testing the capital asset pricing model: an econometric approach

KAZAKHSTAN INSTITUTE OF MANAGEMENT ECONOMICS AND STRATEGIC RESEARCH

Testing the Capital Asset Pricing Model:

an Econometric Approach

Seilkhanov Gaziz, BAE3, 20074614

ECN3184 (Section 1)

Econometric Methods, Project Paper

Almaty, 2009

Contents

1. Introduction 3

2. Literature Review 3

3. Methods and Approaches 5

4. Results 7

5. Concluding Remarks 9

Used Literature 10

Appendix 11

2Gaziz Seilkhanov, 2009

Section 1. Introduction

Probably one of the most widespread questions that are being asked today is “Where should the money

we own have been invested in, so as not only to lose its present value, but, in addition, to increase our

wealth?” According to all the economic events that are occurring in the world economy, the economy

itself becomes more and more volatile. Financial sector always comes across the critical conditions,

where recessions and peaks take place.

Any investor in the world is interested in gaining return from his or her investment. However, not all

individuals are able to see the picture of financial instabilities, and predict the possible future directions.

Also, investors are risk-averse on average; this means that given the two alternatives of assets to invest

in, individuals would choose the asset that has the comparatively lower risk. Further in this paper, the

term risk would be referred to such terms as variance, standard deviation, and standard error.

There are plenty of models in Finance and Economics that are devoted to estimation of risks, and

expected returns of risky and risk-free assets. Also, there are a number of models that estimate the

effects of every single asset on an investment portfolio, thus implying how can the optimal portfolio

management be conducted.

The model chosen for the following paper is called the Capital Asset Pricing Model (CAPM). It is one of

the most widespread approaches used for valuation of assets, forecasting the future rates of return of

those assets, and constructing efficient investment portfolios. Not the least important is that CAPM

shows the relation between risk and return on an asset.

This research project is primarily devoted to testing the Capital Asset Pricing Model. A certain process of

work, done in this research, gives quiet bright results. The major test identifies the relationship between

expected returns and risks. Further tests of interdependence amongst variables are to be conducted.

Section 2. Literature Review

In Finance courses, the CAPM is explained as the method of determining the theoretically appropriate

required rate of return of an asset, if that asset is to be added to an already well-diversified portfolio,


given that asset’s non-diversifiable risk. CAPM is the model that has been used in most real world

analyses for the longest time. It is considered as the standard method of such investment analyses.

Capital Asset Pricing Model, as any model in the world of science, has the certain amount of

assumptions that are quiet well described in the book, called “Investment Valuation”, written by Aswath

Damodaran, a professor of Finance at Stern School of Business at New York University. Those

assumptions are:

No transaction costs – no taxes, no fees, no commissions

All assets are traded and investments are infinitely divisible – one can buy any fraction of a unit

of the asset

All investors have access to the same information – information should be costless and at the

same time available to all investors, therefore they cannot find under or overvalued assets in

the market place.

Investors are price takers – no one is able to influence the prices of the assets

Investors are rational and risk-averse – they would choose to avoid risks and their aim is to

maximize their economic utility.

The Capital Asset Pricing Model has the following form:

where, E(ri) – expected return on the capital asset i;

rf – risk-free rate of return;

β – ratio of contribution of asset i to market portfolio to total market risk;

E(rm) – expected return on the market portfolio;

E(rm) - rf – equity risk premium (ERP).

The risk of any asset to an investor is the risk added by that asset to the investor’s overall portfolio. In

CAPM, it is assumed that all investors hold the market portfolio, so the risk to an investor of any

individual asset will be the risk that this asset adds on to the market portfolio.

As it was said above, beta is the ratio of contribution of a particular asset to market portfolio to total

market risk. In other words, beta takes the following form:


The obtained expression implies that since the covariance of the market portfolio with itself is its

variance, the beta of the market portfolio, and by extension, the average asset in it, is one. Taking this

average measure of risk into account, riskier assets will have the values of their betas greater than 1.

Consequently, if the assets are less risky, then their betas are going to be less than 1. For instance, beta

of a risk-free asset will be equal to zero. (Investment Valuation, 2nd Ed., Damodaran A.)

Professor Damodaran (2002) describes three inputs in using CAPM as follows:

The risk-free asset is an asset for which the investor knows the expected return with certainty

for the time horizon of the analysis.

The risk premium is the premium demanded by investors for investing in the market portfolio,

which includes all risky assets in the market. Risk premium is the opportunity cost of investing in

a risk-free asset.

The beta measures the risk added on by an investment to the market portfolio.

Section 3. Methods and Approaches

The methods used for the testing of Capital Asset Pricing Model are quite simple and clear in their

formulation. Thirty stocks of companies, one risk-free treasury note, and S&P 500 market index were

chosen for the research. All of the selected companies are traded on this market index. The complete

list of companies that are traded on S&P 500 is provided at the website of widely known analyst

company Bloomberg. Link to the site of this company is provided in the references. According to

statistics, thirty observations are sufficient enough to consider appropriate normal distribution.

Data were obtained from the electronic resources, and http://finance.yahoo.com in particular. Historical

prices of stocks were extracted from this website. Data are organized on a weekly basis, taking a time

range from November 1, 2007 till November 9, 2009; thereby totaling of 107 observations. These time

series data are then manipulated in such a manner that resulted in obtaining realized rates of return

from those historical prices. Those rates of return were calculated using the Discounted Cash Flow

Model, which looks like the following:

where, r – realized rate of return;

Pt – price of a stock for the period t;

Pt-1 – price of a stock for the period t-1;


http://finance.yahoo.com/

According to the obtained new data, next step is devoted to the finding of excess returns. These excess

realized rates of return are calculated through the subtraction of risk-free rate of return from each

realized rate of return of stocks. These excess returns are needed in order to formulate and run first-

pass regression (i.e. time-series regression). In other words, the security characteristic line is being

constructed by this regression. This regression looks like the following:

where, ri,t – rf,t – is an excess rate of return of a stock I;

αi – is a risk-adjusted measure of the so-called active return on an investment;

βi – beta of a stock I;

rm,t – rf,t – is an excess rate of return of a market portfolio;

εi – residual of stock i.

By regressing all the thirty stocks against the market portfolio, we eventually get thirty different

estimated betas, alphas, and residuals of those stocks. All this information is required in order to run the

second-pass regression (i.e. cross-sectional regression), to see whether betas are related to the average

return in the way predicted by the CAPM. Cross-sectional regression has the following form:

Initially, mean returns of each stock were calculated. Now, in the second regression, these mean returns

are regarded as the dependent variable. These mean returns are regressed against estimated betas and

estimated variances of residuals. If the CAPM is correct, then the coefficients of the regression should be

(or at least not significantly differ from) the following:

The new regression needs to be checked for OLS assumptions, main of which are the test for

heteroscedasticity, and the test for autocorrelation. In order to do so, the following methods were used:

1. Run the regression that consists of the same dependent variable, but new independent

variables were added: squared estimated betas, squared variances of residuals, and the product

of estimated betas and variances of residuals (i.e. X1*X2).

2. Use the Durbin-Watson d-statistic, in order to check for autocorrelation.6

Gaziz Seilkhanov, 2009

Section 4. Results

The first part of the research that was shortly mentioned in the previous section includes the estimation

of betas of each security by using 30 observations on rates of return for 107 time periods (in our case

weeks).

The range of estimated betas is between 0.7933 and 1.5578 with a standard deviation of 0.1501 (see

Table 1). Almost all of them are statistically significant at 95% level.

Table 1: Stock beta coefficient estimates (Time-series regression outputs)

Stock Symbol Beta Stock Symbol Beta

AXPMMMADBEAAPLBACBACATCSCOCCMEKOCLDELLERTSXOM

1.00440.94160.99820.86021.28270.88790.99030.96051.55780.79331.03710.96411.05390.97350.9350

GSGOOGIBMISRGMAMCDMSFTPCLNPGSBUXJAVASYMCVFCWPOYHOO

1.08410.82540.89750.98460.93520.89840.95490.93030.99461.06491.29440.97460.99641.08711.0682

In order to test the CAPM hypothesis, it is necessary to find the counterparts to the theoretical values

that must be used in the CAPM equation. In this study, the yield on the 5-year US Treasury Note was

used as a risk-free asset. According to calculations, the average risk-free rate of return is (0.0026),

whereas the average difference between the return on market portfolio and the risk-free rate is 0.0004.

So, the second-pass regression, which is also called the cross-sectional regression provided us with some

interesting results (see Table 2).

Table 2. Result output from the cross-sectional regression

Coefficient γ0 γ1 γ2

Value

T-statistic

0.0131

1.7203

-0.0112

-1.3576

0.2227

0.9909


P-value 0.0968 0.1858 0.3305

Residual Standard Error: 0.0035 on 27 degree of freedom

Multiple R-Squared: 0.2595

F-statistic is 0.9750 on 2 and 27 degrees of freedom, p-value is 0.3901

In this estimation of results, it was mentioned that the CAPM’s prediction for γ0 is that it should be equal

to zero. The obtained value of intercept is not significantly different from zero (because its t-statistic is

not greater than 2). Therefore, based on the intercept criterion only, the CAPM hypothesis cannot

clearly be rejected.

As far as the slope is concerned, here the output is interesting. According to the theory, the coefficient

should be equivalent to the average difference between market rate of return and risk-free rate.

However, in the regression output we see the another picture: slope is equal to (0.0112), and it differs

from the hypothetical difference, which was equal to 0.0004. Again, as in the intercept case, although it

indicates that CAPM have to be rejected, it can still be explained by the errors in choosing the stocks of

companies. For this model, the most high-priced and the most low-priced stocks were chosen. In

addition, only a few stocks were riskier than the market itself, indicating that there are some choice

errors.

