726 0.063435 -0.00807 -0.0715

1 06/02/20090.003103 2.34726 0.007284 -0.04878 -0.05606

2 06/03/2009 -0.01726 2.34726 -0.04052 -0.03419 0.00633

3 06/04/20090.013639 2.34726 0.032014 0.053097 0.021083 -0.02865

4 06/05/2009 -0.00311 2.34726 -0.00731 -0.03081 -0.0235

5 06/08/2009 -0.00265 2.34726 -0.00621 -0.01156 -0.00535 -0.0575

6 06/09/20090.005493 2.34726 0.012893 -0.00292 -0.01582

7 06/10/2009 -0.00284 2.34726 -0.00666 0.020528 0.027185

8 06/11/20090.007217 2.34726 0.01694 0 -0.01694

9 06/12/2009 -0.00136 2.34726 -0.00319 -0.00287 0.000316

10 06/15/2009 -0.02542 2.34726 -0.05966 -0.02882 0.030842 -0.03192

-0.1

-0.05

0

0.05

0.1

0.15

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

Actual

Expected

25

CSCO 2009

SUMMARY OUTPUT


Multiple R 0.878018

R Square 0.770916



Observations 241

ANOVA


Regression 1 0.215217 0.215217 804.2856 1.94E-78

Residual 239 0.063953 0.000268

Total 240 0.27917


Intercept 0.000402 0.001055 0.381394 0.703249 -0.00168 0.002481 -0.00168 0.002481

X Variable 11.039478 0.036653 28.35993 1.94E-78 0.967274 1.111682 0.967274 1.111682

-0.2

-0.1

0

0.1

0.2

-0.1 0 0.1 0.2

Y

X Variable 1


Y

Predicted Y

Coded Day Date Market Beta Expected Actual Difference CAR

-10 05/15/2009 -0.01064 1.039478 -0.01106 -0.0094 0.001666162 -0.02208

-9 05/18/20090.033016 1.039478 0.034319 0.044643 0.010323601

-8 05/19/20090.000506 1.039478 0.000526 0.008547 0.008021024

-7 05/20/2009 -0.00179 1.039478 -0.00186 -0.01483 -0.01297141

-6 05/21/2009 -0.01657 1.039478 -0.01723 -0.02688 -0.00965473

-5 05/22/2009 -9.7E-05 1.039478 -0.0001 -0.01105 -0.01094917 -0.01947

-4 05/26/20090.028116 1.039478 0.029226 0.032961 0.003735042

-3 05/27/2009 -0.01727 1.039478 -0.01795 -0.0146 0.00335086 -0.01225

-2 05/28/20090.015061 1.039478 0.015656 0.015917 0.000261425

-1 05/29/20090.014744 1.039478 0.015326 -0.00054 -0.01586606

0 06/01/20090.027025 1.039478 0.028092 0.054054 0.025962113

1 06/02/20090.003103 1.039478 0.003225 0.005641 0.0024155

2 06/03/2009 -0.01726 1.039478 -0.01794 -0.01275 0.005194466

3 06/04/20090.013639 1.039478 0.014177 0.016012 0.001834562 0.009445

4 06/05/2009 -0.00311 1.039478 -0.00324 0.010168 0.013404934

5 06/08/2009 -0.00265 1.039478 -0.00275 0 0.002751498 0.025601

6 06/09/20090.005493 1.039478 0.00571 0.010569 0.004859148

7 06/10/2009 -0.00284 1.039478 -0.00295 -0.00647 -0.00352604

8 06/11/20090.007217 1.039478 0.007502 0.007519 1.70888E-05

9 06/12/2009 -0.00136 1.039478 -0.00141 -0.00945 -0.00804035

10 06/15/2009 -0.02542 1.039478 -0.02642 -0.02762 -0.00120359 0.017707

-0.08

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

0.08

0.1

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

Actual

Expected

26

T 2004

SUMMARY OUTPUT


Multiple R 0.269507

R Square 0.072634



Observations 243

ANOVA


Regression 1 0.010539 0.010539 18.87584 2.06E-05

Residual 241 0.134564 0.000558

Total 242 0.145104


Intercept 1.33E-05 0.001538 0.008615 0.993133 -0.00302 0.003043 -0.00302 0.003043

X Variable 10.797785 0.183625 4.344634 2.06E-05 0.436069 1.1595 0.436069 1.1595

-0.1

0

0.1

0.2

0.3

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y


-10 03/18/2004 -0.0015 0.797785 -0.001196677 0.011886 0.013083 0.018619

-9 03/19/2004 -0.009451 0.797785 -0.007539863 0.003575 0.011115

-8 03/22/2004 -0.014016 0.797785 -0.01118175 -0.01781 -0.00663

-7 03/23/2004 -0.000694 0.797785 -0.000553663 0.003627 0.004181

-6 03/24/2004 -0.003346 0.797785 -0.002669388 0.002581 0.00525

-5 03/25/2004 0.016656 0.797785 0.013287902 0.020597 0.007309 -0.00838

-4 03/26/2004 0.000327 0.797785 0.000260876 0.008577 0.008316

-3 03/29/2004 0.013132 0.797785 0.010476509 0.004377 -0.0061 -0.024

-2 03/30/2004 0.005166 0.797785 0.004121356 -0.00151 -0.00563

-1 03/31/2004 0.000196 0.797785 0.000156366 -0.01212 -0.01227

0 04/01/2004 0.006666 0.797785 0.005318033 -0.0138 -0.01912

1 04/02/2004 0.008592 0.797785 0.006854566 0.015544 0.008689

2 04/05/2004 0.006556 0.797785 0.005230276 -0.00561 -0.01084

3 04/06/2004 -0.00345 0.797785 -0.002752357 0.012314 0.015066 0.012914

4 04/07/2004 -0.004299 0.797785 -0.003429676 -0.01064 -0.00721

5 04/08/2004 -0.001938 0.797785 -0.001546107 -0.01486 -0.01331 -0.00761

6 04/12/2004 0.003962 0.797785 0.003160823 -0.00676 -0.00992

7 04/13/2004 -0.014924 0.797785 -0.011906139 -0.00942 0.002482

8 04/14/2004 -0.003324 0.797785 -0.002651836 -0.00476 -0.00211

9 04/15/2004 -0.000082 0.797785 -6.54183E-05 -0.01009 -0.01002

10 4/16/2004 0.004869 0.797785 0.003884414 0.010193 0.006309 -0.02087

-0.04

-0.03

-0.02

-0.01

0

0.01

0.02

0.03

0.04

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

Actual

Expected

27

EK 2004

SUMMARY OUTPUT


Multiple R 0.392096

R Square 0.15374



Observations 243

ANOVA


Regression 1 0.019822 0.019822 43.78231 2.35E-10

Residual 241 0.109108 0.000453

Total 242 0.12893


Intercept -0.00168 0.001385 -1.20951 0.227651 -0.0044 0.001053 -0.0044 0.001053

X Variable 11.094073 0.165347 6.61682 2.35E-10 0.768363 1.419783 0.768363 1.419783

-0.2

-0.1

0

0.1

0.2

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y

Coded Day Date Market Beta Expected Actual DifferenceCAR

-10 03/18/2004 -0.0015 1.094073 -0.001641109 -0.01083 -0.00919 0.006139

-9 03/19/2004 -0.00945 1.094073 -0.010340082 0.004693 0.015033

-8 03/22/2004 -0.01402 1.094073 -0.015334525 -0.01946 -0.00413

-7 03/23/2004 -0.00069 1.094073 -0.000759287 -0.00238 -0.00162

-6 03/24/2004 -0.00335 1.094073 -0.003660768 -0.01313 -0.00947

-5 03/25/20040.016656 1.094073 0.018222877 0.030645 0.012422 0.01552

-4 03/26/20040.000327 1.094073 0.000357762 -0.00078 -0.00114

-3 03/29/20040.013132 1.094073 0.014367364 0.005873 -0.00849 0.004237

-2 03/30/20040.005166 1.094073 0.00565198 0.009342 0.00369

-1 03/31/20040.000196 1.094073 0.000214438 0.009256 0.009042

0 04/01/20040.006666 1.094073 0.007293089 -0.04089 -0.04818

1 04/02/20040.008592 1.094073 0.009400274 0.002789 -0.00661

2 04/05/20040.006556 1.094073 0.007172741 0.001192 -0.00598

3 04/06/2004 -0.00345 1.094073 -0.003774551 0.013889 0.017664 0.005072

4 04/07/2004 -0.0043 1.094073 -0.004703419 -0.00235 0.002355

5 04/08/2004 -0.00194 1.094073 -0.002120313 -0.00196 0.000158 0.007585

6 04/12/20040.003962 1.094073 0.004334717 0 -0.00433

7 04/13/2004 -0.01492 1.094073 -0.016327943 -0.01612 0.000212

8 04/14/2004 -0.00332 1.094073 -0.003636698 -0.002 0.001639

9 04/15/2004 -8.2E-05 1.094073 -8.9714E-05 -0.0012 -0.00111

10 04/16/20040.004869 1.094073 0.005327041 0.016032 0.010705 0.014695

-0.04

-0.03

-0.02

-0.01

0

0.01

0.02

0.03

0.04

0.05

0.06

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

Actual

Expected

28

IP 2004

SUMMARY OUTPUT


Multiple R 0.712737

R Square 0.507995



Observations 243

ANOVA


Regression 1 0.020909 0.020909 248.8321 5.47E-39

Residual 241 0.020251 8.4E-05

Total 242 0.041161


Intercept -0.00056 0.000597 -0.93672 0.349841 -0.00173 0.000616 -0.00173 0.000616

X Variable 11.123691 0.071235 15.77441 5.47E-39 0.983368 1.264013 0.983368 1.264013

