Changes in the Dow an Event Study

12/9/2013

Changes in the Dow An Event Study

Written By:

David Abers

Alex Goldman

Justin Laurenzo

Gregory Reichardt

FIN 3560

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

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 5

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.

14 Event Study Method PowerPoint 8

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 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.

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.

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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)

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

Appendix

Cumulative Abnormal Returns

Added or Stock -10 10 -5 5 -3 3 0 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

KFT 2012

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.68306099 0.06 R Square 0.46657231 0.04 Adjusted R Square0.46435892 0.02

Standard Error0.00661746 Y Y 0 Observations 243 Predicted Y -0.05 -0.02 0 0.05 -0.04 ANOVA X Variable 1 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

Coded Day Date Market Return Beta Expected Actual Difference CAR 0.03 -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 0.02 -8 09/04/2012 0.000683 0.508297 0.000347167 0.007829 0.00748183 0.01 -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 0 -5 09/07/2012 0.005651 0.508297 0.002872388 -0.05495 -0.0578174 -0.0621044 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 -0.01 Actual -4 09/10/2012 -0.005681 0.508297 -0.002887636 0.005501 0.00838864 Expected -3 09/11/2012 0.003425 0.508297 0.001740918 -0.01094 -0.0126839 -0.0126756 -0.02 -2 09/12/2012 0.002643 0.508297 0.00134343 -0.00478 -0.0061204 -0.03 -1 09/13/2012 0.015281 0.508297 0.00776729 0.013896 0.00612871 -0.04 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 -0.05 2 09/18/2012 -0.001779 0.508297 -0.000904261 0.018262 0.01916626 -0.06 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

UNH 2012

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.563286 0.1 R Square 0.317291 0.05 Adjusted R Square0.31447

Standard Error0.013331 Y 0 Y -0.05 0 0.05 Observations 244 -0.05 Predicted Y

-0.1 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.019989 0.019989 112.4704 7.9E-22 Residual 242 0.043009 0.000178 Total 243 0.062998

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

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 0.04 -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 0.03 -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 0.02 -3 09/11/2012 0.003425 0.747213 0.0025592 -0.017492 -0.02005 -0.00878 0.01 -2 09/12/2012 0.002643 0.747213 0.0019749 0.004403 0.002428 Actual -1 09/13/2012 0.015281 0.747213 0.0114182 0.020257 0.008839 0 Expected 0 09/14/2012 0.006141 0.747213 0.0045886 0.00668 0.002091 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 1 09/17/2012 -0.004545 0.747213 -0.003396 0.00424 0.007636 -0.01 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 -0.02 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 -0.03 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

TRV 2009

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.749877 0.4 R Square 0.562315 0.2 Adjusted R Square0.560484

Standard Error 0.030558 Y 0 Y -0.1 0 0.1 0.2 Observations 241 -0.2 Predicted Y

-0.4 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.286722 0.286722 307.0549 9.01E-45 Residual 239 0.223173 0.000934 Total 240 0.509895

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

Coded DayDate Market Beta Expected Actual DifferenceCAR

-10 05/15/2009 -0.010643 1.199797 -0.01277 -0.00476 0.008013 -0.03255 0.08 -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 0.06 -7 05/20/2009 -0.001788 1.199797 -0.00215 -0.00739 -0.00524 0.04 -6 05/21/2009 -0.016573 1.199797 -0.01988 0.018471 0.038355 0.02 -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 0 Actual -3 05/27/2009 -0.017272 1.199797 -0.02072 -0.06013 -0.03941 -0.03088 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 -0.02 Expected -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 -0.04 0 06/01/2009 0.027025 1.199797 0.032425 0.030743 -0.00168 -0.06 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 -0.08 3 06/04/2009 0.013639 1.199797 0.016364 0.021546 0.005182 0.041186 -0.1 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

C 2009

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.649011 1 R Square 0.421215 Adjusted R Square0.418793 0.5

Standard Error0.079431 Y Y Observations 241 0 Predicted Y -0.1 0 0.1 0.2 -0.5 ANOVA X Variable 1 df SS MS F Significance F Regression 1 1.097407 1.097407 173.934 3.3E-30 Residual 239 1.507931 0.006309 Total 240 2.605338

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

Coded DayDate Market Beta Expected Actual DifferenceCAR -10 05/15/2009 -0.01064 2.34726 -0.02498 -0.01972 0.005264 -0.05615 0.15 -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 0.1 -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 0.05 Actual -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 Expected 0 -2 05/28/20090.015061 2.34726 0.035352 -0.00811 -0.04346 1 2 3 4 5 6 7 8 9 101112131415161718192021 -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 -0.05 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 -0.1 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

CSCO 2009

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.878018 0.2 R Square 0.770916 0.1 Adjusted R Square0.769958