The next stage in this research is to check, whether there is a difference in variances of independent

variable (i.e. test for heteroscedasticity). In order to do so, a regression was run between average

portfolio returns, calculated portfolio betas, calculated variances of portfolio residuals, squares of betas

and variances, and the product of two regressors: beta and variance of residuals.

Results show that the intercept (0.000047) was lower than the risk-free interest rate (0.0026), gamma-

one was negative and very insignificantly different from zero. The overall output is illustrated in the

table 3.

Table 3. Result output from the regression testing for heteroscedasticity

Coefficients γ0 γ1 γ2 γ3 γ4 γ5

ValueT-statisticP-value

4.65332E-050.13150.8965

-7.58305E-05-0.09720.9234

0.02150.91590.3688

3.04091E-050.06990.9449

0.29990.60280.5523

-0.0192-0.70480.4877

Residual Standard Error: 2.10006E-05 on 24 degrees of freedom

Multiple R-squared: 0.4533

R-squared: 0.2054

F-statistic is 1.2411 on 5 and 24 degrees of freedom, p-value is 0.3211

N*R-squared = 30*0.2054 = 6.1631


Critical Chi-square value: 11.0705 for 5% level of significance

Based on the obtained results, test can be checked easily: the product of R-squared and the number of

variables is going to exceed the critical chi-square value, if there is a heteroscedasticity. But the

multiplication is less than the critical value, so it is clear that the model is homoscedastic.

While testing for autocorrelation, the Durbin-Watson d-statistic was used as the approach. For this

method, the residuals of the second-pass regression are required to maintain the calculations.

The d-statistic is calculated as follows:

As a result of all calculations, the estimated d-statistic was equivalent to 9.11249E-05. The critical lower

d-statistic is 1.284 at 5% level of significance, and the critical upper d-statistic is 1.567 at the same level

of significance. The estimate is lower than the critical lower d-statistic, which indicates that there exists

a positive autocorrelation. For all the calculations and details, please, see the appendix.

The information that there is a positive autocorrelation implies that the model consists of the variables

that have the correlation ordered in time. It is obvious, because this model is all about the checking

CAPM, which is primarily devoted to finding rates of return of the particular risky asset, given the market

portfolio. It is unavoidable that the prices and eventually the rates of return are established not only as a

result of some external factors, but also as a result of time and history. So, the historical data are quite

significant in forecasting the future prices.

Section 5. Concluding Remarks

The research paper examined the validity of the CAPM, and made the statement whether this model

provides with an accurate results. The study used weekly stock prices of 30 companies listed on the S&P

500 stock index from November 1, 2007 till November 9, 2009.

The model explains the excess returns. The results obtained provide a sufficient evidence to claim that

the linear structure of the CAPM equation is a good explanation of security returns. However, there

should be done additional manipulation with the data in order to diversify away the firm-specific risks,

such as constructing different portfolios, so as to get rid of sample selection bias. The model thereby

implies that there are some errors in variables (such as firm selection bias) and the positive


autocorrelation between the residual variance and true betas. This leads to a conclusion that the best

alternatives are encouraged to be used for the same analysis (such as APT, etc.). In addition, the

performance of firms also should be evaluated for the accuracy of the predictions.

Used Literature

Damodar N. Gujarati, 2003. Basic Econometrics, 4th Ed. United States Military Academy, West Point.

Aswath Damodaran, 2002. Investment Valuation, 2nd Ed.

Bodie, Kane, Marcus, 2001. Investments, 5th Ed. McGraw-Hill Primis.

Grigoris Michilidis, Stavros Tsopoglou, Demetrios Papanastasiou, Eleni Mariola, 2006. Testing the Capital

Asset Pricing Model (CAPM): The Case of the Emerging Greek Securities Market. International Research

Journal of Finance and Economics, Issue 4 (2006).

Peter Bossaerts, 2003. Testing CAPM in Real Markets: Implications from Experiments. California Institute

of Technology and CEPR.

Elmar Mertens, 2002. The CAPM and Regression Tests. University of Basel.

Karl B. Diether, 2006. Testing the CAPM. Fischer College of Business.

Brealey, Myers, 2003. Principles of Corporate Finance, 7th Ed. McGraw-Hill Comp.

Bradfield, D., 2003. Investment Basics XLVI. On the estimating the beta coefficient. Investment Analysts

Journal, No. 57, 2003.

Fischer Black, Noise. The Journal of Finance, Vol. 41, No. 3, 1985, pp.529-543

Karim Gulamhusein, 2009, Financial Economics Lecture Notes.


Appendix

Realized Rates of Return for 30 stocks, 1 risk-free asset, and S&P 500

Date AXP MMM ADBE AAPL BAC BA CAT CSCO C CME KO CL DELL

9-Nov-09 0.084386 0.025328 0.05368 0.052022 0.061794 0.020129 0.020486 -0.00462 -0.00246 0.023286 0.036153 0.020283 0.036339

2-Nov-09 0.068025 0.02501 0.051913 0.030981 0.032236 0.048544 0.046131 0.044279 -0.00733 0.013251 0.022135 0.01577 0.028374

26-Oct-09 0.007519 -0.05461 -0.0529 -0.07571 -0.10111 -0.04186 -0.0441 -0.05627 -0.08296 -0.05423 0.001315 0.011709 -0.06654

19-Oct-09 -0.01059 0.023678 -0.02495 0.084499 -0.06025 -0.0622 0.063123 0.006245 -0.02832 0.022694 -0.03218 -0.01396 0.013089

12-Oct-09 0.000286 0.017262 0.029734 -0.01271 -0.01371 0.009573 0.017465 -0.00042 -0.00864 0.061478 0.006587 0.007027 -0.03352

5-Oct-09 0.075408 0.038927 0.070788 0.030124 0.070991 0.025123 0.098391 0.059991 0.024336 0.00666 0.014479 0.024342 0.051197

28-Sep-09 -0.01216 -0.02534 0.009991 0.013873 -0.01566 -0.00235 -0.04623 0.00221 0.031963 -0.00232 0.016991 0.00447 -0.01956

21-Sep-09 -0.04915 -0.01099 -0.02792 -0.01432 -0.05842 -0.02835 -0.04167 -0.03333 0.028169 -0.03464 -0.01469 0.005153 -0.08089

14-Sep-09 0.017652 0.008378 -0.04906 0.074698 0.038892 0.032613 0.100872 0.013426 -0.07592 0.106299 0.043681 0.011629 0.005422

8-Sep-09 0.040404 0.037141 0.081123 0.010863 -0.00702 0.044745 0.052425 0.057234 -0.04948 0.020197 0.039556 0.058432 0.057999

31-Aug-09 -0.04081 -0.00793 0.010085 0.001529 -0.04897 -0.03696 -0.01272 -0.00727 -0.07266 -0.05285 0.01829 -0.02308 -0.01507

24-Aug-09 0.042228 -0.00991 -0.0338 0.004905 0.029799 0.112602 -0.01256 -0.00856 0.112766 0.034297 -0.01717 -0.0055 0.099379

17-Aug-09 0.035816 0.025989 0.017663 0.01463 0.004028 0.022257 0.028246 0.041295 0.163366 -0.01744 0.029742 0.019622 0.020423

10-Aug-09 -0.02983 -0.02169 -0.0286 0.007673 0.05911 -0.03889 -0.03731 -0.03966 0.049351 -0.01728 -0.01757 0.010337 0.075758

3-Aug-09 0.15401 0.033709 0.024676 0.012975 0.110284 0.098505 0.084591 0.008178 0.214511 0.025609 -0.01011 -0.01971 -0.01345

27-Jul-09 -0.03986 0.015815 -0.00644 0.021251 0.1824 0.01274 0.048921 0.005941 0.161172 0.029478 0.009804 -0.03535 -0.00889

20-Jul-09 0.052726 0.103426 0.051902 0.0543 -0.0295 0.024378 0.235556 0.066797 -0.09603 -0.0135 -0.01903 0.027659 0.065509

13-Jul-09 0.206926 0.052224 0.124728 0.09551 0.085088 0.043154 0.127631 0.118321 0.166023 0.043196 0.041528 0.032098 -0.0416

6-Jul-09 0.042889 -0.00752 -0.00217 -0.01071 -0.06017 -0.02893 -0.03824 -0.00865 -0.10069 -0.12696 -0.01155 -0.01179 0.019275

29-Jun-09 -0.05584 0.016658 -0.01286 -0.01699 -0.00863 -0.02505 -0.08174 -0.02168 -0.0495 -0.0504 0.015501 0.004511 -0.0519

22-Jun-09 -0.03576 -0.00187 -0.04535 0.021222 -0.03558 -0.13541 0.027281 -0.00053 -0.04416 -0.03087 -0.01384 0.016772 0.029345

15-Jun-09 -0.02053 -0.02675 -0.0272 0.018325 -0.03647 -0.0584 -0.10814 -0.04972 -0.08646 -0.03921 -0.00165 -0.01134 -0.00747

8-Jun-09 0.008526 0.000992 0.00567 -0.05322 0.156962 -0.02283 -0.01935 0.002013 0.00289 0.021453 -0.00267 0.006849 0.108444

1-Jun-09 0.004077 0.067208 0.063875 0.065238 0.053333 0.173706 0.084843 0.074054 -0.06989 0.041295 0.005584 0.075012 0.0440826-May-09 0.061905 0.018505 0.064199 0.108653 0.0181 0.044592 0.033591 0.03352 0.013624 0.096766 0.039338 0.02872 0.06635918-May-09 -0.03428 -0.02351 0.021605 0.000653 0.037559 -0.00142 -0.03995 -0.00112 0.054598 0.057564 0.052013 0.00972 -0.0118411-May-09 -0.14693 -0.03619 0.01967 -0.0524 -0.24735 -0.06178 -0.09853 -0.04325 -0.13433 0.116535 0.047619 0.027 0.015726