-0.05

0

0.05

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y


-10 03/18/2004 -0.0015 1.123691 -0.001685536 -0.00145 0.00024054 0.011304

-9 03/19/2004 -0.00945 1.123691 -0.01062 0.000241 0.010861

-8 03/22/2004 -0.01402 1.123691 -0.015749647 -0.02484 -0.0090874

-7 03/23/2004 -0.00069 1.123691 -0.000779841 -0.00346 -0.0026822

-6 03/24/2004 -0.00335 1.123691 -0.003759869 -0.00844 -0.0046771

-5 03/25/20040.016656 1.123691 0.01871619 0.024775 0.00605881 0.016649

-4 03/26/20040.000327 1.123691 0.000367447 0.015385 0.01501755

-3 03/29/20040.013132 1.123691 0.014756305 0.015151 0.0003947 -0.00443

-2 03/30/20040.005166 1.123691 0.005804986 0.004975 -0.00083

-1 03/31/20040.000196 1.123691 0.000220243 -0.00377 -0.0039922

0 04/01/20040.006666 1.123691 0.007490521 -0.00189 -0.0093835

1 04/02/20040.008592 1.123691 0.00965475 0.011617 0.00196225

2 04/05/20040.006556 1.123691 0.007366916 -0.00633 -0.0136949

3 04/06/2004 -0.00345 1.123691 -0.003876733 0.010142 0.01401873 0.002286

4 04/07/2004 -0.0043 1.123691 -0.004830746 -0.01004 -0.0052093

5 04/08/2004 -0.00194 1.123691 -0.002177712 -0.0092 -0.0070203 -0.00994

6 04/12/20040.003962 1.123691 0.004452062 0.008807 0.00435494

7 04/13/2004 -0.01492 1.123691 -0.016769958 -0.01911 -0.002343

8 04/14/2004 -0.00332 1.123691 -0.003735148 0.007938 0.01167315

9 04/15/2004 -8.2E-05 1.123691 -9.21426E-05 -0.00048 -0.0003849

10 04/16/20040.004869 1.123691 0.005471249 0.020535 0.01506375 0.01842

-0.05

-0.04

-0.03

-0.02

-0.01

0

0.01

0.02

0.03

0.04

0.05

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

Actual

Expected

29

PFE 2004

SUMMARY OUTPUT


Multiple R 0.565931

R Square 0.320277



Observations 243

ANOVA


Regression 1 0.014577 0.014577 113.5564 5.62E-22

Residual 241 0.030936 0.000128

Total 242 0.045513


Intercept -0.0007 0.000737 -0.94403 0.3461 -0.00215 0.000757 -0.00215 0.000757

X Variable 10.938227 0.088044 10.65628 5.62E-22 0.764792 1.111662 0.764792 1.111662

-0.1

-0.05

0

0.05

0.1

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y

Coded Day Date Market Beta Expected Actual DifferenceCAR

-10 03/18/2004 -0.0015 0.938227 -0.001407341 -0.00573 -0.00432 -0.00118

-9 03/19/2004 -0.00945 0.938227 -0.008867184 -0.02161 -0.01275

-8 03/22/2004 -0.01402 0.938227 -0.01315019 -0.00736 0.005786

-7 03/23/2004 -0.00069 0.938227 -0.00065113 0.013056 0.013707

-6 03/24/2004 -0.00335 0.938227 -0.003139308 0.001172 0.004311

-5 03/25/20040.016656 0.938227 0.015627109 0.003803 -0.01182 -0.00791

-4 03/26/20040.000327 0.938227 0.0003068 -0.00058 -0.00089

-3 03/29/20040.013132 0.938227 0.012320797 0.021289 0.008968 0.004803

-2 03/30/20040.005166 0.938227 0.004846881 0.003427 -0.00142

-1 03/31/20040.000196 0.938227 0.000183892 -0.00256 -0.00274

0 04/01/20040.006666 0.938227 0.006254221 0.015407 0.009153

1 04/02/20040.008592 0.938227 0.008061247 0.01152 0.003459

2 04/05/20040.006556 0.938227 0.006151016 0.003611 -0.00254

3 04/06/2004 -0.00345 0.938227 -0.003236883 -0.00913 -0.0059 -0.00498

4 04/07/2004 -0.0043 0.938227 -0.004033438 -0.00363 0.000402

5 04/08/2004 -0.00194 0.938227 -0.001818284 -0.00196 -0.00014 -0.00472

6 04/12/20040.003962 0.938227 0.003717255 0.001966 -0.00175

7 04/13/2004 -0.01492 0.938227 -0.0140021 -0.00785 0.006152

8 04/14/2004 -0.00332 0.938227 -0.003118667 0.011868 0.014987

9 04/15/2004 -8.2E-05 0.938227 -7.69346E-05 0.042725 0.042802

10 04/16/20040.004869 0.938227 0.004568227 0.007499 0.002931 0.060401

-0.04

-0.03

-0.02

-0.01

0

0.01

0.02

0.03

0.04

0.05

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

Series2

Series1

30

VZ 2004

SUMMARY OUTPUT


Multiple R 0.496832

R Square 0.246842



Observations 243

ANOVA


Regression 1 0.014104 0.014104 78.9861 1.49E-16

Residual 241 0.043034 0.000179

Total 242 0.057138


Intercept -0.00079 0.00087 -0.90878 0.364376 -0.0025 0.000923 -0.0025 0.000923

X Variable 10.922889 0.103842 8.887412 1.49E-16 0.718335 1.127443 0.718335 1.127443

-0.1

-0.05

0

0.05

0.1

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y


-10 03/18/2004 -0.0015 0.922889 -0.001384334 0.000803 0.0021873 -0.0271

-9 03/19/2004 -0.00945 0.922889 -0.008722224 0.002676 0.0113982

-8 03/22/2004 -0.01402 0.922889 -0.012935213 -0.02349 -0.0105498

-7 03/23/2004 -0.00069 0.922889 -0.000640485 -0.01449 -0.0138445

-6 03/24/2004 -0.00335 0.922889 -0.003087987 -0.00056 0.002533

-5 03/25/20040.016656 0.922889 0.01537164 0.009711 -0.0056606 -0.01882

-4 03/26/20040.000327 0.922889 0.000301785 -0.01017 -0.0104698

-3 03/29/20040.013132 0.922889 0.012119379 0.007218 -0.0049014 -0.00269

-2 03/30/20040.005166 0.922889 0.004767645 0.000827 -0.0039406

-1 03/31/20040.000196 0.922889 0.000180886 0.006334 0.0061531

0 04/01/20040.006666 0.922889 0.006151978 0.009852 0.0037

1 04/02/20040.008592 0.922889 0.007929463 0.009214 0.0012845

2 04/05/20040.006556 0.922889 0.00605046 0.01101 0.0049595

3 04/06/2004 -0.00345 0.922889 -0.003183967 0.009429 0.012613 0.018857

4 04/07/2004 -0.0043 0.922889 -0.0039675 -0.00824 -0.0042725

5 04/08/2004 -0.00194 0.922889 -0.001788559 0 0.0017886 0.016373

6 04/12/20040.003962 0.922889 0.003656486 0.006969 0.0033125

7 04/13/2004 -0.01492 0.922889 -0.013773196 -0.01145 0.0023282

8 04/14/2004 -0.00332 0.922889 -0.003067683 -0.00162 0.0014527

9 04/15/2004 -8.2E-05 0.922889 -7.56769E-05 -0.00054 -0.0004633

10 04/16/20040.004869 0.922889 0.004493547 -0.00837 -0.0128585 0.010145

-0.04

-0.03

-0.02

-0.01

0

0.01

0.02

0.03

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21Actual

Expected

31

AIG 2004

SUMMARY OUTPUT


Multiple R 0.687369

R Square 0.472476



Observations 243

ANOVA


Regression 1 0.024107 0.024107 215.8514 2.52E-35

Residual 241 0.026915 0.000112

Total 242 0.051022


Intercept 1.26E-05 0.000688 0.018261 0.985446 -0.00134 0.001368 -0.00134 0.001368

X Variable 11.206545 0.082123 14.69188 2.52E-35 1.044774 1.368316 1.044774 1.368316

-0.1

-0.05

0

0.05

0.1

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y

Coded Day Date Market Bera Expected Actual Difference CAR

-10 03/18/2004 -0.0015 1.206545 -0.001809818 0.005479 0.007288818 -0.03001

-9 03/19/2004 -0.00945 1.206545 -0.011403058 -0.01785 -0.00644194

-8 03/22/2004 -0.01402 1.206545 -0.016910936 -0.01956 -0.00264506

-7 03/23/2004 -0.00069 1.206545 -0.000837342 -0.00976 -0.00892366

-6 03/24/2004 -0.00335 1.206545 -0.0040371 -0.00971 -0.0056769

-5 03/25/20040.016656 1.206545 0.020096215 0.015724 -0.00437222 -0.01361

-4 03/26/20040.000327 1.206545 0.00039454 -0.00313 -0.00351954

-3 03/29/20040.013132 1.206545 0.01584435 0.019518 0.00367365 -0.00572

-2 03/30/20040.005166 1.206545 0.006233012 0.002236 -0.00399701

-1 03/31/20040.000196 1.206545 0.000236483 -0.00516 -0.00539548

0 04/01/20040.006666 1.206545 0.00804283 0.02761 0.01956717

1 04/02/20040.008592 1.206545 0.010366635 0.013366 0.002999365

2 04/05/20040.006556 1.206545 0.00791011 0.022746 0.01483589

3 04/06/2004 -0.00345 1.206545 -0.004162581 -0.00224 0.001925581 0.019761

4 04/07/2004 -0.0043 1.206545 -0.005186937 0.005671 0.010857937

5 04/08/2004 -0.00194 1.206545 -0.002338284 0.000262 0.002600284 0.033219

6 04/12/20040.003962 1.206545 0.004780332 0.006556 0.001775668

7 04/13/2004 -0.01492 1.206545 -0.018006479 -0.0185 -0.00049052

8 04/14/2004 -0.00332 1.206545 -0.004010556 -0.00398 2.95559E-05

9 04/15/2004 -8.2E-05 1.206545 -9.89367E-05 -0.00493 -0.00483106

10 04/16/20040.004869 1.206545 0.005874668 0.006695 0.000820332 0.030523

-0.05

-0.04

-0.03

-0.02

-0.01

0

0.01

0.02

0.03

0.04

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21Actual

Expected

32

AIG 2008

SUMMARY OUTPUT


Multiple R 0.675388

R Square 0.456148



Observations 243

ANOVA


Regression 1 0.157612 0.157612 202.1357 1.01E-33

Residual 241 0.187916 0.00078

Total 242 0.345527


Intercept -0.00278 0.001792 -1.54973 0.122518 -0.00631 0.000753 -0.00631 0.000753