Standard Error0.016358 Y 0 Y -0.1 0 0.1 0.2 Observations 241 -0.1 Predicted Y

-0.2 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.215217 0.215217 804.2856 1.94E-78 Residual 239 0.063953 0.000268 Total 240 0.27917

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

Coded Day Date Market Beta Expected Actual Difference CAR 0.1 -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 0.08 -8 05/19/20090.000506 1.039478 0.000526 0.008547 0.008021024 0.06 -7 05/20/2009 -0.00179 1.039478 -0.00186 -0.01483 -0.01297141 0.04 -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 0.02 Actual

-4 05/26/20090.028116 1.039478 0.029226 0.032961 0.003735042 0 Expected -3 05/27/2009 -0.01727 1.039478 -0.01795 -0.0146 0.00335086 -0.01225 1 2 3 4 5 6 7 8 9 101112131415161718192021 -2 05/28/20090.015061 1.039478 0.015656 0.015917 0.000261425 -0.02 -1 05/29/20090.014744 1.039478 0.015326 -0.00054 -0.01586606 -0.04 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 -0.06 2 06/03/2009 -0.01726 1.039478 -0.01794 -0.01275 0.005194466 -0.08 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

T 2004

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.269507 0.3 R Square 0.072634 0.2 Adjusted R Square0.068786

Standard Error0.02363 Y 0.1 Y Observations 243 0 Predicted Y -0.04 -0.02 0 0.02 0.04 -0.1 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.010539 0.010539 18.87584 2.06E-05 Residual 241 0.134564 0.000558 Total 242 0.145104

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

Coded Day Date Market Beta Expected Actual DifferenceCAR 0.04 -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 0.03 -8 03/22/2004 -0.014016 0.797785 -0.01118175 -0.01781 -0.00663 0.02 -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 0.01 -5 03/25/2004 0.016656 0.797785 0.013287902 0.020597 0.007309 -0.00838 Actual -4 03/26/2004 0.000327 0.797785 0.000260876 0.008577 0.008316 0 1 2 3 4 5 6 7 8 9 101112131415161718192021 Expected -3 03/29/2004 0.013132 0.797785 0.010476509 0.004377 -0.0061 -0.024 -0.01 -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 -0.02 0 04/01/2004 0.006666 0.797785 0.005318033 -0.0138 -0.01912 -0.03 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 -0.04 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

EK 2004

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.392096 0.2 R Square 0.15374 0.1 Adjusted R Square0.150228

Standard Error0.021277 Y 0 Y -0.04 -0.02 0 0.02 0.04 Observations 243 -0.1 Predicted Y

-0.2 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.019822 0.019822 43.78231 2.35E-10 Residual 241 0.109108 0.000453 Total 242 0.12893

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

Coded Day Date Market Beta Expected Actual DifferenceCAR 0.06 -10 03/18/2004 -0.0015 1.094073 -0.001641109 -0.01083 -0.00919 0.006139 0.05 -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 0.04 -7 03/23/2004 -0.00069 1.094073 -0.000759287 -0.00238 -0.00162 0.03 -6 03/24/2004 -0.00335 1.094073 -0.003660768 -0.01313 -0.00947 0.02 -5 03/25/20040.016656 1.094073 0.018222877 0.030645 0.012422 0.01552 Actual 0.01 -4 03/26/20040.000327 1.094073 0.000357762 -0.00078 -0.00114 Expected -3 03/29/20040.013132 1.094073 0.014367364 0.005873 -0.00849 0.004237 0 1 2 3 4 5 6 7 8 9 101112131415161718192021 -2 03/30/20040.005166 1.094073 0.00565198 0.009342 0.00369 -0.01 -1 03/31/20040.000196 1.094073 0.000214438 0.009256 0.009042 -0.02 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 -0.03 2 04/05/20040.006556 1.094073 0.007172741 0.001192 -0.00598 -0.04 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

IP 2004

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.712737 0.05 R Square 0.507995 Adjusted R Square0.505953

Standard Error0.009167 Y 0 Y Observations 243 -0.04 -0.02 0 0.02 0.04 Predicted Y

-0.05 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.020909 0.020909 248.8321 5.47E-39 Residual 241 0.020251 8.4E-05 Total 242 0.041161

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

Coded Day Date Market Beta Expected Actual Difference CAR 0.05 -10 03/18/2004 -0.0015 1.123691 -0.001685536 -0.00145 0.00024054 0.011304 0.04 -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 0.03 -7 03/23/2004 -0.00069 1.123691 -0.000779841 -0.00346 -0.0026822 0.02 -6 03/24/2004 -0.00335 1.123691 -0.003759869 -0.00844 -0.0046771 0.01 -5 03/25/20040.016656 1.123691 0.01871619 0.024775 0.00605881 0.016649 Actual -4 03/26/20040.000327 1.123691 0.000367447 0.015385 0.01501755 0 1 2 3 4 5 6 7 8 9 101112131415161718192021 Expected -3 03/29/20040.013132 1.123691 0.014756305 0.015151 0.0003947 -0.00443 -0.01 -2 03/30/20040.005166 1.123691 0.005804986 0.004975 -0.00083 -0.02 -1 03/31/20040.000196 1.123691 0.000220243 -0.00377 -0.0039922 -0.03 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 -0.04 2 04/05/20040.006556 1.123691 0.007366916 -0.00633 -0.0136949 -0.05 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