4-May-09 0.169308 0.038272 -0.07429 0.015325 0.628308 0.123035 0.064057 -0.04341 0.353535 0.115764 0.010534 0.00692 -0.08776

27-Apr-09 -0.04003 0.01533 0.039364 0.026957 -0.044 0.064276 0.107977 0.062975 -0.06897 -0.07178 -0.00737 0.037791 0.072398

20-Apr-09 0.160242 0.05929 0.069636 0.003889 -0.14083 0.010467 0.041377 0.023902 -0.12603 0.01006 -0.04968 -0.02011 -0.0009

13-Apr-09 0.15815 0.012813 -0.00684 0.032199 0.109015 -0.02102 0.005718 0.00954 0.200658 -0.07944 0.000678 0.017042 0.027881

6-Apr-09 0.228685 0.019497 0.029387 0.030865 0.256917 0.038472 0.011568 -0.01872 0.066667 0.007837 0.000452 -0.01062 0.04263630-Mar-09 0.074574 0.035534 0.106227 0.08554 0.035471 0.004385 0.059224 0.071386 0.087786 0.046659 -0.00293 0.015582 0.03718623-Mar-09 0.179229 0.095796 0.067449 0.051777 0.186084 0.152923 0.121374 0.065368 0 0.069379 0.057701 0.0373 0.00708516-Mar-09 -0.06353 -0.04318 0.095289 0.059001 0.074783 -0.02525 0.010802 0.02579 0.47191 0.153791 0.034534 -0.00424 0.054429

9-Mar-09 0.275 0.147437 0.088578 0.124619 0.83121 0.109327 0.152512 0.093794 0.728155 0.086054 0.06544 0.028 0.119474

2-Mar-09 -0.14894 -0.07979 0.027545 -0.0449 -0.20102 -0.04253 -0.05584 -0.02677 -0.31333 0.006616 -0.04301 -0.06874 -0.01876

23-Feb-09 -0.07041 -0.03785 -0.07428 -0.02072 0.04244 -0.13399 -0.0771 -0.03382 -0.23077 0.003123 -0.04629 0.011821 0.014269

17-Feb-09 -0.17547 -0.03346 -0.14502 -0.08027 -0.32072 -0.10315 -0.13823 -0.06335 -0.44126 -0.04618 -0.02297 -0.05779 -0.07785

9-Feb-09 -0.1225 -0.05685 -0.02765 -0.00562 -0.09016 -0.05679 -0.07045 -0.05516 -0.10742 0.008639 0.006843 -0.03849 -0.03594


2-Feb-09 0.071779 -0.02597 0.12377 0.106402 -0.0687 0.024552 0.079035 0.138277 0.101408 0.086769 0.019485 0.009558 -0.00421

26-Jan-09 0.045542 0.016893 -0.0198 0.020032 0.05475 0.007919 -0.13499 -0.0579 0.026012 0.030651 0.012174 0.054353 -0.06312

20-Jan-09 -0.05914 -0.06244 -0.06458 0.073242 -0.13147 -0.01126 -0.09822 0.004425 -0.0086 -0.03301 -0.03727 -0.02308 -0.01266

12-Jan-09 -0.11532 -0.02277 -0.12287 -0.09108 -0.44745 -0.04487 -0.07469 -0.05269 -0.48143 -0.07295 -0.01705 -0.02101 -0.07644

5-Jan-09 0.003214 -0.02464 0.043006 -0.00187 -0.0932 -0.01768 -0.07903 -0.01533 -0.05478 -0.11454 -0.02843 -0.06376 0.034419

29-Dec-08 0.079191 0.061913 0.09203 0.057569 0.072932 0.116637 0.09802 0.042409 0.061103 0.167474 0.0295 0.017919 0.00939

22-Dec-08 -0.07832 -0.01542 -0.04745 -0.04656 -0.03202 -0.01738 0.000734 -0.02224 -0.04143 -0.1461 0.003469 0.047807 -0.03968

15-Dec-08 -0.04478 0.010264 -0.01337 -0.08416 -0.07599 0.052213 0.014392 -0.0206 -0.08854 0.014082 -0.00323 0.097489 -0.03397

8-Dec-08 -0.06606 -0.06367 0.035549 0.045426 -0.02042 -0.00841 0.099891 0.065872 -0.0013 0.087139 -0.03061 -0.06006 0.071895

1-Dec-08 -0.0653 -0.10574 -0.06477 0.014352 -0.04046 -0.07263 -0.06673 -0.03628 -0.07013 -0.08197 -0.01886 -0.03168 -0.0411824-Nov-08 0.247091 0.091823 0.083255 0.122185 0.416294 0.076903 0.18253 0.09031 1.199468 0.205734 0.074187 0.038632 0.20107517-Nov-08 -0.06525 -0.02003 -0.04297 -0.08488 -0.30144 -0.03544 -0.06215 -0.08724 -0.60421 -0.15905 -0.02256 0.009418 -0.1460110-Nov-08 -0.21022 -0.02731 -0.0915 -0.08143 -0.1985 -0.11909 -0.03857 -0.05461 -0.19423 -0.2231 -0.02666 -0.01513 -0.13227

3-Nov-08 -0.07944 0.008213 -0.07695 -0.0869 -0.15215 -0.10463 0.006561 -0.01069 -0.13436 -0.04642 0.049624 0.004085 0.028689

27-Oct-08 0.143349 0.078687 0.115111 0.11631 0.147245 0.158723 0.147068 0.089516 0.138796 0.123213 0.059029 0.121907 0.06087

20-Oct-08 0.03107 0.055169 -0.15224 -0.01047 -0.09368 0.015508 -0.15321 -0.08934 -0.18417 -0.31216 -0.05862 -0.09476 -0.1181

13-Oct-08 0.007603 0.041221 0.039086 0.006198 0.113681 0.065598 -0.07899 0.039466 0.054676 -0.071 0.064919 0.023785 -0.01881

6-Oct-08 -0.25017 -0.16012 -0.19501 -0.00278 -0.3947 -0.22341 -0.15778 -0.18918 -0.23119 0.085065 -0.21053 -0.19535 -0.12852

29-Sep-08 -0.21444 -0.06978 -0.15754 -0.24306 -0.06045 -0.07699 -0.20148 -0.10789 -0.08917 -0.09199 0.001777 -0.02036 -0.10294

22-Sep-08 -0.02215 -0.04445 -0.0232 -0.08992 -0.02083 -0.024 -0.03553 -0.01935 -0.02457 -0.01481 -0.00452 0.017857 0.022249

15-Sep-08 0.037136 0.036015 0.011614 -0.05391 0.110807 -0.05605 0.015791 0.035379 0.149718 0.156255 -0.03271 -0.05342 -0.12658

8-Sep-08 -0.01136 0.013918 -0.01076 -0.07017 0.046845 0.00649 0.021564 0.053908 -0.05801 0.068594 0.056873 0.037761 -0.06712

2-Sep-08 -0.00708 -0.03369 -0.04483 -0.05515 0.055855 -0.04071 -0.09409 -0.07443 0.004276 -0.01923 -0.00261 0.01371 -0.06075

25-Aug-08 0.0228 -0.00931 -0.04631 -0.04107 0.030513 0.00016 0.006605 -0.02671 0.047006 -0.06102 -0.04242 -0.0159 -0.14009

18-Aug-08 -0.00719 -0.00965 -0.00443 0.005975 -0.0157 0.017051 -0.0012 -0.00803 -0.02243 -0.00137 -0.01251 -0.01474 0.00838

11-Aug-08 0.012402 0.000142 -0.00089 0.036508 -0.04808 -0.05013 -0.00774 0.027216 -0.04293 0.045422 -0.00622 0.001846 0.0024

4-Aug-08 0.015886 0.047569 0.095342 0.08228 -0.03238 0.101053 0.040557 0.102774 0.027434 0.027612 0.042616 0.051435 0.02417

28-Jul-08 -0.13708 -0.01132 0.007824 -0.03368 0.126815 -0.02854 -0.03322 -0.01962 0.018072 -0.09731 0.02085 0.075764 0.040051

21-Jul-08 0.063867 0.029194 -0.02573 -0.01835 0.075838 -0.06321 -0.0058 0.035549 -0.02561 0.10869 0.040467 0.01116 -0.03137

14-Jul-08 -0.01754 0.003187 0.069827 -0.04305 0.268859 0.076718 0.021584 -0.00733 0.195153 0.085407 -0.00477 -0.0051 0.08606

7-Jul-08 0.060519 -0.01066 -0.02847 0.01446 -0.03274 -0.01846 -0.00724 -0.05623 -0.03745 -0.11373 -0.02352 -0.01653 -0.02192

30-Jun-08 -0.07534 -0.00075 0.014824 0.000176 -0.08905 -0.03651 -0.04661 -0.02075 -0.02513 -0.11212 -0.00685 0.03135 0.025169

23-Jun-08 -0.06964 -0.04799 -0.0185 -0.02955 -0.09277 -0.1175 -0.06736 -0.0418 -0.10594 -0.09263 -0.03403 -0.01999 -0.04915

16-Jun-08 -0.01706 -0.04082 -0.05057 0.016824 -0.09005 0.009393 -0.02968 -0.0656 -0.05749 0.034618 -0.03164 -0.05042 -0.04177

9-Jun-08 -0.024 0.016855 0.009693 -0.07148 -0.02336 0.026774 0.018835 -0.00641 0.020587 0.070442 -0.00038 0.008426 0.028644