X Variable 12.028794 0.142698 14.21744 1.01E-33 1.7477 2.309888 1.7477 2.309888

-0.2

-0.1

0

0.1

0.2

-0.04 -0.02 0 0.02 0.04 0.06

Y

X Variable 1


Y

Predicted Y

09/04/2008 -0.028926 2.028794024 -0.05868 -0.06023 -0.001545104 2.63%

09/05/2008 0.003849 2.028794024 0.007809 0.05278 0.044971172 575.90%

09/08/2008 0.014858 2.028794024 0.030144 0.0188 -0.011343822 -37.63%

09/09/2008 -0.034931 2.028794024 -0.07087 -0.192882 -0.122014196 172.17%

09/10/2008 0.008548 2.028794024 0.017342 -0.04736 -0.064702131 -373.09%

09/11/2008 0.010959 2.028794024 0.022234 0.002857 -0.019376554 -87.15%

09/12/2008 0.005352 2.028794024 0.010858 -0.308262 -0.319120106 -2939.00%

09/15/2008 -0.045666 2.028794024 -0.09265 -0.607908 -0.515261092 556.16%

09/16/2008 0.015191 2.028794024 0.030819 -0.212185 -0.24300441 -788.48%

09/17/2008 -0.045473 2.028794024 -0.09226 -0.453333 -0.361077649 391.39%

09/18/2008 0.044137 2.028794024 0.089545 0.312195 0.222650118 248.65%

09/19/2008 0.046048 2.028794024 0.093422 0.431227 0.337805093 361.59%

09/22/2008 -0.036785 2.028794024 -0.07463 0.225974 0.300603188 -402.80%

09/23/2008 -0.015606 2.028794024 -0.03166 0.059322 0.09098336 -287.36%

09/24/2008 -0.003268 2.028794024 -0.00663 -0.338 -0.331369901 4997.96%

09/25/2008 0.016569 2.028794024 0.033615 -0.087613 -0.121228088 -360.64%

09/26/2008 -0.001992 2.028794024 -0.00404 0.043046 0.047087358 -1165.14%

09/29/2008 -0.082545 2.028794024 -0.16747 -0.206349 -0.038882197 23.22%

09/30/2008 0.046622 2.028794024 0.094586 0.332 0.237413565 251.00%

10/01/2008 -0.005668 2.028794024 -0.0115 0.186186 0.197685205 -1719.12%

10/02/2008 -0.045656 2.028794024 -0.09263 0.012658 0.10528462 -113.67%

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21Actual

Expected

33

BOA 2008

SUMMARY OUTPUT


Multiple R 0.759401

R Square 0.576691



Observations 241

ANOVA


Regression 1 0.036377 0.036377 325.5988 1.64E-46

Residual 239 0.026702 0.000112

Total 240 0.063079


Intercept -0.00073 0.000681 -1.0661 0.287454 -0.00207 0.000615 -0.00207 0.000615

X Variable 11.135995 0.062956 18.04436 1.64E-46 1.011976 1.260014 1.011976 1.260014

-0.1

-0.05

0

0.05

0.1

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y

Date Market Beta Expected Actual Difference Coded Q

01/28/2008 0.017169 1.135995 0.019504 0.043566 0.024062103 -10

01/29/2008 0.006383 1.135995 0.007251 0.017961 0.010709944 -9

01/30/2008 -0.00536 1.135995 -0.00609 0.006438 0.012529205 -8

01/31/2008 0.014949 1.135995 0.016982 0.045961 0.028979012 -7

02/01/2008 0.015984 1.135995 0.018158 0.019932 0.001774257 -6

02/04/2008 -0.00898 1.135995 -0.0102 -0.02221 -0.012008038 -5

02/05/2008 -0.03084 1.135995 -0.03504 -0.0377 -0.002663373 -4

02/06/2008 -0.008 1.135995 -0.00908 -0.00094 0.008138279 -3

02/07/2008 0.007726 1.135995 0.008777 0.024569 0.015792303 -2

02/08/2008 -0.00206 1.135995 -0.00234 -0.0279 -0.025557714 -1

02/11/2008 0.005804 1.135995 0.006593 -0.00047 -0.007067315 0

02/12/2008 0.006273 1.135995 0.007126 0.016137 0.009010904 1

02/13/2008 0.014371 1.135995 0.016325 0.01191 -0.004415383 2

02/14/2008 -0.01321 1.135995 -0.01501 -0.02516 -0.010149507 3

02/15/2008 -0.00045 1.135995 -0.00051 0.01089 0.011404606 4

02/19/2008 0.00061 1.135995 0.000693 -0.0007 -0.001395957 5

02/20/2008 0.008863 1.135995 0.010068 0.007031 -0.003037323 6

02/21/2008 -0.01184 1.135995 -0.01345 -0.01769 -0.004239092 7

02/22/2008 0.006786 1.135995 0.007709 0.00924 0.001531138 8

02/25/2008 0.015084 1.135995 0.017135 0.007981 -0.009154347 9

2/26/2008 0.00823 1.135995 0.009349 -0.00512 -0.014472238 10

-0.08

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

0.08

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

Actual

Expected

34

BS 1997

SUMMARY OUTPUT


Multiple R 0.190651

R Square 0.036348



Observations 243

ANOVA


Regression 1 0.004258 0.004258 9.090269 0.002845

Residual 241 0.112877 0.000468

Total 242 0.117135


Intercept -0.00286 0.001403 -2.04105 0.042336 -0.00563 -1E-04 -0.00563 -1E-04

X Variable 10.635925 0.21092 3.015007 0.002845 0.220443 1.051406 0.220443 1.051406

-0.2

-0.1

0

0.1

0.2

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y


02/27/1997 -0.01195 0.635925 -0.0076 0 0.0076018 -10

02/28/1997 -0.00462 0.635925 -0.00294 0.064516 0.0674514 -9

03/03/19970.003746 0.635925 0.002382 0 -0.0023822 -8

03/04/1997 -0.00223 0.635925 -0.00142 0.015152 0.0165682 -7

03/05/19970.011549 0.635925 0.007344 -0.014925 -0.0222693 -6

03/06/1997 -0.00252 0.635925 -0.0016 -0.015152 -0.0135514 -5

03/07/19970.006819 0.635925 0.004336 0 -0.0043364 -4

03/10/19970.008571 0.635925 0.005451 0.015385 0.0099345 -3

03/11/1997 -0.00196 0.635925 -0.00125 0.045455 0.0467008 -2

03/12/1997 -0.00769 0.635925 -0.00489 0.014493 0.0193839 -1

03/13/1997 -0.01597 0.635925 -0.01016 -0.042857 -0.0327006 0

03/14/19970.003522 0.635925 0.00224 0.014925 0.0126853 1

03/17/1997 -0.00119 0.635925 -0.00076 0 0.0007555 2

03/18/1997 -0.00726 0.635925 -0.00462 0 0.0046194 3

03/19/1997 -0.00618 0.635925 -0.00393 0 0.0039275 4

03/20/1997 -0.00186 0.635925 -0.00118 0 0.0011815 5

03/21/1997 0.00116 0.635925 0.000738 -0.029412 -0.0301497 6

03/24/19970.004849 0.635925 0.003084 0.030303 0.0272194 7

03/25/1997 -0.00032 0.635925 -0.0002 -0.029412 -0.0292072 8

03/26/19970.002522 0.635925 0.001604 0.030303 0.0286992 9

03/27/1997 -0.01855 0.635925 -0.0118 0 0.0117989 10

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

0.08

1 2 3 4 5 6 7 8 9 101112131415161718192021

Actual

Expected

35

CVX 2008

SUMMARY OUTPUT


Multiple R 0.787803

R Square 0.620634



Observations 241

ANOVA


Regression 1 0.034256 0.034256 390.999 3.25E-52

Residual 239 0.020939 8.76E-05

Total 240 0.055195


Intercept 0.000845 0.000603 1.400943 0.162528 -0.00034 0.002033 -0.00034 0.002033

X Variable 11.102372 0.055749 19.7737 3.25E-52 0.992549 1.212195 0.992549 1.212195

-0.05

0

0.05

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y

date Market Beta Expected Actual Difference Coded Q

01/28/2008 0.017169 1.102372 0.018927 0.012711 -0.0062156 -10

01/29/2008 0.006383 1.102372 0.007036 -0.00314 -0.0101744 -9

01/30/2008 -0.00536 1.102372 -0.00591 0.007627 0.0135379 -8

01/31/2008 0.014949 1.102372 0.016479 0.00024 -0.0162394 -7

02/01/2008 0.015984 1.102372 0.01762 -0.00913 -0.0267493 -6

02/04/2008 -0.00898 1.102372 -0.0099 -0.0057 0.0041991 -5

02/05/2008 -0.03084 1.102372 -0.034 -0.0278 0.0062036 -4

02/06/2008 -0.008 1.102372 -0.00881 -0.02797 -0.0191525 -3

02/07/2008 0.007726 1.102372 0.008517 0.015869 0.0073521 -2

02/08/2008 -0.00206 1.102372 -0.00227 0.006604 0.008876 -1

02/11/2008 0.005804 1.102372 0.006398 0.014762 0.0083638 0

02/12/2008 0.006273 1.102372 0.006915 0.008579 0.0016638 1

02/13/2008 0.014371 1.102372 0.015842 0.019477 0.0036348 2

02/14/2008 -0.01321 1.102372 -0.01456 0.008768 0.0233303 3

02/15/2008 -0.00045 1.102372 -0.0005 0.009174 0.0096734 4

02/19/2008 0.00061 1.102372 0.000672 0.014713 0.0140406 5

02/20/2008 0.008863 1.102372 0.00977 0.0178 0.0080297 6

02/21/2008 -0.01184 1.102372 -0.01305 -0.01807 -0.0050181 7

02/22/2008 0.006786 1.102372 0.007481 0.007549 6.83E-05 8

02/25/2008 0.015084 1.102372 0.016628 0.020604 0.0039758 9

2/26/2008 0.00823 1.102372 0.009073 0.010782 0.0017095 10

-0.08

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21Actual

Expected

36

HWP 1997

SUMMARY OUTPUT


Multiple R 0.429216

R Square 0.184226



Observations 243

ANOVA


Regression 1 0.028466 0.028466 54.42501 2.6E-12

Residual 241 0.12605 0.000523

Total 242 0.154516


Intercept -0.00026 0.001482 -0.17351 0.862399 -0.00318 0.002662 -0.00318 0.002662