PFE 2004

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.565931 0.1 R Square 0.320277 0.05 Adjusted R Square0.317457

Standard Error0.01133 Y 0 Y -0.04 -0.02 0 0.02 0.04 Observations 243 -0.05 Predicted Y

-0.1 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.014577 0.014577 113.5564 5.62E-22 Residual 241 0.030936 0.000128 Total 242 0.045513

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

Coded Day Date Market Beta Expected Actual DifferenceCAR 0.05 -10 03/18/2004 -0.0015 0.938227 -0.001407341 -0.00573 -0.00432 -0.00118 0.04 -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 0.03 -7 03/23/2004 -0.00069 0.938227 -0.00065113 0.013056 0.013707 0.02 -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 0.01 Series2 -4 03/26/20040.000327 0.938227 0.0003068 -0.00058 -0.00089 0 Series1 -3 03/29/20040.013132 0.938227 0.012320797 0.021289 0.008968 0.004803 1 2 3 4 5 6 7 8 9 1011 12131415 16 1718 192021 -2 03/30/20040.005166 0.938227 0.004846881 0.003427 -0.00142 -0.01 -1 03/31/20040.000196 0.938227 0.000183892 -0.00256 -0.00274 -0.02 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 -0.03 2 04/05/20040.006556 0.938227 0.006151016 0.003611 -0.00254 -0.04 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

VZ 2004

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.496832 0.1 R Square 0.246842 0.05 Adjusted R Square0.243717

Standard Error0.013363 Y 0 Y -0.04 -0.02 0 0.02 0.04 Observations 243 -0.05 Predicted Y

-0.1 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.014104 0.014104 78.9861 1.49E-16 Residual 241 0.043034 0.000179 Total 242 0.057138

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

Coded Day Date Market Beta Expected Actual Difference CAR 0.03 -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 0.02 -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 0.01 -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 0 Actual 1 2 3 4 5 6 7 8 9 101112131415161718192021 -4 03/26/20040.000327 0.922889 0.000301785 -0.01017 -0.0104698 -0.01 Expected -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 -0.02 -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 -0.03 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 -0.04 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

AIG 2004

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.687369 0.1 R Square 0.472476 0.05 Adjusted R Square0.470287

Standard Error0.010568 Y 0 Y -0.04 -0.02 0 0.02 0.04 Observations 243 -0.05 Predicted Y

-0.1 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.024107 0.024107 215.8514 2.52E-35 Residual 241 0.026915 0.000112 Total 242 0.051022

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

Coded Day Date Market Bera Expected Actual Difference CAR 0.04 -10 03/18/2004 -0.0015 1.206545 -0.001809818 0.005479 0.007288818 -0.03001 0.03 -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 0.02 -7 03/23/2004 -0.00069 1.206545 -0.000837342 -0.00976 -0.00892366 0.01 -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 0 Actual 1 2 3 4 5 6 7 8 9 101112131415161718192021 -4 03/26/20040.000327 1.206545 0.00039454 -0.00313 -0.00351954 -0.01 Expected -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 -0.02 -1 03/31/20040.000196 1.206545 0.000236483 -0.00516 -0.00539548 -0.03 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 -0.04 2 04/05/20040.006556 1.206545 0.00791011 0.022746 0.01483589 -0.05 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

AIG 2008

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.675388 0.2 R Square 0.456148 0.1 Adjusted R Square0.453892

Standard Error0.027924 Y 0 Y -0.04 -0.02 0 0.02 0.04 0.06 Observations 243 -0.1 Predicted Y

-0.2 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.157612 0.157612 202.1357 1.01E-33 Residual 241 0.187916 0.00078 Total 242 0.345527

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

09/04/2008 -0.028926 2.028794024 -0.05868 -0.06023 -0.001545104 2.63% 0.6 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% 0.4 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% 0.2 09/11/2008 0.010959 2.028794024 0.022234 0.002857 -0.019376554 -87.15% 0 09/12/2008 0.005352 2.028794024 0.010858 -0.308262 -0.319120106 -2939.00% Actual 09/15/2008 -0.045666 2.028794024 -0.09265 -0.607908 -0.515261092 556.16% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 Expected 09/16/2008 0.015191 2.028794024 0.030819 -0.212185 -0.24300441 -788.48% -0.2 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% -0.4 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% -0.6 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% -0.8 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%