2-Jun-08 0.015145 -0.03482 -0.03995 -0.01648 -0.08574 -0.11605 -0.0321 -0.00674 -0.08349 -0.09665 -0.0255 -0.02248 0.02948827-May-08 -0.06716 0.023109 0.068121 0.041839 0.002519 0.015768 0.013401 0.064542 0.036675 -0.05782 -0.02329 0.030796 0.08824919-May-08 -0.00893 -0.03002 -0.0239 -0.03438 -0.06202 -0.04328 -0.02573 -0.05319 -0.08665 -0.04457 0.02743 -0.00501 -0.0056312-May-08 -0.02086 0.030666 0.059413 0.022731 -0.01312 0.013155 0.023748 0.040016 -0.02184 0.035427 0.016277 0.018224 0.119811

5-May-08 0.050731 -0.02833 -0.01213 0.013872 -0.07893 -0.01445 -0.01256 -0.0471 -0.10446 -0.05281 -0.04451 -0.03354 -0.01501

28-Apr-08 0.061613 0.009305 0.094606 0.066046 0.038762 0.010102 0.006708 0.044922 0.004717 0.013492 -0.00956 -0.03192 0.010989

21-Apr-08 0.041071 -0.06127 0.017094 0.053962 -0.00665 0.078558 -0.03546 0.044472 0.059559 -0.04533 -0.01293 -0.01173 -0.01849

14-Apr-08 -0.06876 0.05644 0.00806 0.094468 0.043956 0.023403 0.145198 0.048332 0.074754 0.030344 -0.00296 -0.00763 0.052432

7-Apr-08 0.077065 -0.02542 -0.02678 -0.0388 -0.06262 0.015944 -0.03889 -0.04141 -0.02996 -0.04251 0.000697 -0.01124 -0.0527431-Mar-08 -0.06593 0.032988 0.046419 0.070415 0.035073 0.029666 0.009679 0.012874 0.156124 0.06531 -0.01138 0.009885 -0.0040824-Mar-08 0.165533 -0.0004 0.025544 0.073085 -0.09058 -0.01782 0.044181 -0.02786 -0.07435 0.015465 -0.00155 0.007944 -0.0199917-Mar-08 -0.045 0.005821 0.056424 0.052602 0.173002 -0.01874 -0.01297 0.018503 0.138022 -0.02892 0.060993 0.016005 0.03144310-Mar-08 -0.01517 0.013306 0.001843 0.035665 -0.0285 -0.00483 0.070971 0.00871 -0.05403 -0.01091 -0.01617 0.018531 0.002584


3-Mar-08 -0.0643 -0.0241 -0.03269 -0.02216 -0.06013 -0.07476 -0.03448 -0.01148 -0.11822 -0.04051 0.006692 -0.01577 -0.02764

25-Feb-08 -0.00966 -0.01594 -0.04104 0.046543 -0.06706 -0.00293 0.016173 0.033475 -0.0562 -0.02248 0.003448 -0.0011 0.018424

19-Feb-08 0.023141 0.002774 0.012114 -0.04148 -0.00229 -0.02521 0.017522 0.012876 -0.01396 -0.00355 -0.00864 0.01136 -0.00153

11-Feb-08 -0.08434 0.017747 0.044592 -0.00677 0.012622 0.073753 0.028522 -0.0102 -0.02129 0.019285 -0.00821 0.013479 0.00617

4-Feb-08 0.054447 -0.03264 -0.03741 -0.06183 -0.06368 -0.03674 -0.05214 -0.05613 -0.12328 -0.15254 -0.00018 -0.01467 -0.04423

28-Jan-08 0.120292 0.075385 -0.01033 0.028767 0.140578 0.074396 0.08844 0.030579 0.127482 -0.0301 0.01448 0.022782 0.014457

22-Jan-08 -0.06689 0.008036 -0.01387 -0.19429 0.097524 -0.01749 0.04955 -0.00412 0.089572 0.126426 -0.03829 -0.03759 -0.04839

14-Jan-08 -0.10963 -0.03444 -0.07148 -0.06561 -0.06573 -0.02628 -0.04303 -0.06069 -0.14407 -0.09595 -0.04742 -0.03037 0.015414

7-Jan-08 -0.02596 -0.05103 -0.05723 -0.04088 -0.0338 -0.0617 -0.03676 -0.00957 0.011615 -0.00618 0.03094 0.007986 -0.06021

31-Dec-07 -0.02042 -0.03922 -0.05986 -0.09898 -0.03039 -0.02759 -0.0633 -0.05225 -0.03611 -0.08937 -0.00679 0.000533 -0.11463

24-Dec-07 -0.00498 -0.01105 0.017781 0.03053 -0.01969 -0.00919 0.005895 -0.03636 -0.03114 -0.03974 -0.01257 0.000133 0.002814

17-Dec-07 -0.08474 0.001352 0.001662 0.018488 -0.00567 0.007335 -0.00906 -0.00175 -0.01516 0.016736 -0.0116 -0.02379 0.055579

10-Dec-07 -0.02547 -0.00306 -0.05094 -0.02012 -0.07062 -0.0509 -0.01084 0.043716 -0.10515 -0.01125 0.01038 0.010511 -0.05983

3-Dec-07 0.049336 0.035266 0.052919 0.066293 -0.00215 0.006779 0.031902 -0.02034 0.030178 0.074819 0.016854 -0.0034 0.02159726-Nov-07 -0.04194 0.006126 0.005488 0.06226 0.068948 0.033488 0.047634 -0.02335 0.050734 0.03108 0.002218 0.013671 -0.0608519-Nov-07 0.03376 0.020448 -0.00664 0.030951 -0.02756 -0.00508 -0.01158 -0.04175 -0.06783 -0.02145 -0.00509 0.002528 -0.0289912-Nov-07 -0.00881 0.025922 -0.02428 0.006168 0.00902 -0.0447 -0.01385 0.047586 0.027165 0.009351 0.029535 0.029875 -0.01465

5-Nov-07 -0.05884 -0.06333 -0.09691 -0.11976 -0.02516 -0.03286 -0.05821 -0.12089 -0.12255 -0.00469 0.005271 0.023997 -0.09118

Date ERTS XOM GS GOOG IBM ISRG MA MCD MSFT

9-Nov-09 -0.04421 0.004296 0.028991 0.038015 0.028666 0.072344 -0.0092 0.030136 0.03892

2-Nov-09 0.041667 0.01263 0.009461 0.027942 0.028483 0.039172 0.081636 0.053063 0.028489

26-Oct-09 -0.07458 -0.0257 -0.0565 -0.03173 0.002086 -0.06317 -0.04757 -0.0138 -0.01035

19-Oct-09 -0.04134 0.006052 -0.02175 0.006984 -0.01057 0.02948 0.027203 0.011058 0.057358

12-Oct-09 0.007349 0.055612 -0.02604 0.065085 -0.03406 0.00567 0.044072 0.036684 0.037182

5-Oct-09 0.114083 0.040489 0.05395 0.065356 0.058064 0.007337 0.074572 -0.00018 0.023638

28-Sep-09 -0.05858 -0.03089 0.000613 -0.01604 -0.01701 -0.02082 -0.02449 -0.00421 -0.02309

21-Sep-09 0.040086 -0.0184 -0.02009 0.002075 -0.00839 0.038641 -0.08438 -0.00088 0.011481

14-Sep-09 0.029153 0 0.04854 0.04092 0.034377 0.031281 0.070693 0.047987 0.01609

8-Sep-09 -0.01783 0.011631 0.071976 0.023499 0.00496 0.057121 0.013356 -0.03117 0.009748

31-Aug-09 -0.01333 -0.01334 -0.00882 -0.00742 -0.00637 0.011161 0.012192 0.001248 -0.00243

24-Aug-09 -0.03498 0.002733 0.005565 -0.00105 -0.01399 -0.02531 -0.01777 0.005199 0.011061

17-Aug-09 -0.0869 0.025066 0.006959 0.011391 0.011183 0.03101 0.022918 0.018069 0.036078

10-Aug-09 0.028006 -0.01209 -0.00563 0.006344 -0.0064 -0.02738 -0.00847 0.001279 0.005548

3-Aug-09 -0.0354 -0.01308 0.002148 0.031712 0.016601 0.012229 0.053123 0.002565 0.00171

27-Jul-09 0.01465 -0.02632 -0.00858 -0.00822 0.002488 0.021525 0.046188 -0.01817 0.003002

20-Jul-09 0.010989 0.055088 0.050224 0.03828 0.019236 0.430693 0.031273 -0.03035 -0.03437

13-Jul-09 -0.00191 0.052214 0.105538 0.038248 0.14473 0.090743 0.120107 0.013793 0.084906

6-Jul-09 -0.02009 -0.0492 -0.01131 0.014468 -0.00893 -0.10151 -0.03349 -0.00702 -0.04217

29-Jun-09 0.023923 -0.00806 -0.02213 -0.03957 -0.03734 -0.00632 -0.0156 0.007965 0.000861

22-Jun-09 0.008687 -0.0282 0.025207 0.01245 -0.002 -0.00887 0.046871 -0.02012 -0.03008

15-Jun-09 -0.05518 -0.03703 -0.01727 -0.01118 -0.02145 -0.03219 -0.03418 -0.00328 0.031897

8-Jun-09 -0.04652 0.011094 -0.0226 -0.04384 0.009034 0.067303 -0.0037 -0.02527 0.053588

1-Jun-09 0.000435 0.05224 0.030708 0.064928 0.009116 0.04229 -0.04903 0.023452 0.06018326-May-09 0.049772 0.007498 0.060268 0.060305 0.043086 0.052602 0.047299 0.033321 0.05753618-May-09 0.041369 -0.00395 0.017119 0.008974 0.005077 -0.05149 -0.02754 0.067732 -0.0170211-May-09 0.042121 -0.01812 -0.03714 -0.04255 -0.00119 -0.05574 -0.06457 -0.02649 0.041167