X Variable 11.644317 0.222888 7.377331 2.6E-12 1.20526 2.083373 1.20526 2.083373

-0.2

-0.1

0

0.1

-0.04 -0.02 0 0.02 0.04Y

X Variable 1


Y

Predicted Y


02/27/1997-0.011954 1.644317 -0.01965616 -0.03397 -0.01431384 -10

02/28/1997-0.004616 1.644317 -0.007590165 -0.01319 -0.005596835 -9

03/03/1997 0.003746 1.644317 0.00615961 0.013363 0.00720339 -8

03/04/1997-0.002227 1.644317 -0.003661893 0.010989 0.014650893 -7

03/05/1997 0.011549 1.644317 0.018990212 0.015217 -0.003773212 -6

03/06/1997-0.002517 1.644317 -0.004138745 -0.00857 -0.004426255 -5

03/07/1997 0.006819 1.644317 0.011212595 -0.03024 -0.041450595 -4

03/10/1997 0.008571 1.644317 0.014093437 0.006682 -0.007411437 -3

03/11/1997-0.001959 1.644317 -0.003221216 -0.01991 -0.016690784 -2

03/12/1997-0.007691 1.644317 -0.012646439 -0.01354 -0.000897561 -1

03/13/1997-0.015971 1.644317 -0.02626138 0.018307 0.04456838 0

03/14/1997 0.003522 1.644317 0.005791283 -0.00449 -0.010285283 1

03/17/1997-0.001188 1.644317 -0.001953448 0.004515 0.006468448 2

03/18/1997-0.007264 1.644317 -0.011944315 0.006742 0.018686315 3

03/19/1997-0.006176 1.644317 -0.010155299 -0.01116 -0.001005701 4

03/20/1997-0.001858 1.644317 -0.00305514 0.029345 0.03240014 5

03/21/1997 0.00116 1.644317 0.001907407 -0.00219 -0.004100407 6

03/24/1997 0.004849 1.644317 0.007973291 0.00211 -0.005863291 7

03/25/1997-0.000322 1.644317 -0.00052947 -0.01539 -0.01485553 8

03/26/1997 0.002522 1.644317 0.004146966 -0.00446 -0.008610966 9

03/27/1997-0.018554 1.644317 -0.030508649 -0.01345 0.017055649 10

-0.06

-0.05

-0.04

-0.03

-0.02

-0.01

0

0.01

0.02

0.03

0.04

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 Actual

Expected

37

JNJ 1997

SUMMARY OUTPUT


Multiple R 0.586369

R Square 0.343828



Observations 243

ANOVA


Regression 1 0.018423 0.018423 126.282 7.75E-24

Residual 241 0.035159 0.000146

Total 242 0.053582


Intercept -0.00017 0.000783 -0.21274 0.831708 -0.00171 0.001375 -0.00171 0.001375

X Variable 11.322825 0.117715 11.23753 7.75E-24 1.090944 1.554707 1.090944 1.554707

-0.05

0

0.05

0.1

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y


02/27/1997 -0.01195 1.322825 -0.015813055 -0.019149 -0.0033359 -10

02/28/1997 -0.00462 1.322825 -0.006106162 -0.002169 0.0039372 -9

03/03/19970.003746 1.322825 0.004955304 0.015217 0.0102617 -8

03/04/1997 -0.00223 1.322825 -0.002945932 -0.017131 -0.0141851 -7

03/05/19970.011549 1.322825 0.015277311 0.034858 0.0195807 -6

03/06/1997 -0.00252 1.322825 -0.003329552 -0.004211 -0.0008814 -5

03/07/19970.006819 1.322825 0.009020347 0.02537 0.0163497 -4

03/10/19970.008571 1.322825 0.011337937 0.010309 -0.0010289 -3

03/11/1997 -0.00196 1.322825 -0.002591415 -0.006122 -0.0035306 -2

03/12/1997 -0.00769 1.322825 -0.01017385 -0.020534 -0.0103601 -1

03/13/1997 -0.01597 1.322825 -0.021126845 -0.014675 0.0064518 0

03/14/19970.003522 1.322825 0.004658991 -0.014894 -0.019553 1

03/17/1997 -0.00119 1.322825 -0.001571517 0 0.0015715 2

03/18/1997 -0.00726 1.322825 -0.009609004 -0.00432 0.005289 3

03/19/1997 -0.00618 1.322825 -0.00816977 -0.004338 0.0038318 4

03/20/1997 -0.00186 1.322825 -0.00245781 -0.004357 -0.0018992 5

03/21/1997 0.00116 1.322825 0.001534478 -0.008753 -0.0102875 6

03/24/19970.004849 1.322825 0.006414381 0.022075 0.0156606 7

03/25/1997 -0.00032 1.322825 -0.00042595 -0.006479 -0.0060531 8

03/26/19970.002522 1.322825 0.003336166 -0.006522 -0.0098582 9

03/27/1997 -0.01855 1.322825 -0.024543703 -0.035011 -0.0104673 10

-0.08

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21Actual

Expected

38

KFT 2008

SUMMARY OUTPUT


Multiple R 0.540033

R Square 0.291635



Observations 243

ANOVA


Regression 1 0.011657 0.011657 99.22025 8.51E-20

Residual 241 0.028314 0.000117

Total 242 0.03997


Intercept 0.000106 0.000696 0.15286 0.878637 -0.00126 0.001477 -0.00126 0.001477

X Variable 10.551738 0.05539 9.960936 8.51E-20 0.442627 0.660848 0.442627 0.660848

-0.05

0

0.05

0.1

-0.04 -0.02 0 0.02 0.04 0.06

Y

X Variable 1


Y

Predicted Y


09/04/2008 -0.028926 0.551737583 -0.015959561 0.003479 0.019438561 -10

09/05/2008 0.003849 0.551737583 0.002123638 0.02994 0.027816362 -9

09/08/2008 0.014858 0.551737583 0.008197717 0.0153 0.007102283 -8

09/09/2008 -0.034931 0.551737583 -0.019272746 -0.006631 0.012641746 -7

09/10/2008 0.008548 0.551737583 0.004716253 -0.005158 -0.00987425 -6

09/11/2008 0.010959 0.551737583 0.006046492 0.020433 0.014386508 -5

09/12/2008 0.005352 0.551737583 0.0029529 -0.003586 -0.0065389 -4

09/15/2008 -0.045666 0.551737583 -0.025195648 -0.005999 0.019196648 -3

09/16/2008 0.015191 0.551737583 0.008381446 0.01207 0.003688554 -2

09/17/2008 -0.045473 0.551737583 -0.025089163 -0.026535 -0.00144584 -1

09/18/2008 0.044137 0.551737583 0.024352042 0.033384 0.009031958 0

09/19/2008 0.046048 0.551737583 0.025406412 0.036455 0.011048588 1

09/22/2008 -0.036785 0.551737583 -0.020295667 -0.045468 -0.02517233 2

09/23/2008 -0.015606 0.551737583 -0.008610417 -0.01511 -0.00649958 3

09/24/2008 -0.003268 0.551737583 -0.001803078 0.000307 0.002110078 4

09/25/2008 0.016569 0.551737583 0.00914174 0.012577 0.00343526 5

09/26/2008 -0.001992 0.551737583 -0.001099061 -0.002423 -0.00132394 6

09/29/2008 -0.082545 0.551737583 -0.045543179 -0.032493 0.013050179 7

09/30/2008 0.046622 0.551737583 0.02572311 0.027935 0.00221189 8

10/01/2008 -0.005668 0.551737583 -0.003127249 0.021374 0.024501249 9

10/02/2008 -0.045656 0.551737583 -0.025190131 0.002691 0.027881131 10

-0.1

-0.08

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

0.08

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21Actual

Expected

39

TRV 1997

SUMMARY OUTPUT


Multiple R 0.694343

R Square 0.482113



Observations 243

ANOVA


Regression 1 0.041493 0.041493 224.3521 2.71E-36

Residual 241 0.044572 0.000185

Total 242 0.086064


Intercept 0.000805 0.000881 0.913007 0.362151 -0.00093 0.002541 -0.00093 0.002541

X Variable 11.985216 0.132539 14.97839 2.71E-36 1.724134 2.246298 1.724134 2.246298