BOA 2008

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.759401 0.1 R Square 0.576691 0.05 Adjusted R Square0.574919

Standard Error0.01057 Y 0 Y -0.04 -0.02 0 0.02 0.04 Observations 241 -0.05 Predicted Y

-0.1 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.036377 0.036377 325.5988 1.64E-46 Residual 239 0.026702 0.000112 Total 240 0.063079

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

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 0.08 01/31/2008 0.014949 1.135995 0.016982 0.045961 0.028979012 -7 0.06 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 0.04 02/05/2008 -0.03084 1.135995 -0.03504 -0.0377 -0.002663373 -4 0.02 Actual 02/06/2008 -0.008 1.135995 -0.00908 -0.00094 0.008138279 -3 0 Expected 02/07/2008 0.007726 1.135995 0.008777 0.024569 0.015792303 -2 -0.02 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 02/08/2008 -0.00206 1.135995 -0.00234 -0.0279 -0.025557714 -1 -0.04 02/11/2008 0.005804 1.135995 0.006593 -0.00047 -0.007067315 0 -0.06 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 -0.08 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

BS 1997

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.190651 0.2 R Square 0.036348 0.1 Adjusted R Square0.032349

Standard Error0.021642 Y 0 Y -0.04 -0.02 0 0.02 0.04 Observations 243 -0.1 Predicted Y

-0.2 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.004258 0.004258 9.090269 0.002845 Residual 241 0.112877 0.000468 Total 242 0.117135

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

Date Market Beta Expected Actual Difference Coded Q 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 0.08 03/04/1997 -0.00223 0.635925 -0.00142 0.015152 0.0165682 -7 0.06 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 0.04 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 0.02 Actual 03/11/1997 -0.00196 0.635925 -0.00125 0.045455 0.0467008 -2 0 Expected 03/12/1997 -0.00769 0.635925 -0.00489 0.014493 0.0193839 -1 1 2 3 4 5 6 7 8 9 101112131415161718192021 03/13/1997 -0.01597 0.635925 -0.01016 -0.042857 -0.0327006 0 -0.02 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 -0.04 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 -0.06 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

CVX 2008

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.787803 0.05 R Square 0.620634 Adjusted R Square0.619047

Standard Error0.00936 Y 0 Y Observations 241 -0.04 -0.02 0 0.02 0.04 Predicted Y

-0.05 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.034256 0.034256 390.999 3.25E-52 Residual 239 0.020939 8.76E-05 Total 240 0.055195

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

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 0.06 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 0.04 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 0.02 02/06/2008 -0.008 1.102372 -0.00881 -0.02797 -0.0191525 -3 0 02/07/2008 0.007726 1.102372 0.008517 0.015869 0.0073521 -2 Actual 02/08/2008 -0.00206 1.102372 -0.00227 0.006604 0.008876 -1 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 Expected 02/11/2008 0.005804 1.102372 0.006398 0.014762 0.0083638 0 -0.02 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 -0.04 02/14/2008 -0.01321 1.102372 -0.01456 0.008768 0.0233303 3 -0.06 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 -0.08 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

HWP 1997

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.429216 0.1 R Square 0.184226 Adjusted R Square0.180841 0

Standard Error0.02287 -0.04Y -0.02 0 0.02 0.04 Y Observations 243 -0.1 Predicted Y

-0.2 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.028466 0.028466 54.42501 2.6E-12 Residual 241 0.12605 0.000523 Total 242 0.154516

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

Date Market Beta Expected Actual Difference Coded Q 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 0.04 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 0.03 03/05/1997 0.011549 1.644317 0.018990212 0.015217 -0.003773212 -6 0.02 03/06/1997-0.002517 1.644317 -0.004138745 -0.00857 -0.004426255 -5 0.01 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 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 Actual 03/11/1997-0.001959 1.644317 -0.003221216 -0.01991 -0.016690784 -2 -0.01 03/12/1997-0.007691 1.644317 -0.012646439 -0.01354 -0.000897561 -1 Expected -0.02 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 -0.03 03/17/1997-0.001188 1.644317 -0.001953448 0.004515 0.006468448 2 -0.04 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 -0.05 03/20/1997-0.001858 1.644317 -0.00305514 0.029345 0.03240014 5 -0.06 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

JNJ 1997

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.586369 0.1 R Square 0.343828 Adjusted R Square0.341106 0.05

Standard Error0.012078 Y Y Observations 243 0 Predicted Y -0.04 -0.02 0 0.02 0.04 -0.05 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.018423 0.018423 126.282 7.75E-24 Residual 241 0.035159 0.000146 Total 242 0.053582

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

Date Market Beta Expected Actual Difference Coded Q 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 0.06 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 0.04 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 0.02 03/10/19970.008571 1.322825 0.011337937 0.010309 -0.0010289 -3 0 03/11/1997 -0.00196 1.322825 -0.002591415 -0.006122 -0.0035306 -2 Actual 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 03/12/1997 -0.00769 1.322825 -0.01017385 -0.020534 -0.0103601 -1 -0.02 Expected 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 -0.04 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 -0.06 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 -0.08 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