4-May-09 0.009 0.041012 0.098435 0.034647 -0.02473 0.111835 0.070448 0.047943 -0.0405

27-Apr-09 0.001502 0.021716 0.047627 0.010783 0.045206 -0.04952 -0.0011 -0.03503 -0.03195

20-Apr-09 0.072503 -0.00275 0.005832 -0.00701 -0.01172 0.152589 0.06149 -0.03174 0.089088

13-Apr-09 -0.05434 -0.04417 -0.02998 0.052993 -0.00419 0.161351 -0.05448 -0.01023 -0.02418

6-Apr-09 -0.04879 -0.00853 0.041232 0.007356 -0.00506 0.160343 -0.00824 0.000539 0.0491130-Mar-09 0.107544 0.006546 0.104769 0.063503 0.085659 0.003215 0.039272 0.029586 0.03461823-Mar-09 0.025796 0.058842 0.110572 0.053126 0.017765 0.029249 0.076774 0.034034 0.06227816-Mar-09 0.025901 -0.01651 -0.01495 0.017693 0.023802 -0.09075 -0.01754 0.015534 0.024924

9-Mar-09 0.160026 0.049444 0.306017 0.051366 0.052961 0.07446 0.111424 0.005074 0.089404

2-Mar-09 -0.06131 -0.05697 -0.16944 -0.08704 -0.06757 0.0542 -0.09865 -0.00253 -0.05388

23-Feb-09 -0.00427 -0.04673 0.076731 -0.02442 0.036445 -0.14197 0.000127 -0.03367 -0.10287

17-Feb-09 -0.03249 -0.04504 -0.11815 -0.0314 -0.05373 -0.05424 -0.02403 -0.03939 -0.05069

9-Feb-09 -0.12461 -0.07159 -0.00126 -0.03663 -0.02395 -0.02207 -0.0037 -0.0281 -0.02851

2-Feb-09 0.252591 0.055786 0.196221 0.096742 0.054641 0.110336 0.196781 0.007431 0.149583

26-Jan-09 -0.08909 -0.02006 0.07768 0.042593 0.024162 0.106549 0.082314 0 -0.00592

20-Jan-09 -0.03309 -0.00066 0.025446 0.083525 0.053807 -0.06682 -0.02158 -0.02753 -0.1272

12-Jan-09 -0.01461 0.006726 -0.12953 -0.04888 0.002649 -0.01798 -0.14541 -0.00667 0.009395

5-Jan-09 0.020069 -0.04976 -0.03272 -0.01945 -0.03059 -0.23118 0.002613 -0.05781 -0.0396

29-Dec-08 0.138381 0.057662 0.142021 0.069783 0.074241 0.08711 0.062803 0.044048 0.062866

22-Dec-08 -0.11903 0.028914 -0.05894 -0.03163 -0.02625 -0.02956 -0.0749 0.012253 0.000533

15-Dec-08 0.02234 -0.06753 0.191797 -0.0177 0.016131 -0.06601 0.097527 -0.00441 -0.01263

8-Dec-08 -0.14865 0.05022 -0.04214 0.11187 0.019997 -0.02241 -0.00938 -0.03388 -0.02564

1-Dec-08 0.048269 -0.04429 -0.10474 -0.03062 -0.01237 0.037199 -0.03564 0.067447 -0.0171424-Nov-08 0.010069 0.05722 0.481713 0.116336 0.08977 0.120666 0.148216 0.074742 0.02744717-Nov-08 -0.07681 0.029024 -0.20106 -0.15351 -0.06793 -0.20315 -0.11929 -0.01735 -0.0122810-Nov-08 -0.13243 -0.00374 -0.1421 -0.06378 -0.06881 -0.18666 -0.02738 0.011763 -0.06727

3-Nov-08 0.034241 0.003471 -0.15913 -0.07853 -0.06686 0.056022 -0.00061 -0.04237 -0.03721

27-Oct-08 -0.08034 0.073632 -0.07869 0.059153 0.132717 0.088921 0.131684 0.091743 0.016815

20-Oct-08 -0.16851 0.01467 -0.11897 -0.08925 -0.09592 -0.161 -0.16671 -0.01367 -0.0823

13-Oct-08 0.064309 0.091089 0.28723 0.122108 0.0346 0.080681 0.033205 0.008348 0.113073

6-Oct-08 -0.14351 -0.19989 -0.30629 -0.14192 -0.15171 -0.22459 -0.0521 -0.11419 -0.18316

29-Sep-08 -0.17537 -0.03368 -0.0724 -0.10238 -0.13381 -0.1793 -0.13438 -0.04703 -0.03931

22-Sep-08 -0.08729 0.013054 0.063076 -0.04032 0.004746 -0.05401 -0.17812 -0.01214 0.088871

15-Sep-08 -0.0349 0.027354 -0.15829 0.026253 -0.00095 0.045005 0.006104 -0.00129 -0.08878

8-Sep-08 -0.03206 0.024765 -0.05531 -0.01483 0.040549 0.034702 0.010705 0.06235 0.0768

2-Sep-08 -0.04774 -0.05479 -0.00445 -0.0411 -0.06075 -0.08944 -0.08701 -0.0274 -0.06015

25-Aug-08 0.022199 -0.00372 0.02606 -0.05565 -0.02562 -0.02654 0.003741 -0.01643 -0.0199

18-Aug-08 -0.01016 0.041923 -0.02068 -0.03834 -0.01136 0.013872 0.011266 -0.00328 0.005185

11-Aug-08 0.034084 -0.0159 -0.07256 0.030585 -0.01903 -0.02949 0.029381 -0.0311 -0.01135

4-Aug-08 0.087413 -0.01258 -0.03324 0.05803 0.02114 0.026063 -0.02163 0.098675 0.105668

28-Jul-08 -0.10119 -0.02418 0.018717 -0.04903 -0.01474 -0.06719 -0.09974 0.01919 -0.02756

21-Jul-08 -0.01506 0.001903 -0.02099 0.022147 -0.01046 0.116399 -0.06162 -0.02966 0.011549

14-Jul-08 0.098866 -0.0461 0.125281 -0.09831 0.063659 0.068561 0.091331 0.054354 0.024062

7-Jul-08 0.002729 -0.03163 -0.09171 -0.00596 0.021533 0.078453 0.014814 0.002369 -0.02776

30-Jun-08 0.00091 0.019957 0.024836 0.016911 -0.0042 -0.0714 -0.06617 0.012173 -0.06001

23-Jun-08 -0.06391 0.019245 -0.05011 -0.0336 -0.0219 -0.04573 -0.04328 -0.01561 -0.02116

16-Jun-08 -0.00106 -0.03898 0.030693 -0.04388 -0.0271 0.005374 -0.02887 -0.04259 -0.0287

9-Jun-08 -0.01178 0.018115 0.05225 0.007954 0.009725 0.00032 -0.01108 0.052699 0.057325


2-Jun-08 -0.05279 -0.02226 -0.03954 -0.03209 -0.03469 -0.04319 -0.04184 -0.03377 -0.0294527-May-08 0.038477 -0.02133 0.021877 0.075612 0.042116 0.030972 0.129667 0.027616 0.00991619-May-08 -0.0254 -0.02132 -0.07747 -0.06111 -0.02836 -0.04997 -0.03592 -0.04627 -0.064912-May-08 -0.05721 0.043316 -0.00507 0.011985 0.030293 0.036838 -0.01202 0.021778 0.02427

5-May-08 -0.01053 -0.00441 -0.06083 -0.01392 0.011331 -0.00321 0.006347 -0.02805 0.004949

28-Apr-08 0.031826 -0.03079 0.043097 0.06843 0.000756 0.036636 0.20072 0.021445 -0.01975

21-Apr-08 -0.00923 -0.01636 0.069082 0.008621 -0.01056 -0.03023 0.015739 0.023386 -0.00551

14-Apr-08 0.035849 0.060727 0.07545 0.179167 0.072371 -0.13514 0.022379 0.052442 0.060673

7-Apr-08 -0.03331 -0.0014 -0.04616 -0.02895 0.002054 -0.01436 0.009588 -0.00583 -0.0301331-Mar-08 0.052696 0.041326 0.066551 0.075352 0.010377 0.048743 0.041226 0.004348 0.04481524-Mar-08 0.018159 0.002567 -0.08448 0.010449 -0.03172 0.073232 -0.0126 0.019464 -0.0435717-Mar-08 0.033042 -0.01052 0.145192 -0.00998 0.026826 0.062246 0.056201 -0.00651 0.04362310-Mar-08 0.012956 0.041436 -0.02008 0.010546 0.011342 0.069197 0.083847 0.047953 0.003338

3-Mar-08 -0.02072 -0.05194 -0.05637 -0.08029 0.000726 -0.0609 0.013233 -0.03392 0.024705

25-Feb-08 -0.04926 -0.00191 -0.04545 -0.07212 0.053573 -0.0331 -0.06628 -0.02181 -0.01755

19-Feb-08 0.020936 0.021176 -0.00393 -0.04124 0.018017 -0.03858 -0.01221 0.007065 -0.02227

11-Feb-08 0.093112 0.044755 -0.04627 0.025063 0.027931 0.008614 0.001908 -0.00607 -0.00472

4-Feb-08 -0.0833 -0.04528 -0.09967 0.001531 -0.04957 -0.01613 -0.04556 0.026095 -0.06203

28-Jan-08 0.029648 0.02399 0.085734 -0.08916 0.043591 0.136097 0.113711 0.002342 -0.07561

22-Jan-08 -0.04452 -0.01337 0.024003 -0.05639 0.01084 0.026443 0.1077 0.032447 -0.0022

14-Jan-08 -0.06508 -0.05789 -0.05799 -0.05954 0.058655 -0.00046 -0.02537 -0.03538 -0.02662