-0.1

-0.05

0

0.05

0.1

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y


02/27/1997 -0.01195 1.985215987 -0.023731272 -0.040541 -0.016809728 -10

02/28/1997 -0.00462 1.985215987 -0.009163757 0.007042 0.016205757 -9

03/03/19970.003746 1.985215987 0.007436619 0.018648 0.011211381 -8

03/04/1997 -0.00223 1.985215987 -0.004421076 -0.036613 -0.032191924 -7

03/05/19970.011549 1.985215987 0.022927259 0.038005 0.015077741 -6

03/06/1997 -0.00252 1.985215987 -0.004996789 0 0.004996789 -5

03/07/19970.006819 1.985215987 0.013537188 0.016018 0.002480812 -4

03/10/19970.008571 1.985215987 0.017015286 0.02027 0.003254714 -3

03/11/1997 -0.00196 1.985215987 -0.003889038 -0.00883 -0.004940962 -2

03/12/1997 -0.00769 1.985215987 -0.015268296 -0.026726 -0.011457704 -1

03/13/1997 -0.01597 1.985215987 -0.031705885 -0.032037 -0.000331115 0

03/14/19970.003522 1.985215987 0.006991931 0.007092 0.000100069 1

03/17/1997 -0.00119 1.985215987 -0.002358437 -0.025822 -0.023463563 2

03/18/1997 -0.00726 1.985215987 -0.014420609 0.014458 0.028878609 3

03/19/1997 -0.00618 1.985215987 -0.012260694 -0.009501 0.002759694 4

03/20/1997 -0.00186 1.985215987 -0.003688531 -0.031175 -0.027486469 5

03/21/1997 0.00116 1.985215987 0.002302851 0.00495 0.002647149 6

03/24/19970.004849 1.985215987 0.009626312 0.049261 0.039634688 7

03/25/1997 -0.00032 1.985215987 -0.00063924 0.00939 0.01002924 8

03/26/19970.002522 1.985215987 0.005006715 -0.027907 -0.032913715 9

03/27/1997 -0.01855 1.985215987 -0.036833697 -0.026316 0.010517697 10

-0.08

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

0.08

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

Actual

Expected

40

TX 1997

SUMMARY OUTPUT


Multiple R 0.282933

R Square 0.080051



Observations 243

ANOVA


Regression 1 0.003004 0.003004 20.97113 7.48E-06

Residual 241 0.034523 0.000143

Total 242 0.037528


Intercept 0.000578 0.000776 0.745005 0.456994 -0.00095 0.002106 -0.00095 0.002106

X Variable 10.534173 0.116646 4.579425 7.48E-06 0.304396 0.763949 0.304396 0.763949

-0.04

-0.02

0

0.02

0.04

0.06

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y


02/27/1997 -0.01195 0.534173 -0.00639 -0.01595 -0.0095655 -10

02/28/1997 -0.00462 0.534173 -0.00247 -0.01372 -0.0112503 -9

03/03/19970.003746 0.534173 0.002001 -0.00126 -0.003265 -8

03/04/1997 -0.00223 0.534173 -0.00119 0.03038 0.0315696 -7

03/05/19970.011549 0.534173 0.006169 0 -0.0061692 -6

03/06/1997 -0.00252 0.534173 -0.00134 0.020885 0.0222295 -5

03/07/19970.006819 0.534173 0.003643 -0.00842 -0.0120665 -4

03/10/19970.008571 0.534173 0.004578 0.019417 0.0148386 -3

03/11/1997 -0.00196 0.534173 -0.00105 -0.02024 -0.0191916 -2

03/12/1997 -0.00769 0.534173 -0.00411 -0.00122 0.0028933 -1

03/13/1997 -0.01597 0.534173 -0.00853 -0.02068 -0.0121497 0

03/14/19970.003522 0.534173 0.001881 0.006211 0.0043296 1

03/17/1997 -0.00119 0.534173 -0.00063 0.004938 0.0055726 2

03/18/1997 -0.00726 0.534173 -0.00388 -0.00983 -0.0059478 3

03/19/1997 -0.00618 0.534173 -0.0033 0.009926 0.0132251 4

03/20/1997 -0.00186 0.534173 -0.00099 -0.00737 -0.0063785 5

03/21/1997 0.00116 0.534173 0.00062 0.012376 0.0117564 6

03/24/19970.004849 0.534173 0.00259 0.035452 0.0328618 7

03/25/1997 -0.00032 0.534173 -0.00017 0.023613 0.023785 8

03/26/19970.002522 0.534173 0.001347 0.012687 0.0113398 9

03/27/1997 -0.01855 0.534173 -0.00991 -0.02392 -0.014007 10

-0.04

-0.03

-0.02

-0.01

0

0.01

0.02

0.03

0.04

0.05

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

Actual

Expected

41

WMT 1997

SUMMARY OUTPUT


Multiple R 0.384909

R Square 0.148155



Observations 243

ANOVA


Regression 1 0.011511 0.011511 41.91536 5.29E-10

Residual 241 0.066183 0.000275

Total 242 0.077694


Intercept -5.8E-05 0.001074 -0.05435 0.9567 -0.00217 0.002057 -0.00217 0.002057

X Variable 11.045621 0.161506 6.474207 5.29E-10 0.727478 1.363764 0.727478 1.363764

-0.1

-0.05

0

0.05

0.1

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y


02/27/1997 -0.01195 1.045621248 -0.012499356 0 0.012499356 -10

02/28/1997 -0.00462 1.045621248 -0.004826588 -0.01402 -0.009192412 -9

03/03/19970.003746 1.045621248 0.003916897 0.023697 0.019780103 -8

03/04/1997 -0.00223 1.045621248 -0.002328599 -0.01852 -0.016190401 -7

03/05/19970.011549 1.045621248 0.01207588 0.004717 -0.00735888 -6

03/06/1997 -0.00252 1.045621248 -0.002631829 0.023474 0.026105829 -5

03/07/19970.006819 1.045621248 0.007130091 0 -0.007130091 -4

03/10/19970.008571 1.045621248 0.00896202 0.004587 -0.00437502 -3

03/11/1997 -0.00196 1.045621248 -0.002048372 0.013699 0.015747372 -2

03/12/1997 -0.00769 1.045621248 -0.008041873 0.036036 0.044077873 -1

03/13/1997 -0.01597 1.045621248 -0.016699617 0.008696 0.025395617 0

03/14/19970.003522 1.045621248 0.003682678 -0.00862 -0.012303678 1

03/17/1997 -0.00119 1.045621248 -0.001242198 0.006696 0.007938198 2

03/18/1997 -0.00726 1.045621248 -0.007595393 0.008658 0.016253393 3

03/19/1997 -0.00618 1.045621248 -0.006457757 0.025751 0.032208757 4

03/20/1997 -0.00186 1.045621248 -0.001942764 -0.01674 -0.014793236 5

03/21/1997 0.00116 1.045621248 0.001212921 0.012766 0.011553079 6

03/24/19970.004849 1.045621248 0.005070217 0 -0.005070217 7

03/25/1997 -0.00032 1.045621248 -0.00033669 -0.01681 -0.01647031 8

03/26/19970.002522 1.045621248 0.002637057 0.012821 0.010183943 9

03/27/1997 -0.01855 1.045621248 -0.019400457 -0.02532 -0.005915543 10

-0.05

-0.04

-0.03

-0.02

-0.01

0

0.01

0.02

0.03

0.04

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21Actual

Expected

42

WX 2008

SUMMARY OUTPUT


Multiple R 0.399154

R Square 0.159324



Observations 243

ANOVA


Regression 1 0.012789 0.012789 45.67402 1.04E-10

Residual 241 0.067481 0.00028

Total 242 0.08027


Intercept -0.00121 0.001084 -1.11121 0.267584 -0.00334 0.000931 -0.00334 0.000931

X Variable 11.102146 0.163081 6.758255 1.04E-10 0.780899 1.423393 0.780899 1.423393

-0.1

-0.05

0

0.05

0.1

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y


02/27/1997 -0.01195 1.102146 -0.01318 0 0.013175052 -10

02/28/1997 -0.00462 1.102146 -0.00509 0.014706 0.019793506 -9

03/03/19970.003746 1.102146 0.004129 0.028986 0.024857361 -8

03/04/1997 -0.00223 1.102146 -0.00245 0.070423 0.072877479 -7

03/05/19970.011549 1.102146 0.012729 0.019737 0.007008317 -6

03/06/1997 -0.00252 1.102146 -0.00277 -0.032258 -0.029483899 -5

03/07/19970.006819 1.102146 0.007516 0.04 0.032484467 -4

03/10/19970.008571 1.102146 0.009446 -0.00641 -0.015856493 -3

03/11/1997 -0.00196 1.102146 -0.00216 -0.006452 -0.004292896 -2

03/12/1997 -0.00769 1.102146 -0.00848 -0.012987 -0.004510396 -1

03/13/1997 -0.01597 1.102146 -0.0176 -0.006579 0.011023373 0

03/14/19970.003522 1.102146 0.003882 0.019868 0.015986242 1

03/17/1997 -0.00119 1.102146 -0.00131 0.006494 0.007803349 2

03/18/1997 -0.00726 1.102146 -0.00801 -0.045161 -0.037155012 3

03/19/1997 -0.00618 1.102146 -0.00681 0 0.006806853 4

03/20/1997 -0.00186 1.102146 -0.00205 -0.006757 -0.004709213 5

03/21/1997 0.00116 1.102146 0.001278 0.027211 0.025932511 6

03/24/19970.004849 1.102146 0.005344 0.006623 0.001278694 7

03/25/1997 -0.00032 1.102146 -0.00035 -0.026316 -0.025961109 8

03/26/19970.002522 1.102146 0.00278 0.013514 0.010734388 9

03/27/1997 -0.01855 1.102146 -0.02045 -0.02 0.000449216 10

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

0.08

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

Actual

Expected

43

Z 1997

SUMMARY OUTPUT


Multiple R 0.324015

R Square 0.104986



Observations 243

ANOVA


Regression 1 0.010554 0.010554 28.26951 2.41E-07

Residual 241 0.089972 0.000373

Total 242 0.100525


Intercept 0.000759 0.001252 0.605875 0.545168 -0.00171 0.003225 -0.00171 0.003225

X Variable 11.001212 0.188307 5.316908 2.41E-07 0.630274 1.37215 0.630274 1.37215