KFT 2008

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.540033 0.1 R Square 0.291635 Adjusted R Square0.288696 0.05

Standard Error0.010839 Y Y Observations 243 0 Predicted Y -0.04 -0.02 0 0.02 0.04 0.06 -0.05 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.011657 0.011657 99.22025 8.51E-20 Residual 241 0.028314 0.000117 Total 242 0.03997

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

Date Market Beta Expected Actual Difference Coded Q 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 0.08 09/09/2008 -0.034931 0.551737583 -0.019272746 -0.006631 0.012641746 -7 0.06 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 0.04 09/12/2008 0.005352 0.551737583 0.0029529 -0.003586 -0.0065389 -4 0.02 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 0 Actual 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 09/17/2008 -0.045473 0.551737583 -0.025089163 -0.026535 -0.00144584 -1 -0.02 Expected 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 -0.04 09/22/2008 -0.036785 0.551737583 -0.020295667 -0.045468 -0.02517233 2 -0.06 09/23/2008 -0.015606 0.551737583 -0.008610417 -0.01511 -0.00649958 3 -0.08 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 -0.1 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

TRV 1997

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.694343 0.1 R Square 0.482113 0.05 Adjusted R Square0.479964

Standard Error0.013599 Y 0 Y -0.04 -0.02 0 0.02 0.04 Observations 243 -0.05 Predicted Y

-0.1 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.041493 0.041493 224.3521 2.71E-36 Residual 241 0.044572 0.000185 Total 242 0.086064

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

Date Market Beta Expected Actual Difference Coded Q 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 0.08 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 0.06 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 0.04 03/10/19970.008571 1.985215987 0.017015286 0.02027 0.003254714 -3 0.02 03/11/1997 -0.00196 1.985215987 -0.003889038 -0.00883 -0.004940962 -2 Actual 03/12/1997 -0.00769 1.985215987 -0.015268296 -0.026726 -0.011457704 -1 0 03/13/1997 -0.01597 1.985215987 -0.031705885 -0.032037 -0.000331115 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 Expected 03/14/19970.003522 1.985215987 0.006991931 0.007092 0.000100069 1 -0.02 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 -0.04

03/19/1997 -0.00618 1.985215987 -0.012260694 -0.009501 0.002759694 4 -0.06 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 -0.08 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

TX 1997

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.282933 0.06 R Square 0.080051 0.04 Adjusted R Square0.076234 0.02

Standard Error0.011969 Y Y 0 Observations 243 Predicted Y -0.04 -0.02 -0.02 0 0.02 0.04 -0.04 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.003004 0.003004 20.97113 7.48E-06 Residual 241 0.034523 0.000143 Total 242 0.037528

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

Date Market Beta Expected Actual Difference Coded Q 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 0.05

03/04/1997 -0.00223 0.534173 -0.00119 0.03038 0.0315696 -7 0.04 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 0.03 03/07/19970.006819 0.534173 0.003643 -0.00842 -0.0120665 -4 0.02 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 0.01 Actual 03/12/1997 -0.00769 0.534173 -0.00411 -0.00122 0.0028933 -1 Expected 03/13/1997 -0.01597 0.534173 -0.00853 -0.02068 -0.0121497 0 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 03/14/19970.003522 0.534173 0.001881 0.006211 0.0043296 1 -0.01 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 -0.02 03/19/1997 -0.00618 0.534173 -0.0033 0.009926 0.0132251 4 -0.03 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 -0.04 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

WMT 1997

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.384909 0.1 R Square 0.148155 0.05 Adjusted R Square0.144621

Standard Error0.016572 Y 0 Y -0.04 -0.02 0 0.02 0.04 Observations 243 -0.05 Predicted Y

-0.1 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.011511 0.011511 41.91536 5.29E-10 Residual 241 0.066183 0.000275 Total 242 0.077694

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

Date Market Beta Expected Actual Difference Coded Q 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 0.04 03/03/19970.003746 1.045621248 0.003916897 0.023697 0.019780103 -8 0.03 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 0.02 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 0.01 03/10/19970.008571 1.045621248 0.00896202 0.004587 -0.00437502 -3 0 Actual 03/11/1997 -0.00196 1.045621248 -0.002048372 0.013699 0.015747372 -2 1 2 3 4 5 6 7 8 9 101112131415 161718192021 03/12/1997 -0.00769 1.045621248 -0.008041873 0.036036 0.044077873 -1 -0.01 Expected 03/13/1997 -0.01597 1.045621248 -0.016699617 0.008696 0.025395617 0 -0.02 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 -0.03 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 -0.04 03/20/1997 -0.00186 1.045621248 -0.001942764 -0.01674 -0.014793236 5 -0.05 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