7-Jan-08 -0.03027 -0.01926 -0.00596 -0.02854 -0.03417 -0.14036 -0.1088 -0.04794 -0.01358

31-Dec-07 -0.06916 -0.03075 -0.05668 -0.06481 -0.08145 -0.06194 -0.04194 -0.04117 -0.04826

24-Dec-07 -0.00628 0.01675 0.011181 0.008382 -0.0086 -0.00092 -0.01109 -0.0088 0.001727

17-Dec-07 0.014635 0.024717 -0.00508 0.009754 0.049843 0.001693 -0.01943 -0.01847 0.021158

10-Dec-07 0.074561 -0.00353 -0.03316 -0.03485 -0.02832 -0.07963 0.033229 0.016675 0.022843

3-Dec-07 -0.03809 0.026331 -0.03858 0.031558 0.034928 0.077271 0.044593 0.028897 0.02748626-Nov-07 0.034997 0.009809 0.046929 0.024087 0.010872 0.154982 0.107925 0.012989 -0.0149119-Nov-07 -0.0403 0.037518 -0.03895 0.067973 -0.00703 0.010903 -0.02036 -0.00708 0.00060912-Nov-07 0.015073 -0.02018 0.065863 -0.04569 0.045238 -0.00574 -0.04214 0.023234 0.013889

5-Nov-07 -0.07823 -0.00846 -0.07957 -0.06647 -0.12198 -0.09471 0.01557 -0.01212 -0.08963

Date PCLN PG SBUX JAVA SYMC VFC WPO YHOO SPX FVX

9-Nov-09 0.174012 0.009338 0.03125 0.07037 0.001722 0.000134 -0.01123 -0.00063 0.022613 -0.01739

2-Nov-09 0.090056 0.052414 0.11275 -0.00978 -0.0091 0.048283 -0.00618 0.002516 0.031954 -0.00862

26-Oct-09 -0.10924 0.006246 -0.06364 -0.03081 0.055222 -0.09295 -0.07514 -0.07666 -0.04021 -0.04527

19-Oct-09 0.053652 0.011051 -0.01793 -0.07456 0.001804 0.028631 -0.01164 0.02439 -0.00743 0.029661

12-Oct-09 -0.01632 -0.00193 0.019763 0.004405 0 0.018459 -0.0107 -0.00356 0.01511 0.004255

5-Oct-09 0.04673 0.014205 0.025329 0.013393 0.040676 0.080972 0.07862 0.001781 0.045142 0.068182

28-Sep-09 0.007466 -0.02171 -0.00454 -0.00775 0.022393 -0.0158 -0.00919 -0.01405 -0.01836 -0.07173

21-Sep-09 -0.01044 0.011953 -0.0448 -0.01204 -0.00128 -0.03276 -0.02898 -0.01783 -0.02239 -0.03659

14-Sep-09 0.005402 0.030243 0.043741 -0.00327 -0.02004 0.018363 0.008036 0.115459 0.024522 0.074236

8-Sep-09 0.059237 0.052612 0.045741 0.002186 0.020447 0.029586 0.049261 0.075172 0.025905 -0.02966

31-Aug-09 -0.01713 -0.00625 -0.01604 -0.02034 0.026903 -0.01591 -0.037 -0.02357 -0.01218 -0.04065

24-Aug-09 0.01895 -0.00715 -0.01928 -0.00107 -0.01931 0.059275 -0.00618 0.004057 0.002729 -0.03529

17-Aug-09 0.032267 0.02309 0.030858 0.020742 0.019016 0.021515 -0.03057 -0.01662 0.02195 0.02

10-Aug-09 0.132805 0.00639 0.004729 0.005488 -0.01676 -0.04673 -0.00837 0.028728 -0.00632 -0.11661

3-Aug-09 0.013115 -0.06262 0.075141 -0.00654 0.038848 0.0644 0.052648 0.02095 0.023292 0.118577


27-Jul-09 0.05049 -0.00595 0.027875 -0.00542 -0.14047 -0.00912 0.106951 -0.18078 0.008394 -0.00784

20-Jul-09 0.062974 0.006538 0.192521 0.005453 0.058501 0.088097 0.093637 0.038005 0.041345 0.015936

13-Jul-09 0.088828 0.070998 0.073606 0 0.052598 0.097215 0.078188 0.12793 0.069671 0.135747

6-Jul-09 -0.03143 0.021661 0.004481 -0.00434 -0.00701 0.021481 0.013273 -0.004 -0.01929 -0.08678

29-Jun-09 -0.0422 -0.01237 -0.07846 0.022198 -0.0132 -0.03772 -0.01758 -0.04765 -0.02446 -0.04348

22-Jun-09 0.020967 0.021861 0.020365 -0.01745 0.001889 -0.06112 0.020627 -0.0038 -0.00253 -0.09643

15-Jun-09 -0.02385 -0.03634 -0.02131 -0.01398 -0.03699 0.014508 -0.01973 -0.03659 -0.0264 0.003584

8-Jun-09 -0.00868 -0.01184 -0.03579 0.014177 0.027414 -0.00618 -0.02425 -0.01442 0.00651 -0.02105

1-Jun-09 0.056398 0.023856 0.048645 0.018889 0.026871 0.044648 -0.00584 0.050505 0.022793 0.21276626-May-09 0.087506 -0.02049 0.106923 0 0.10148 0.039903 -0.00505 0.05741 0.036234 0.06818218-May-09 0.015954 0.046502 0.004637 0 -0.04251 0.004495 0.008674 0.004695 0.004667 0.11111111-May-09 -0.04995 -0.01733 -0.05271 -0.01424 -0.00403 -0.06333 -0.0272 -0.01584 -0.04988 -0.07477

4-May-09 0.09214 0.04165 -0.01014 -0.00328 -0.16451 -0.01656 0.007841 0.071429 0.058927 0.054187

27-Apr-09 -0.00114 -0.00021 0.021466 -0.00435 0.006215 -0.14324 -0.133 -0.04005 0.013033 0.046392

20-Apr-09 0.052885 -0.03331 0.120232 0.375187 0.024899 0.038692 -0.00845 0.023628 -0.00388 0.031915

13-Apr-09 0.015229 0.050187 0.005 0.001497 0.008173 0.004318 0.100141 0.0683 0.015224 -0.00529

6-Apr-09 0.015006 -0.00888 0.026518 -0.21319 0.055453 0.02627 0.007392 0.009745 0.016688 0.00531930-Mar-09 0.088553 0.021936 -0.0068 0.084291 0.085619 0.100679 0.046236 0.01214 0.032551 0.04444423-Mar-09 0.04398 0.065393 0.054659 -0.03333 0.067095 0.053394 0.087516 -0.03088 0.061675 0.09756116-Mar-09 -0.00447 -0.02902 0.056818 0.694561 0.017429 0.036122 -0.01477 0.006662 0.015848 -0.12299

9-Mar-09 -0.06281 0.027118 0.263158 0.210127 0.064965 0.124653 0.067725 0.035249 0.107071 0.016304

2-Mar-09 -0.01497 -0.05104 -0.08634 -0.15598 -0.06508 -0.07055 -0.1054 -0.01361 -0.07035 -0.08911

23-Feb-09 0.013254 -0.04139 -0.04489 -0.03306 -0.01073 -0.02556 -0.07636 0.089786 -0.0454 0.122222

17-Feb-09 0.152629 -0.01644 -0.05429 -0.05837 -0.05541 0.006628 -0.05895 -0.05452 -0.06868 -0.03226

9-Feb-09 -0.02431 -0.05388 -0.0389 -0.10297 -0.07846 -0.09508 -0.01713 -0.05796 -0.04808 -0.04615

2-Feb-09 0.110001 -0.00921 0.116525 0.377404 0.047619 0.043823 0.080439 0.161978 0.051727 0.042781

26-Jan-09 -0.02655 -0.02671 0.039648 0.124324 0.129698 0.023944 -0.04206 0.036219 -0.0073 0.147239

20-Jan-09 -0.03107 -0.02323 -0.04017 -0.06801 0.00593 -0.02536 0.003825 -0.0233 -0.02137 0.124138

12-Jan-09 -0.05412 -0.0355 -0.03173 -0.14807 -0.00809 0.079334 -0.02487 -0.11729 -0.04518 -0.04605

5-Jan-09 -0.02198 -0.04682 -0.00711 0.104265 -0.08108 -0.0856 0.01319 0.02179 -0.04448 -0.12139

29-Dec-08 0.123302 0.037498 0.052406 0.104712 0.149068 0.044516 0.08101 0.041329 0.067599 0.153333

22-Dec-08 -0.01155 0.005829 -0.05364 -0.08173 -0.04238 -0.02114 -0.02987 -0.05295 -0.01698 0.111111

15-Dec-08 0.07049 0.021005 0.057816 0.017115 0.076861 0.048406 0.019651 -0.00913 0.009264 -0.12903

8-Dec-08 0.069964 -0.05897 0.024123 0.17192 0.037375 -0.03071 -0.03955 0.127787 0.004178 -0.07186

1-Dec-08 -0.12377 -0.02677 0.021277 0.100946 0.000831 0.058436 0.016215 0.013032 -0.02251 -0.1391824-Nov-08 0.192534 0.019948 0.140485 0.049669 0.09863 0.221735 0.166121 0.225772 0.120258 -0.0251317-Nov-08 0.075465 -0.00016 -0.09059 -0.26699 -0.10319 -0.09324 -0.13613 -0.13216 -0.08389 -0.1531910-Nov-08 -0.01411 -0.02144 -0.18389 -0.01905 -0.075 -0.08584 -0.10478 -0.11311 -0.06198 -0.08203

3-Nov-08 0.036861 -0.0008 -0.1965 -0.08696 0.049285 -0.06284 0.028576 -0.04836 -0.03898 -0.0922