-0.1

-0.05

0

0.05

0.1

0.15

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y


02/27/1997 -0.01195 1.001212 -0.01197 0.017964 0.0299325 -10

02/28/1997 -0.00462 1.001212 -0.00462 -0.01765 -0.0130254 -9

03/03/19970.003746 1.001212 0.003751 0.011976 0.0082255 -8

03/04/1997 -0.00223 1.001212 -0.00223 0.005917 0.0081467 -7

03/05/19970.011549 1.001212 0.011563 0.047059 0.035496 -6

03/06/1997 -0.00252 1.001212 -0.00252 -0.02809 -0.0255699 -5

03/07/19970.006819 1.001212 0.006827 -0.01156 -0.0183883 -4

03/10/19970.008571 1.001212 0.008581 0.005848 -0.0027334 -3

03/11/1997 -0.00196 1.001212 -0.00196 0.040698 0.0426594 -2

03/12/1997 -0.00769 1.001212 -0.0077 0.027933 0.0356333 -1

03/13/1997 -0.01597 1.001212 -0.01599 -0.03261 -0.0166186 0

03/14/19970.003522 1.001212 0.003526 0.039326 0.0357997 1

03/17/1997 -0.00119 1.001212 -0.00119 -0.01622 -0.0150266 2

03/18/1997 -0.00726 1.001212 -0.00727 -0.0055 0.0017778 3

03/19/1997 -0.00618 1.001212 -0.00618 0.027624 0.0338075 4

03/20/1997 -0.00186 1.001212 -0.00186 0.016129 0.0179893 5

03/21/1997 0.00116 1.001212 0.001161 -0.00529 -0.0064524 6

03/24/19970.004849 1.001212 0.004855 -0.01596 -0.0208119 7

03/25/1997 -0.00032 1.001212 -0.00032 -0.01081 -0.0104886 8

03/26/19970.002522 1.001212 0.002525 0.010929 0.0084039 9

03/27/1997 -0.01855 1.001212 -0.01858 -0.00541 0.0131715 10

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

0.08

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

Actual

Expected

44

CVX 1999

SUMMARY OUTPUT


Multiple R 0.259148

R Square 0.067158



Observations 242

ANOVA


Regression 1 0.005249 0.005249 17.27819 4.49E-05

Residual 240 0.072908 0.000304

Total 241 0.078157


Intercept 0.000227 0.001125 0.201912 0.840157 -0.00199 0.002443 -0.00199 0.002443

X Variable 10.431559 0.103822 4.156705 4.49E-05 0.227039 0.636078 0.227039 0.636078

-0.1

-0.05

0

0.05

0.1

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y

Names

Date Market Beta Expected Actual

Differe

nce

Coded

Day

10/13/1999 -0.02003 0.431559 -0.00864369 -0.00284 0.005803 -10

10/14/1999 -0.00074 0.431559 -0.00032022 0.002849 0.003169 -9 Std first 0.0168

10/15/1999 -0.02565 0.431559 -0.01107077 0.003551 0.014622 -8 std2 0.023024

10/18/19990.000193 0.431559 8.32908E-05 0.011323 0.01124 -7

10/19/19990.007483 0.431559 0.003229352 0.006298 0.003069 -6 -10 0.010044

10/20/19990.018692 0.431559 0.008066692 0.023644 0.015577 -5 -5 -0.02786

10/21/1999 -0.00129 0.431559 -0.00055671 0.007473 0.00803 -4 -3 -0.05147

10/22/19990.013632 0.431559 0.005883006 0.011463 0.00558 -3 0 0.017748

10/25/1999 -0.00391 0.431559 -0.00168826 -0.04 -0.03831 -2 3 -0.00245

10/26/1999 -0.00808 0.431559 -0.00348872 -0.02222 -0.01873 -1 5 -0.03023

10/27/19990.008248 0.431559 0.003559495 0.021307 0.017748 0 10 -0.00866

10/28/1999 0.03253 0.431559 0.014038598 0 -0.01404 1

10/29/19990.016985 0.431559 0.007330021 0.015994 0.008664 2

11/01/1999 -0.0036 0.431559 -0.00155404 0.001369 0.002923 3

11/02/1999 -0.00277 0.431559 -0.00119671 -0.02939 -0.0282 4

11/03/19990.007197 0.431559 0.003105927 0.003521 0.000415 5

11/04/19990.006529 0.431559 0.002817646 -0.00912 -0.01194 6

11/05/19990.007396 0.431559 0.003191807 -0.03116 -0.03435 7

11/08/19990.006052 0.431559 0.002611792 0.045322 0.04271 8

11/09/1999 -0.00705 0.431559 -0.00304162 -0.0014 0.001643 9

11/10/19990.005545 0.431559 0.002392992 0.02591 0.023517 10

-0.05

-0.04

-0.03

-0.02

-0.01

0

0.01

0.02

0.03

0.04

0.05

0.06

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

Actual

Expected

45

GT 1999

SUMMARY OUTPUT


Multiple R 0.207967

R Square 0.04325



Observations 242

ANOVA


Regression 1 0.004479 0.004479 10.84932 0.001137

Residual 240 0.099074 0.000413

Total 241 0.103553


Intercept -0.00047 0.001311 -0.35785 0.720767 -0.00305 0.002114 -0.00305 0.002114

X Variable 10.398641 0.121027 3.29383 0.001137 0.160231 0.637052 0.160231 0.637052

-0.1

-0.05

0

0.05

0.1

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y

Names


Differe

nce

coded

day

10/13/1999 -0.02003 0.398641 -0.00798439 -0.01513 -0.00715 -10

10/14/1999 -0.00074 0.398641 -0.00029579 -0.01793 -0.01763 -9 std1 0.029416

10/15/1999 -0.02565 0.398641 -0.01022635 -0.03651 -0.02628 -8 std2 0.021984

10/18/1999 0.000193 0.398641 7.69378E-05 -0.00541 -0.00549 -7

10/19/1999 0.007483 0.398641 0.002983034 -0.02313 -0.02611 -6

10/20/1999 0.018692 0.398641 0.007451406 -0.00139 -0.00884 -5

10/21/1999 -0.00129 0.398641 -0.00051425 -0.01116 -0.01064 -4 -10 -0.16971

10/22/1999 0.013632 0.398641 0.00543428 -0.0141 -0.01954 -3 -5 -0.08705

10/25/1999 -0.00391 0.398641 -0.00155949 0.034335 0.035894 -2 -3 -0.06756

10/26/1999 -0.00808 0.398641 -0.00322262 -0.08714 -0.08391 -1 0 -0.02601

10/27/1999 0.008248 0.398641 0.003287995 -0.02273 -0.02601 0 3 -0.04177

10/28/1999 0.03253 0.398641 0.012967807 -0.00465 -0.01762 1 5 -0.06582

10/29/1999 0.016985 0.398641 0.006770925 0.029595 0.022824 2 10 -0.10537

11/01/1999 -0.0036 0.398641 -0.00143551 -0.04841 -0.04698 3

11/02/1999 -0.00277 0.398641 -0.00110543 -0.00159 -0.00048 4

11/03/1999 0.007197 0.398641 0.002869023 -0.0207 -0.02357 5

11/04/1999 0.006529 0.398641 0.00260273 -0.03415 -0.03675 6

11/05/1999 0.007396 0.398641 0.002948352 -0.01179 -0.01473 7

11/08/1999 0.006052 0.398641 0.002412578 0.018739 0.016326 8

11/09/1999 -0.00705 0.398641 -0.00280963 -0.00836 -0.00555 9

11/10/1999 0.005545 0.398641 0.002210467 0.003373 0.001163 10

-0.1

-0.08

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 Actual

Expected

46

HD 1999

SUMMARY OUTPUT


Multiple R 0.650973

R Square 0.423765



Observations 242

ANOVA


Regression 1 0.052105 0.052105 176.4971 1.47E-30

Residual 240 0.070852 0.000295

Total 241 0.122956


Intercept 0.00128 0.001109 1.154511 0.249439 -0.0009 0.003465 -0.0009 0.003465

X Variable 11.359707 0.102347 13.28522 1.47E-30 1.158093 1.56132 1.158093 1.56132

-0.1

-0.05

0

0.05

0.1

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y

Names

Date Market Beta

Expect

ed Actual

Differe

nce

Coded

Days

10/13/1999 -0.02003 1.359707 -0.02723 -0.03226 -0.00502 -10

10/14/1999 -0.00074 1.359707 -0.00101 -0.00351 -0.0025 -9

10/15/1999 -0.02565 1.359707 -0.03488 -0.03521 -0.00033 -8 std1 0.006797

10/18/1999 0.000193 1.359707 0.000262 0.006387 0.006125 -7 std2 0.017537

10/19/1999 0.007483 1.359707 0.010175 0.021759 0.011584 -6

10/20/1999 0.018692 1.359707 0.025416 0.027507 0.002091 -5

10/21/1999 -0.00129 1.359707 -0.00175 -0.00691 -0.00515 -4 -10 -0.01191

10/22/1999 0.013632 1.359707 0.018536 0.006087 -0.01245 -3 -5 -0.02176

10/25/1999 -0.00391 1.359707 -0.00532 -0.00519 0.000133 -2 -3 -0.0187

10/26/1999 -0.00808 1.359707 -0.01099 -0.01738 -0.00638 -1 0 -0.02536

10/27/1999 0.008248 1.359707 0.011215 -0.01415 -0.02536 0 3 0.030052

10/28/1999 0.03253 1.359707 0.044231 0.069955 0.025724 1 5 0.011146

10/29/1999 0.016985 1.359707 0.023095 0.015926 -0.00717 2 10 0.012095

11/01/1999 -0.0036 1.359707 -0.0049 0.006601 0.011497 3

11/02/1999 -0.00277 1.359707 -0.00377 0.009836 0.013606 4

11/03/1999 0.007197 1.359707 0.009786 -0.02273 -0.03251 5

11/04/1999 0.006529 1.359707 0.008878 0.009967 0.001089 6

11/05/1999 0.007396 1.359707 0.010056 0.026316 0.01626 7

11/08/1999 0.006052 1.359707 0.008229 0.014423 0.006194 8

11/09/1999 -0.00705 1.359707 -0.00958 -0.01264 -0.00305 9

11/10/1999 0.005545 1.359707 0.00754 -0.012 -0.01954 10

-0.1

-0.05

0

0.05

0.1

0.15

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

Actual

Expected

47

HON 2008

SUMMARY OUTPUT


Multiple R 0.655725

R Square 0.429976



Observations 241

ANOVA


Regression 1 0.022808 0.022808 180.2804 5.28E-31

Residual 239 0.030237 0.000127

Total 240 0.053044


Intercept 0.001274 0.000725 1.758307 0.079975 -0.00015 0.002701 -0.00015 0.002701