WX 2008

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.399154 0.1 R Square 0.159324 0.05 Adjusted R Square0.155836

Standard Error0.016733 Y 0 Y -0.04 -0.02 0 0.02 0.04 Observations 243 -0.05 Predicted Y

-0.1 ANOVA X Variable 1 df SS MS F Significance F Regression 1 0.012789 0.012789 45.67402 1.04E-10 Residual 241 0.067481 0.00028 Total 242 0.08027

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

Date Market Beta Expected Actual Difference Coded Q 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 0.08 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 0.06 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 0.04 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 0.02 03/11/1997 -0.00196 1.102146 -0.00216 -0.006452 -0.004292896 -2 Actual 03/12/1997 -0.00769 1.102146 -0.00848 -0.012987 -0.004510396 -1 Expected 0 03/13/1997 -0.01597 1.102146 -0.0176 -0.006579 0.011023373 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 03/14/19970.003522 1.102146 0.003882 0.019868 0.015986242 1 -0.02 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 -0.04 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 -0.06 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

Z 1997

SUMMARY OUTPUT

Regression Statistics X Variable 1 Line Fit Plot Multiple R 0.324015 0.15 R Square 0.104986 Adjusted R Square0.101272 0.1 Standard Error0.019322 0.05

Y Y Observations 243 0 Predicted Y -0.04 -0.02 -0.05 0 0.02 0.04 ANOVA -0.1 df SS MS F Significance F X Variable 1 Regression 1 0.010554 0.010554 28.26951 2.41E-07 Residual 241 0.089972 0.000373 Total 242 0.100525

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

Date Market Beta Expected Actual Difference Coded Q 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 0.08 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 0.06 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 0.04 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 0.02 Actual 03/12/1997 -0.00769 1.001212 -0.0077 0.027933 0.0356333 -1 Expected 03/13/1997 -0.01597 1.001212 -0.01599 -0.03261 -0.0166186 0 0 03/14/19970.003522 1.001212 0.003526 0.039326 0.0357997 1 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 03/17/1997 -0.00119 1.001212 -0.00119 -0.01622 -0.0150266 2 -0.02 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 -0.04 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 -0.06 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

CVX 1999

SUMMARY OUTPUT

Regression Statistics Multiple R 0.259148 X Variable 1 Line Fit Plot R Square 0.067158 0.1 Adjusted R Square0.063271 Standard Error0.017429 0.05 Observations 242 Y 0 Y -0.04 -0.02 0 0.02 0.04 Predicted Y ANOVA -0.05 df SS MS F Significance F -0.1 X Variable 1 Regression 1 0.005249 0.005249 17.27819 4.49E-05 Residual 240 0.072908 0.000304 Total 241 0.078157

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

Names Differe Coded Date Market Beta Expected Actual nce 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 0.06Std first 0.0168 10/15/1999 -0.02565 0.431559 -0.01107077 0.003551 0.014622 -8 std2 0.023024 0.05 10/18/19990.000193 0.431559 8.32908E-05 0.011323 0.01124 -7 0.04 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 0.03 -5 -0.02786 10/21/1999 -0.00129 0.431559 -0.00055671 0.007473 0.00803 -4 0.02 -3 -0.05147 10/22/19990.013632 0.431559 0.005883006 0.011463 0.00558 -3 0.01 0 0.017748 Actual 10/25/1999 -0.00391 0.431559 -0.00168826 -0.04 -0.03831 -2 0 3 -0.00245 Expected 10/26/1999 -0.00808 0.431559 -0.00348872 -0.02222 -0.01873 -1 -0.01 1 2 35 4 -0.030235 6 7 8 9 101112131415161718192021 10/27/19990.008248 0.431559 0.003559495 0.021307 0.017748 0 -0.02 10 -0.00866 10/28/1999 0.03253 0.431559 0.014038598 0 -0.01404 1 -0.03 10/29/19990.016985 0.431559 0.007330021 0.015994 0.008664 2 -0.04 11/01/1999 -0.0036 0.431559 -0.00155404 0.001369 0.002923 3 -0.05 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

GT 1999

SUMMARY OUTPUT

Regression Statistics Multiple R 0.207967 R Square 0.04325 X Variable 1 Line Fit Plot Adjusted R Square0.039264 Standard Error0.020318 0.1 Observations 242 0.05

Y 0 Y ANOVA -0.04 -0.02 0 0.02 0.04 df SS MS F Significance F -0.05 Predicted Y Regression 1 0.004479 0.004479 10.84932 0.001137 -0.1 Residual 240 0.099074 0.000413 X Variable 1 Total 241 0.103553