27-Oct-08 0.01309 0.09639 0.356405 0.026786 -0.08041 0.186924 0.217686 0.059504 0.104908 0.084615

20-Oct-08 -0.1057 -0.04052 -0.07368 -0.19713 -0.10471 -0.16429 0.010623 -0.06202 -0.06781 -0.08127

13-Oct-08 -0.0204 0.036604 -0.05686 0.1625 0.117776 -0.1169 -0.1275 0.049634 0.045962 0.025362

6-Oct-08 0.019776 -0.16126 -0.18887 -0.28889 -0.19351 -0.13136 -0.2156 -0.23188 -0.18195 0.029851

29-Sep-08 -0.22467 0.031674 -0.0869 -0.11649 -0.14394 -0.09749 -0.09518 -0.15433 -0.09399 -0.11258

22-Sep-08 -0.13833 -0.02169 -0.07311 -0.12586 -0.00402 -0.02497 -0.05912 -0.04877 -0.03331 0.010033

15-Sep-08 0.009276 -0.03818 0.052838 -0.06922 -0.03354 -0.00442 -0.01621 0.042453 0.0027 0.010135

8-Sep-08 -0.07903 0.033592 0.009881 0.104706 -0.04236 0.016156 0.051955 0.05531 0.007558 0.013699

2-Sep-08 0.007098 0.014435 -0.02442 -0.05556 -0.0372 0.033528 -0.02968 -0.06708 -0.03159 -0.05502


25-Aug-08 -0.08959 -0.02566 -0.02993 -0.1 0.011333 0.018491 -0.02214 -0.00768 -0.00725 -0.01278

18-Aug-08 -0.01037 0.000145 -0.03895 -0.07919 -0.00943 -0.00202 -0.03449 -0.04452 -0.00462 0.006431

11-Aug-08 0.079724 0.02818 0.103836 0.059512 0.013194 0.005145 -0.0355 0.027136 0.00145 -0.03416

4-Aug-08 -0.1807 0.072091 0.048544 0.099785 0.012903 0.092765 0.094031 0.005051 0.028572 -0.0031

28-Jul-08 0.16045 0.00757 0 -0.10642 0.115681 -0.01887 -0.00541 -0.06294 0.002027 -0.06377

21-Jul-08 -0.03928 0.012392 0.005579 0.100211 0.016196 -0.01586 0.011929 -0.0588 -0.00232 0.014706

14-Jul-08 -0.02579 0.00988 0.019915 0.040615 0.017003 0.040737 0.027002 -0.04752 0.017096 0.036585

7-Jul-08 0.006277 -0.00345 -0.0964 -0.14299 -0.01569 -0.05161 -0.01139 0.103981 -0.01854 0.003058

30-Jun-08 -0.14697 0.052504 -0.04832 -0.03011 -0.01848 0.032916 0.006066 0.000938 -0.01211 -0.03254

23-Jun-08 -0.04225 -0.04234 -0.05107 -0.01968 0.005679 0.034036 0.045539 -0.03001 -0.03001 -0.04789

16-Jun-08 0.029551 -0.04937 -0.05173 -0.04608 -0.04156 -0.04185 -0.05246 -0.06306 -0.03096 -0.04826

9-Jun-08 -0.04212 0.016462 0.028297 -0.04793 0 0 -0.01097 -0.11233 -0.00048 0.165625

2-Jun-08 -0.01524 -0.01028 -0.02859 -0.04942 -0.06995 -0.03104 -0.05079 -0.01196 -0.02835 -0.0615827-May-08 0.021876 0.011844 0.073156 0.010929 0.051791 0.026112 0.008685 -0.03463 0.01777 0.09294919-May-08 -0.02834 -0.02207 -0.00587 -0.04545 -0.00482 -0.04455 -0.06805 0.002169 -0.03467 012-May-08 -0.02265 0.02355 0.075032 0.029141 0.038519 0.050547 0.027695 0.066718 0.026702 0.054054

5-May-08 0.097017 -0.02377 -0.03645 0.031646 0.027763 -0.05033 -0.0036 -0.09557 -0.01812 -0.06329

28-Apr-08 -0.01566 0.003768 0.037831 -0.18557 0.113337 0.012602 -0.05111 0.069776 0.011489 -0.00629

21-Apr-08 -0.00811 -0.00918 -0.13239 0.001937 -0.01244 -0.031 0.00159 -0.05733 0.005402 0.077966

14-Apr-08 0.077506 -0.03497 0.059096 0.018409 0.048607 0.037016 0.015619 0.003176 0.043141 0.14786

7-Apr-08 -0.04294 -0.00848 -0.06703 -0.04937 -0.0271 -0.02813 -0.00224 -0.00071 -0.02742 -0.0228131-Mar-08 0.028855 0.016644 0.085044 0.017812 0.030916 0.03297 0.060874 -0.02173 0.041955 0.03543324-Mar-08 0.028323 0.00106 -0.02738 -0.01873 -0.0158 -0.03997 -0.03398 0.048084 -0.01075 0.0854717-Mar-08 0.008501 0.039358 0.008051 -0.02317 0.038275 0.034693 0.003942 0.035567 0.032116 010-Mar-08 0.006073 0.014372 0.016959 0.025 -0.02834 0.023289 -0.04597 -0.07992 -0.00404 -0.03704

3-Mar-08 0.025434 -0.00587 -0.04894 -0.02439 0.005938 -0.01234 -0.0431 0.044996 -0.028 -0.03187

25-Feb-08 -0.10397 -0.00032 -0.01479 -0.04928 -0.03661 -0.02993 -0.00414 -0.02252 -0.01661 -0.10357

19-Feb-08 0.02737 -0.00143 -0.00219 0.013514 -0.00342 -0.01037 -0.01609 -0.04181 0.002311 0.014493

11-Feb-08 0.216819 0.019716 0.001643 0.039707 -0.02011 -0.00669 0.009421 0.015753 0.014047 0.022222

4-Feb-08 -0.05663 -0.01559 -0.04995 -0.06404 -0.04073 -0.0004 -0.03504 0.028894 -0.04596 -0.0146

28-Jan-08 0.031746 0.011261 -0.02238 0.064516 0.139194 0.079677 0.042144 0.293528 0.048707 -0.01792

22-Jan-08 0.124758 -0.02738 0.053591 0.032035 0.079051 0.086575 -0.05643 0.055823 0.00409 -0.02105

14-Jan-08 -0.03387 -0.03837 -0.0571 0.041203 -0.00589 -0.04694 -0.02558 -0.11045 -0.05412 -0.07166

7-Jan-08 -0.10508 -0.02551 0.092766 -0.06254 -0.02863 0.118542 0.002553 0.008636 -0.00752 -0.03155

31-Dec-07 -0.0888 -0.03001 -0.10035 -0.10434 -0.03321 -0.09159 -0.01186 -0.01237 -0.04522 -0.09943

24-Dec-07 0.024924 0.002281 -0.04416 -0.03087 -0.03501 -0.05184 0.00188 -0.02332 -0.00402 -0.01676

17-Dec-07 -0.01724 0.002429 -0.00894 -0.04764 -0.00531 0.054678 0.030536 -0.00208 0.011247 -0.01105

10-Dec-07 -0.00636 -0.00299 -0.06057 -0.03189 -0.04348 -0.02747 -0.02963 -0.06126 -0.0244 0.031339

3-Dec-07 0.036204 0.001713 -0.03292 -0.01925 -0.00506 -0.02688 -0.00806 -0.04401 0.01588 0.02631626-Nov-07 0.056737 0.015507 0.013871 0.084551 0.014245 -0.00614 0.021433 0.026024 0.02807 0.00293319-Nov-07 -0.01886 -0.00447 -0.00432 -0.05755 -0.00735 -0.02235 -0.02427 -0.02573 -0.01237 -0.0733712-Nov-07 0.058642 0.039442 0.026584 -0.01119 0.046154 -0.03634 -0.01734 0.039938 0.003467 -0.02128

5-Nov-07 0.141724 0.012451 -0.11594 -0.08214 -0.08698 -0.04092 0.029185 -0.17101 -0.03706 -0.04082


Time-Series Regression Results

Statistic AXP MMM ADBE AAPL BACalpha 0.002627947 0.002850507 0.001499013 0.005029077 0.004579006

alpha's t-stat 0.377503902 1.030051958 0.387665041 1.084735271 0.36316374beta 1.004361335 0.941567072 0.998244964 0.860214784 1.282671955

beta's t-stat 9.523407106 22.45876183 17.04063686 12.24728571 6.714973254R-square 0.465831948 0.8290587 0.736297154 0.590544745 0.302438822

variance of residuals 0.005088 0.000804 0.00157 0.002257 0.01669

Statistic BA CAT CSCO C CMEalpha -0.00129592 0.003192277 0.000571687 -0.00099139 -0.00092365

alpha's t-stat -0.31371526 0.699568028 0.190662708 -0.06122486 -0.13940533beta 0.887850168 0.990349226 0.960496653 1.55782608 0.793321435



Statistic KO CL DELL ERTS XOMalpha 0.002718219 0.00417022 -0.00231727 -0.00688841 0.001601784

alpha's t-stat 0.850567718 1.225194963 -0.47933549 -1.25362504 0.519751155beta 1.037134061 0.964147093 1.053917721 0.97348628 0.935012492



Statistic GS GOOG IBM ISRG MAalpha 0.004566785 0.001751546 0.004647289 0.00504535 0.006608106




Statistic MCD MSFT PCLN PG SBUXalpha 0.004226853 0.001753093 0.012543341 0.002119498 0.003612817