X Variable 10.899506 0.066993 13.42685 5.28E-31 0.767534 1.031478 0.767534 1.031478

-0.05

0

0.05

0.1

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y

Names


Differenc

e

Coded

Day

01/28/2008 0.017169 0.899506 0.015444 0.011502 -0.00394162 -10

01/29/2008 0.006383 0.899506 0.005742 -0.008147 -0.01388855 -9 std1 0.008319

01/30/2008 -0.005362 0.899506 -0.00482 -0.00474 8.31518E-05 -8 std2 0.012909

01/31/2008 0.014949 0.899506 0.013447 0.015594 0.002147283 -7

02/01/2008 0.015984 0.899506 0.014378 0.019299 0.004921294 -6

02/04/2008 -0.008978 0.899506 -0.00808 0.004484 0.012559766 -5

02/05/2008 -0.030844 0.899506 -0.02774 -0.02381 0.003934367 -4 -10 -0.01265

02/06/2008 -0.007995 0.899506 -0.00719 -0.006267 0.000924551 -3 -5 -0.00197

02/07/2008 0.007726 0.899506 0.00695 0.001704 -0.00524558 -2 -3 -0.01846

02/08/2008 -0.002061 0.899506 -0.00185 -0.015995 -0.01414112 -1 0 -0.00851

02/11/2008 0.005804 0.899506 0.005221 -0.003286 -0.00850673 0 3 -0.00844

02/12/2008 0.006273 0.899506 0.005643 -0.001908 -0.0075506 1 5 -0.02754

02/13/2008 0.014371 0.899506 0.012927 0.022597 0.009670197 2 10 -0.00423

02/14/2008 -0.01321 0.899506 -0.01188 -0.022438 -0.01055552 3

02/15/2008 -0.000453 0.899506 -0.00041 -0.025561 -0.02515352 4

02/19/2008 0.00061 0.899506 0.000549 0.006602 0.006053301 5

02/20/2008 0.008863 0.899506 0.007972 -0.001064 -0.00903632 6

02/21/2008 -0.011838 0.899506 -0.01065 -0.014907 -0.00425865 7

02/22/2008 0.006786 0.899506 0.006104 0.018555 0.012450951 8

02/25/2008 0.015084 0.899506 0.013568 0.029094 0.01552585 9

02/26/2008 -0.000752 0.899506 -0.00068 0.007945 0.008621429 10

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

Actual

Expected

48

INTC 1999

SUMMARY OUTPUT


Multiple R 0.614815

R Square 0.377998



Observations 242

ANOVA


Regression 1 0.07741 0.07741 145.8506 1.5E-26

Residual 240 0.127379 0.000531

Total 241 0.204789


Intercept 0.001062 0.001487 0.714383 0.475684 -0.00187 0.003992 -0.00187 0.003992

X Variable 11.657316 0.137231 12.07686 1.5E-26 1.386985 1.927646 1.386985 1.927646

-0.1

-0.05

0

0.05

0.1

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y

Names

Date Market Beta

Expect

ed Actual

Differe

nce

coded

day

10/13/1999 -0.02003 1.657316 -0.03319 -0.0595 -0.0263 -10

10/14/1999 -0.00074 1.657316 -0.00123 0.016898 0.018128 -9 std1 0.033797

10/15/1999 -0.02565 1.657316 -0.04252 -0.03366 0.008855 -8 std2 0.02163

10/18/1999 0.000193 1.657316 0.00032 -0.02116 -0.02148 -7

10/19/1999 0.007483 1.657316 0.012402 -0.06126 -0.07366 -6

10/20/1999 0.018692 1.657316 0.030979 0.073896 0.042917 -5

10/21/1999 -0.00129 1.657316 -0.00214 0.025022 0.02716 -4 -10 -0.02984

10/22/1999 0.013632 1.657316 0.022593 0.024412 0.001819 -3 -5 0.064623

10/25/1999 -0.00391 1.657316 -0.00648 -0.02979 -0.0233 -2 -3 -0.00545

10/26/1999 -0.00808 1.657316 -0.0134 0.002632 0.01603 -1 0 -0.04167

10/27/1999 0.008248 1.657316 0.01367 -0.028 -0.04167 0 3 0.017674

10/28/1999 0.03253 1.657316 0.053912 0.039604 -0.01431 1 5 0.059498

10/29/1999 0.016985 1.657316 0.02815 0.072727 0.044577 2 10 0.02015

11/01/1999 -0.0036 1.657316 -0.00597 -0.01856 -0.0126 3

11/02/1999 -0.00277 1.657316 -0.0046 0.019737 0.024333 4

11/03/1999 0.007197 1.657316 0.011928 0.029419 0.017491 5

11/04/1999 0.006529 1.657316 0.010821 0.022727 0.011906 6

11/05/1999 0.007396 1.657316 0.012258 0.009962 -0.0023 7

11/08/1999 0.006052 1.657316 0.01003 -0.00304 -0.01307 8

11/09/1999 -0.00705 1.657316 -0.01168 -0.02511 -0.01343 9

11/10/1999 0.005545 1.657316 0.00919 -0.01327 -0.02246 10

-0.15

-0.1

-0.05

0

0.05

0.1

0.15

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

Actual

Expected

49

MO 2008

SUMMARY OUTPUT


Multiple R 0.628572

R Square 0.395103

Adjusted R Square 0.392572

Standard Error 0.008111

Observations 241

ANOVA


Regression 1 0.010271 0.010271 156.1086 6.64E-28

Residual 239 0.015725 6.58E-05

Total 240 0.025996


Intercept 0.000842 0.000523 1.611258 0.108443 -0.00019 0.001871 -0.00019 0.001871

X Variable 1 0.603633 0.048313 12.49434 6.64E-28 0.50846 0.698806 0.50846 0.698806

-0.04

-0.02

0

0.02

0.04

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y

Date Market Return Beta Expected Actual Difference A-E Coded

01/28/2008 0.017169 0.603633 0.010363779 0.014334 0.003970221 -10

01/29/2008 0.006383 0.603633 0.003852991 0.014798 0.010945009 -9

01/30/2008 -0.005362 0.603633 -0.003236681 0.005031 0.008267681 -8

01/31/2008 0.014949 0.603633 0.009023713 -0.00932 -0.018343713 -7

02/01/2008 0.015984 0.603633 0.009648473 -0.004618 -0.014266473 -6

02/04/2008 -0.008978 0.603633 -0.005419419 -0.004905 0.000514419 -5

02/05/2008 -0.030844 0.603633 -0.018618463 -0.025843 -0.007224537 -4

02/06/2008 -0.007995 0.603633 -0.004826048 -0.005059 -0.000232952 -3

02/07/2008 0.007726 0.603633 0.00466367 0.018417 0.01375333 -2

02/08/2008 -0.002061 0.603633 -0.001244088 -0.01363 -0.012385912 -1

02/11/2008 0.005804 0.603633 0.003503487 -0.009167 -0.012670487 0

02/12/2008 0.006273 0.603633 0.003786591 0.000138 -0.003648591 1

02/13/2008 0.014371 0.603633 0.008674813 0.005799 -0.002875813 2

02/14/2008 -0.01321 0.603633 -0.007973995 -0.002196 0.005777995 3

02/15/2008 -0.000453 0.603633 -0.000273446 -0.002201 -0.001927554 4

02/19/2008 0.00061 0.603633 0.000368216 0.005515 0.005146784 5

02/20/2008 0.008863 0.603633 0.005350001 0.000137 -0.005213001 6

02/21/2008 -0.011838 0.603633 -0.00714581 0.006169 0.01331481 7

02/22/2008 0.006786 0.603633 0.004096255 0.002861 -0.001235255 8

02/25/2008 0.015084 0.603633 0.009105203 0.008967 -0.000138203 9

02/26/2008 0.00823 0.603633 0.004967901 0.000135 -0.004832901 10

B*C

-0.05

-0.04

-0.03

-0.02

-0.01

0

0.01

0.02

0.03

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21Actual

Expected

50

MSFT 1999

SUMMARY OUTPUT


Multiple R 0.700894

R Square 0.491253



Observations 242

ANOVA


Regression 1 0.069122 0.069122 231.7469 4.41E-37

Residual 240 0.071583 0.000298

Total 241 0.140705


Intercept 0.001023 0.001115 0.918113 0.359482 -0.00117 0.003219 -0.00117 0.003219

X Variable 1 1.56608 0.102874 15.22323 4.41E-37 1.363428 1.768731 1.363428 1.768731

-0.1

-0.05

0

0.05

0.1

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y

Names

Date Market Beta

Expect

ed Actual

Differe

nce

Coded

Day

10/13/1999 -0.02003 1.56608 -0.03137 -0.01621 0.015162 -10 std1 0.020049

10/14/1999 -0.00074 1.56608 -0.00116 -0.00412 -0.00296 -9 std2 0.020776

10/15/1999 -0.02565 1.56608 -0.04017 -0.02895 0.011229 -8

10/18/1999 0.000193 1.56608 0.000302 -0.00213 -0.00243 -7

10/19/1999 0.007483 1.56608 0.011719 -0.01778 -0.0295 -6 -10 0.031884

10/20/1999 0.018692 1.56608 0.029273 0.068791 0.039518 -5 -5 0.040381

10/21/1999 -0.00129 1.56608 -0.00202 0.008808 0.010828 -4 -3 -0.00997

10/22/1999 0.013632 1.56608 0.021349 -0.00403 -0.02538 -3 0 -0.02916

10/25/1999 -0.00391 1.56608 -0.00613 -0.0027 0.00343 -2 3 -0.05503

10/26/1999 -0.00808 1.56608 -0.01266 -0.00068 0.011984 -1 5 -0.06601

10/27/1999 0.008248 1.56608 0.012917 -0.01624 -0.02916 0 10 -0.14895

10/28/1999 0.03253 1.56608 0.050945 -0.011 -0.06195 1

10/29/1999 0.016985 1.56608 0.0266 0.029903 0.003303 2

11/01/1999 -0.0036 1.56608 -0.00564 -0.00203 0.003613 3

11/02/1999 -0.00277 1.56608 -0.00434 0.00203 0.006373 4

11/03/1999 0.007197 1.56608 0.011271 -0.00608 -0.01735 5

11/04/1999 0.006529 1.56608 0.010225 -0.00272 -0.01294 6

11/05/1999 0.007396 1.56608 0.011583 -0.00204 -0.01363 7

11/08/1999 0.006052 1.56608 0.009478 -0.01775 -0.02722 8

11/09/1999 -0.00705 1.56608 -0.01104 -0.01181 -0.00078 9

11/10/1999 0.005545 1.56608 0.008684 -0.01969 -0.02837 10

-0.08

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

0.08

0.1

0.12

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

Actual

Expected

51

SBC 1999

SUMMARY OUTPUT


Multiple R 0.470386

R Square 0.221263



Observations 242

ANOVA


Regression 1 0.025797 0.025797 68.19138 9.99E-15

Residual 240 0.090792 0.000378

Total 241 0.116588


Intercept -0.00017 0.001255 -0.13636 0.89165 -0.00264 0.002302 -0.00264 0.002302

X Variable 1 0.95673 0.115858 8.257807 9.99E-15 0.728502 1.184958 0.728502 1.184958