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

Names Differe coded Date Market Beta Expected Actual nce 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 0.06 std1 0.029416 10/15/1999 -0.02565 0.398641 -0.01022635 -0.03651 -0.02628 -8 std2 0.021984 0.04 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 0.02 10/20/1999 0.018692 0.398641 0.007451406 -0.00139 -0.00884 -5 0 10/21/1999 -0.00129 0.398641 -0.00051425 -0.01116 -0.01064 -4 -10 -0.16971 1 2 3 4 5 6 7 8 9 101112131415161718192021 Actual 10/22/1999 0.013632 0.398641 0.00543428 -0.0141 -0.01954 -3 -0.02 -5 -0.08705 10/25/1999 -0.00391 0.398641 -0.00155949 0.034335 0.035894 -2 -3 -0.06756 Expected -0.04 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 -0.06 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 -0.08 10 -0.10537 11/01/1999 -0.0036 0.398641 -0.00143551 -0.04841 -0.04698 3 -0.1 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

HD 1999

SUMMARY OUTPUT

Regression Statistics Multiple R 0.650973 R Square 0.423765 X Variable 1 Line Fit Plot Adjusted R Square0.421364 0.1 Standard Error0.017182 Observations 242 0.05

Y 0 Y ANOVA -0.04 -0.02 0 0.02 0.04 Predicted Y df SS MS F Significance F -0.05 Regression 1 0.052105 0.052105 176.4971 1.47E-30 -0.1 X Variable 1 Residual 240 0.070852 0.000295 Total 241 0.122956

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

Names Expect Differe Coded Date Market Beta ed Actual nce 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 0.15 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 0.1 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 0.05 -10 -0.01191 10/22/1999 0.013632 1.359707 0.018536 0.006087 -0.01245 -3 -5 -0.02176 Actual 10/25/1999 -0.00391 1.359707 -0.00532 -0.00519 0.000133 -2 -3 -0.0187 Expected 10/26/1999 -0.00808 1.359707 -0.01099 -0.01738 -0.00638 -1 0 0 -0.02536 1 2 3 4 5 6 7 8 9 101112131415161718192021 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 -0.05 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 -0.1 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

HON 2008

SUMMARY OUTPUT

Regression Statistics Multiple R 0.655725 R Square 0.429976 X Variable 1 Line Fit Plot Adjusted R Square0.427591 0.1 Standard Error0.011248

Observations 241 0.05

Y Y ANOVA 0 Predicted Y df SS MS F Significance F -0.04 -0.02 0 0.02 0.04 Regression 1 0.022808 0.022808 180.2804 5.28E-31 -0.05 X Variable 1 Residual 239 0.030237 0.000127 Total 240 0.053044

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

Names Differenc Coded Date Market Beta Expected Actual e 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 0.06 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 0.04 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 0.02 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 Actual 0 02/07/2008 0.007726 0.899506 0.00695 0.001704 -0.00524558 -2 1 2 3 4 5 6 7 -38 9-0.01846101112131415161718192021 Expected 02/08/2008 -0.002061 0.899506 -0.00185 -0.015995 -0.01414112 -1 0 -0.00851 -0.02 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 -0.04 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 -0.06 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

INTC 1999

SUMMARY OUTPUT

Regression Statistics Multiple R 0.614815 R Square 0.377998 Adjusted R Square0.375406 X Variable 1 Line Fit Plot Standard Error0.023038 Observations 242 0.1 0.05 ANOVA

Y 0 Y df SS MS F Significance F -0.04 -0.02 0 0.02 0.04 Predicted Y Regression 1 0.07741 0.07741 145.8506 1.5E-26 -0.05 Residual 240 0.127379 0.000531 -0.1 Total 241 0.204789 X Variable 1

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

Names Expect Differe coded Date Market Beta ed Actual nce 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 std10.15 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 0.1 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 0.05 10/21/1999 -0.00129 1.657316 -0.00214 0.025022 0.02716 -4 -10 -0.02984 Actual 10/22/1999 0.013632 1.657316 0.022593 0.024412 0.001819 -3 0 -5 0.064623 10/25/1999 -0.00391 1.657316 -0.00648 -0.02979 -0.0233 -2 1 2 3 4 -35 6-0.005457 8 9 101112131415161718192021 Expected 10/26/1999 -0.00808 1.657316 -0.0134 0.002632 0.01603 -1 -0.05 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 -0.1 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 -0.15 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

MO 2008

SUMMARY OUTPUT

Regression Statistics Multiple R 0.628572 R Square 0.395103 X Variable 1 Line Fit Plot Adjusted R Square 0.392572 0.04 Standard Error 0.008111 Observations 241 0.02

Y 0 Y ANOVA -0.04 -0.02 0 0.02 0.04 -0.02 Predicted Y df SS MS F Significance F Regression 1 0.010271 0.010271 156.1086 6.64E-28 -0.04 X Variable 1 Residual 239 0.015725 6.58E-05 Total 240 0.025996