Statistic JAVA SYMC VFC WPO YHOOalpha -0.00062844 0.003438311 0.003724928 -0.00177752 -0.0014316

alpha's t-stat -0.0616941 0.708281058 0.846569812 -0.44640117 -0.25121707beta 1.294417572 0.974557944 0.996410285 1.087055207 1.068202539


variance of residuals 0.010894

0.002474 0.002033 0.001665 0.003409

Data for the Second-Pass Regression

Mean Returns

Estimated Betas (X1)

Estimated Variances

of Residuals

(X2)

Squared Estimated

Betas

Squared Variances

of ResidualsX1*X2

Squared residuals

from SECOND regression

Residuals from SECOND

regression

0.0031 1.0044 0.005088 1.0087 2.58877E-05 0.00511019 1.76729E-08 0.000132939

0.0033 0.9416 0.000804 0.8865 6.46416E-07 0.00075702 3.31969E-07 0.000576168

0.0019 0.9982 0.00157 0.9965 2.4649E-06 0.001567245 8.06239E-08 -0.000283943

0.0054 0.8602 0.002257 0.7400 5.09405E-06 0.001941505 2.1933E-06 0.001480979

0.0051 1.2827 0.01669 1.6452 0.000278556 0.021407795 7.56637E-06 0.002750703

-0.0009 0.8879 0.001791 0.7883 3.20768E-06 0.00159014 1.9514E-05 -0.004417461

0.0036 0.9903 0.002186 0.9808 4.7786E-06 0.002164903 1.3922E-06 0.001179913

0.0010 0.9605 0.000944 0.9226 8.91136E-07 0.000906709 2.28838E-06 -0.001512741

-0.0003 1.5578 0.027527 2.4268 0.000757736 0.042882278 4.0783E-06 -0.00201948

-0.0006 0.7933 0.004609 0.6294 2.12429E-05 0.003656418 3.33719E-05 -0.005776843

0.0032 1.0371 0.001072 1.0756 1.14918E-06 0.001111808 2.25114E-06 0.001500381

0.0046 0.9641 0.001216 0.9296 1.47866E-06 0.001172403 4.27601E-06 0.002067852

-0.0019 1.0539 0.002454 1.1107 6.02212E-06 0.002586314 1.32996E-05 -0.00364686

-0.0065 0.9735 0.00317 0.9477 1.00489E-05 0.003085952 8.68042E-05 -0.009316875

0.0020 0.9350 0.000997 0.8742 9.94009E-07 0.000932207 6.2741E-07 -0.000792092

0.0050 1.0841 0.00551 1.1753 3.03601E-05 0.005973409 8.46316E-06 0.002909152

0.0021 0.8254 0.001426 0.6813 2.03348E-06 0.001177019 4.07279E-06 -0.002018116

0.0050 0.8975 0.000894 0.8056 7.99236E-07 0.00080239 3.38027E-06 0.001838552

0.0055 0.9846 0.005377 0.9695 2.89121E-05 0.005294304 5.08689E-06 0.002255414

0.0070 0.9352 0.002722 0.8746 7.40928E-06 0.002545546 1.46839E-05 0.003831953

0.0046 0.8984 0.001117 0.8071 1.24769E-06 0.001003497 1.90016E-06 0.001378463

0.0022 0.9549 0.001794 0.9119 3.21844E-06 0.001713138 3.43042E-07 -0.000585698

0.0130 0.9303 0.005182 0.8654 2.68531E-05 0.004820612 8.3941E-05 0.009161934

0.0026 0.9946 0.001113 0.9892 1.23877E-06 0.001106981 1.56544E-07 0.000395656

0.0041 1.0649 0.002974 1.1340 8.84468E-06 0.003166942 5.26888E-06 0.002295405

-0.0001 1.2944 0.010894 1.6755 0.000118679 0.014101385 1.05832E-06 -0.001028746

0.0039 0.9746 0.002474 0.9498 6.12068E-06 0.002411056 1.3862E-06 0.001177371

0.0042 0.9964 0.002033 0.9928 4.13309E-06 0.002025702 3.30305E-06 0.001817429

-0.0013 1.0871 0.001665 1.1817 2.77223E-06 0.001809947 6.47379E-06 -0.002544364

-0.0010 1.0682 0.003409 1.1411 1.16213E-05 0.003641502 7.87949E-06 -0.002807043


Second-Pass Regression Output

RESULTS OUTPUT

Regression Statistics

Multiple R 0.259527053

R-square 0.067354291

Adjusted R-square -0.001730576

Standard Error 0.00347206

Observations 30

ANOVA

df SS MS F F Significance

Regression 2 2.35064E-05 1.17532E-05 0.974950001 0.390099505

Residual 27 0.00032549 1.20552E-05

Total 29 0.000348997

CoefficientsStandard

Error t-statistic P-value Lower 95% Upper 95%

Y-intercept 0.013092436 0.007610585 1.720292992 0.096822781 -0.002523194 0.028708065

Estimated Betas -0.011241208 0.008280449 -1.35756029 0.185842494 -0.028231285 0.005748869Estimated Variance of Residuals 0.222708261 0.224746811 0.990929573 0.330517958 -0.238434098 0.683850621

Regression Output of the Test for Heteroscedasticity

RESULTS OUTPUT

Regression Statistics

Multiple R 0.453250698

R-square 0.205436196 df n*R-square critical Chi-square for 5% level of significance

Adjusted R-square 0.03990207 5 6.163085867 11.0705 >>>>>>>>>>>>>>

Obtained Chi-square value does not exceed the critical Chi-square value

Standard Error 2.10006E-05

This means that there is NO heteroscedasticity

Observations 30

ANOVA

df SS MS F F Significance

Regression 5 2.73667E-09 5.47334E-10 1.241050414 0.321136742

Residual 24 1.05846E-08 4.41025E-10

Total 29 1.33213E-08

CoefficientsStandard

Error t-statistic P-value Lower 95% Upper 95%

Y-intercept 4.65332E-05 0.00035381 0.131520416 0.896459973 -0.000683695 0.000776761

Estimated Betas (X1) -7.58305E-05 0.000780527 -0.097152986 0.923411686 -0.001686758 0.001535097Estimated Variances of Residuals (X2) 0.021540888 0.023518781 0.915901562 0.368830312 -0.02699949 0.070081267Squared Estimated Betas 3.04091E-05 0.000435255 0.069865048 0.944879957 -0.000867914 0.000928732Squared Variances of Residuals 0.299973311 0.497664796 0.602761765 0.552320819 -0.727156339 1.327102961

X1*X2 -0.019247883 0.027309348 -0.704809304 0.487712963 -0.075611606 0.037115841


Test for Autocorrelation

RESIDUAL OUTPUT

ObservationPredicted

Mean Returns ResidualsResiduals-

square ut - ut-1 (ut - ut-1)2

1 0.00293534 0.000132939 1.76729E-08

2 0.002687141 0.000576168 3.31969E-07 3.14296E-07 9.87823E-14

3 0.002220608 -0.000283943 8.06239E-08 -2.51345E-07 6.31746E-14

4 0.003925235 0.001480979 2.1933E-06 2.11267E-06 4.46339E-12

5 0.002390654 0.002750703 7.56637E-06 5.37307E-06 2.88699E-11

6 0.003510797 -0.004417461 1.9514E-05 1.19476E-05 1.42745E-10

7 0.002446554 0.001179913 1.3922E-06 -1.81218E-05 3.28398E-10

8 0.002505529 -0.001512741 2.28838E-06 8.96189E-07 8.03155E-13

9 0.001711079 -0.00201948 4.0783E-06 1.78991E-06 3.20379E-12

10 0.005201007 -0.005776843 3.33719E-05 2.92936E-05 8.58116E-10

11 0.001672539 0.001500381 2.25114E-06 -3.11208E-05 9.68503E-10

12 0.002525071 0.002067852 4.27601E-06 2.02487E-06 4.10009E-12

13 0.001791653 -0.00364686 1.32996E-05 9.02358E-06 8.1425E-11

14 0.002855259 -0.009316875 8.68042E-05 7.35046E-05 5.40292E-09

15 0.002803806 -0.000792092 6.2741E-07 -8.61767E-05 7.42643E-09

16 0.002132927 0.002909152 8.46316E-06 7.83575E-06 6.1399E-11

17 0.004131534 -0.002018116 4.07279E-06 -4.39037E-06 1.92754E-11

18 0.003202233 0.001838552 3.38027E-06 -6.9252E-07 4.79584E-13

19 0.003221614 0.002255414 5.08689E-06 1.70662E-06 2.91255E-12

20 0.003186153 0.003831953 1.46839E-05 9.59697E-06 9.21019E-11

21 0.003242261 0.001378463 1.90016E-06 -1.27837E-05 1.63423E-10

22 0.00275745 -0.000585698 3.43042E-07 -1.55712E-06 2.42461E-12

23 0.003789252 0.009161934 8.3941E-05 8.3598E-05 6.98863E-09

24 0.002159893 0.000395656 1.56544E-07 -8.37845E-05 7.01984E-09

25 0.001784276 0.002295405 5.26888E-06 5.11234E-06 2.6136E-11

26 0.000967802 -0.001028746 1.05832E-06 -4.21056E-06 1.77289E-11

27 0.002688207 0.001177371 1.3862E-06 3.27883E-07 1.07507E-13

28 0.002344346 0.001817429 3.30305E-06 1.91685E-06 3.6743E-12

29 0.001243431 -0.002544364 6.47379E-06 3.17074E-06 1.00536E-11

30 0.001843761 -0.002807043 7.87949E-06 1.4057E-06 1.97599E-12

0.00032549 2.96603E-08

Durbin-Watson d-statistic: 9.11249E-05 >>>>>>>>

calculated d-statistic is lower than dL, so it means that there exists a positive autocorrelation

dL, 5% level of significance: 1.284

dU, 5% level of significance: 1.567


testing the capital asset pricing model: an econometric approach

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