-0.1

-0.05

0

0.05

0.1

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y

Names

Date Market Beta

Expect

ed Actual

Differe

nce

coded

day

10/13/1999 -0.02003 0.95673 -0.01916 0.043915 0.063077 -10

10/14/1999 -0.00074 0.95673 -0.00071 -0.01202 -0.01131 -9 std1 0.034003

10/15/1999 -0.02565 0.95673 -0.02454 -0.05231 -0.02777 -8 std2 0.031184

10/18/1999 0.000193 0.95673 0.000185 -0.00514 -0.00532 -7

10/19/1999 0.007483 0.95673 0.007159 -0.04 -0.04716 -6

10/20/1999 0.018692 0.95673 0.017883 -0.00134 -0.01923 -5 -10 -0.0653

10/21/1999 -0.00129 0.95673 -0.00123 -0.02961 -0.02838 -4 -5 -0.03683

10/22/1999 0.013632 0.95673 0.013042 0.019417 0.006375 -3 -3 0.010778

10/25/1999 -0.00391 0.95673 -0.00374 -0.03674 -0.03299 -2 0 0.049722

10/26/1999 -0.00808 0.95673 -0.00773 0.029661 0.037395 -1 3 0.055701

10/27/1999 0.008248 0.95673 0.007891 0.057613 0.049722 0 5 0.00532

10/28/1999 0.03253 0.95673 0.031122 0.083009 0.051887 1 10 -0.00589

10/29/1999 0.016985 0.95673 0.01625 -0.02515 -0.0414 2

11/01/1999 -0.0036 0.95673 -0.00345 0.041769 0.045214 3

11/02/1999 -0.00277 0.95673 -0.00265 -0.04245 -0.0398 4

11/03/1999 0.007197 0.95673 0.006886 -0.0037 -0.01058 5

11/04/1999 0.006529 0.95673 0.006246 -0.01483 -0.02108 6

11/05/1999 0.007396 0.95673 0.007076 0.018821 0.011745 7

11/08/1999 0.006052 0.95673 0.00579 0.004926 -0.00086 8

11/09/1999 -0.00705 0.95673 -0.00674 -0.00368 0.003067 9

11/10/1999 0.005545 0.95673 0.005305 0.00123 -0.00408 10

-0.1

-0.05

0

0.05

0.1

0.15

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21

Actual

Expected

52

Sears 1999

SUMMARY OUTPUT


Multiple R 0.30929

R Square 0.09566



Observations 242

ANOVA


Regression 1 0.011405 0.011405 25.38693 9.23E-07

Residual 240 0.107822 0.000449

Total 241 0.119228


Intercept -0.00173 0.001368 -1.26414 0.207407 -0.00442 0.000966 -0.00442 0.000966

X Variable 10.636152 0.126257 5.038544 9.23E-07 0.387438 0.884865 0.387438 0.884865

-0.15

-0.1

-0.05

0

0.05

0.1

-0.04 -0.02 0 0.02 0.04Y

X Variable 1


Y

Predicted Y

Names

Date Market Beta

Expect

ed Actual

Differe

nce

Coded

Day

10/13/1999 -0.02003 0.636152 -0.01274 -0.03607 -0.02333 -10

10/14/1999 -0.00074 0.636152 -0.00047 -0.0104 -0.00992 -9

10/15/1999 -0.02565 0.636152 -0.01632 -0.03782 -0.0215 -8 std1 0.022852

10/18/1999 0.000193 0.636152 0.000123 0.015284 0.015161 -7 std2 0.025152

10/19/1999 0.007483 0.636152 0.00476 0.004301 -0.00046 -6

10/20/1999 0.018692 0.636152 0.011891 -0.00642 -0.01831 -5 -10 -0.12715

10/21/1999 -0.00129 0.636152 -0.00082 -0.03017 -0.02935 -4 -5 -0.08711

10/22/1999 0.013632 0.636152 0.008672 0.02 0.011328 -3 -3 -0.03944

10/25/1999 -0.00391 0.636152 -0.00249 0.006536 0.009025 -2 0 0.013272

10/26/1999 -0.00808 0.636152 -0.00514 -0.06494 -0.05979 -1 3 -0.04203

10/27/1999 0.008248 0.636152 0.005247 0.018519 0.013272 0 5 -0.00731

10/28/1999 0.03253 0.636152 0.020694 0.006818 -0.01388 1 10 0.010098

10/29/1999 0.016985 0.636152 0.010805 0.018059 0.007254 2

11/01/1999 -0.0036 0.636152 -0.00229 -0.03769 -0.0354 3

11/02/1999 -0.00277 0.636152 -0.00176 0.050691 0.052455 4

11/03/1999 0.007197 0.636152 0.004578 -0.01316 -0.01774 5

11/04/1999 0.006529 0.636152 0.004153 0.031111 0.026958 6

11/05/1999 0.007396 0.636152 0.004705 0.006466 0.001761 7

11/08/1999 0.006052 0.636152 0.00385 -0.01499 -0.01884 8

11/09/1999 -0.00705 0.636152 -0.00448 -0.00435 0.000136 9

11/10/1999 0.005545 0.636152 0.003527 0.010917 0.00739 10

-0.08

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21Actual

Expected

53

UK 1999

SUMMARY OUTPUT


Multiple R 0.118701

R Square 0.01409



Observations 242

ANOVA


Regression 1 0.002989 0.002989 3.429903 0.065254

Residual 240 0.209176 0.000872

Total 241 0.212165


Intercept 0.0017 0.001906 0.892204 0.373178 -0.00205 0.005454 -0.00205 0.005454

X Variable 10.325685 0.175856 1.852 0.065254 -0.02073 0.672103 -0.02073 0.672103

-0.1

0

0.1

0.2

0.3

-0.04 -0.02 0 0.02 0.04

Y

X Variable 1


Y

Predicted Y

Names

Date

Value-

Weight

ed

Return-

incl.

dividen

ds Beta

Expecete

d Actual

Differe

nce

Coded

Day

10/13/1999 -0.02003 0.325685 -0.00652315 0.01547 0.021993 -10

10/14/1999 -0.00074 0.325685 -0.00024166 -0.00653 -0.00629 -9 std1 0.027864 -10 -5 -3 3

10/15/1999 -0.02565 0.325685 -0.0083548 -0.05805 -0.0497 -8 std2 0.018857 average =

10/18/19990.000193 0.325685 6.28572E-05 0.013953 0.01389 -7 std

10/19/19990.007483 0.325685 0.002437102 0.036697 0.03426 -6

10/20/19990.018692 0.325685 0.006087707 0.004425 -0.00166 -5

10/21/1999 -0.00129 0.325685 -0.00042013 0.052863 0.053283 -4 -10 0.052674

10/22/19990.013632 0.325685 0.00443974 0.002092 -0.00235 -3 -5 0.038514

10/25/1999 -0.00391 0.325685 -0.00127408 -0.00626 -0.00499 -2 -3 -0.01311

10/26/1999 -0.00808 0.325685 -0.00263284 -0.0084 -0.00577 -1 0 0.005789

10/27/19990.008248 0.325685 0.002686251 0.008475 0.005789 0 3 -0.00423

10/28/1999 0.03253 0.325685 0.010594539 0.008403 -0.00219 1 5 0.035598

10/29/19990.016985 0.325685 0.005531763 0.016667 0.011135 2 10 0.020318

11/01/1999 -0.0036 0.325685 -0.00117279 -0.01434 -0.01317 3

11/02/1999 -0.00277 0.325685 -0.00090313 0.031185 0.032088 4

11/03/19990.007197 0.325685 0.002343956 0.010081 0.007737 5

11/04/19990.006529 0.325685 0.002126399 -0.00699 -0.00911 6

11/05/19990.007396 0.325685 0.002408768 -0.02714 -0.02954 7

11/08/19990.006052 0.325685 0.001971047 -0.00413 -0.0061 8

11/09/1999 -0.00705 0.325685 -0.00229543 0.026971 0.029266 9

11/10/19990.005545 0.325685 0.001805924 0.00202 0.000214 10

-0.08

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

1 2 3 4 5 6 7 8 9 101112131415161718192021Actual

Expeceted

54

Waiver

The authors of this paper hereby give permission to Professor Michael Goldstein to distribute this paper

by hard copy, to put it on reserve at Horn Library at Babson College, or to post a PDF version of this

paper on the internet.

_______________________ _______________________

David Abers Alex Goldman

_______________________ _______________________

Justin Laurenzo Gregory Reichardt

Babson Honor Code

I pledge my honor that I have neither received nor provided unauthorized assistance during the

completion of this work.

_______________________ _______________________

David Abers Alex Goldman

_______________________ _______________________

Justin Laurenzo Gregory Reichardt

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