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

Date Market Return Beta Expected Actual Difference A-E Coded 01/28/2008 0.017169 0.603633 0.010363779 0.014334 0.003970221 -10 0.03 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 0.02 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 0.01 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 0 1 2 3 4 5 6 7 8 9 101112131415161718192021 02/06/2008 -0.007995 0.603633 -0.004826048 -0.005059 -0.000232952 -3 -0.01 Actual 02/07/2008 0.007726 0.603633 0.00466367 0.018417 0.01375333 -2 Expected 02/08/2008 -0.002061 0.603633 -0.001244088 -0.01363 -0.012385912 -1 -0.02 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 -0.03 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 -0.04 02/15/2008 -0.000453 0.603633 -0.000273446 -0.002201 -0.001927554 4 -0.05 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

MSFT 1999

SUMMARY OUTPUT

Regression Statistics Multiple R 0.700894 R Square 0.491253 Adjusted R Square0.489133 X Variable 1 Line Fit Plot Standard Error0.01727 0.1 Observations 242 0.05

ANOVA Y 0 Y -0.04 -0.02 0 0.02 0.04 df SS MS F Significance F -0.05 Predicted Y Regression 1 0.069122 0.069122 231.7469 4.41E-37 -0.1 Residual 240 0.071583 0.000298 X Variable 1 Total 241 0.140705

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

Names Expect Differe Coded Date Market Beta ed Actual nce Day

10/13/1999 -0.02003 1.56608 -0.03137 -0.01621 0.015162 -10 0.12 std1 0.020049 10/14/1999 -0.00074 1.56608 -0.00116 -0.00412 -0.00296 -9 std2 0.020776 0.1 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 0.08 10/19/1999 0.007483 1.56608 0.011719 -0.01778 -0.0295 -6 0.06 -10 0.031884 10/20/1999 0.018692 1.56608 0.029273 0.068791 0.039518 -5 0.04 -5 0.040381 10/21/1999 -0.00129 1.56608 -0.00202 0.008808 0.010828 -4 -3 -0.00997 Actual 0.02 10/22/1999 0.013632 1.56608 0.021349 -0.00403 -0.02538 -3 0 -0.02916 Expected 10/25/1999 -0.00391 1.56608 -0.00613 -0.0027 0.00343 -2 0 3 -0.05503 1 2 3 4 5 6 7 8 9 101112131415161718192021 10/26/1999 -0.00808 1.56608 -0.01266 -0.00068 0.011984 -1 -0.02 5 -0.06601 10/27/1999 0.008248 1.56608 0.012917 -0.01624 -0.02916 0 -0.04 10 -0.14895 10/28/1999 0.03253 1.56608 0.050945 -0.011 -0.06195 1 -0.06 10/29/1999 0.016985 1.56608 0.0266 0.029903 0.003303 2 -0.08 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

SBC 1999

SUMMARY OUTPUT

Regression Statistics Multiple R 0.470386 R Square 0.221263 X Variable 1 Line Fit Plot Adjusted R Square0.218018 Standard Error0.01945 0.1 Observations 242 0.05

Y 0 Y ANOVA -0.04 -0.02 0 0.02 0.04 Predicted Y df SS MS F Significance F -0.05 Regression 1 0.025797 0.025797 68.19138 9.99E-15 -0.1 Residual 240 0.090792 0.000378 X Variable 1 Total 241 0.116588

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

Names Expect Differe coded Date Market Beta ed Actual nce 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 0.15 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 0.1 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 0.05 10/21/1999 -0.00129 0.95673 -0.00123 -0.02961 -0.02838 -4 -5 -0.03683 Actual 10/22/1999 0.013632 0.95673 0.013042 0.019417 0.006375 -3 -3 0.010778 Expected 10/25/1999 -0.00391 0.95673 -0.00374 -0.03674 -0.03299 -2 0 0 0.049722 10/26/1999 -0.00808 0.95673 -0.00773 0.029661 0.037395 -1 1 2 3 34 50.0557016 7 8 9 101112131415161718192021 10/27/1999 0.008248 0.95673 0.007891 0.057613 0.049722 0 5 0.00532 -0.05 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 -0.1 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

Sears 1999

SUMMARY OUTPUT

Regression Statistics Multiple R 0.30929 R Square 0.09566 Adjusted R Square0.091892 X Variable 1 Line Fit Plot Standard Error0.021196 0.1 Observations 242 0.05 0

ANOVA Y Y -0.04 -0.02 -0.05 0 0.02 0.04 df SS MS F Significance F Predicted Y Regression 1 0.011405 0.011405 25.38693 9.23E-07 -0.1 -0.15 Residual 240 0.107822 0.000449 X Variable 1 Total 241 0.119228

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

Names Expect Differe Coded Date Market Beta ed Actual nce 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 0.06 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 0.04 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 0.02 -10 -0.12715 10/21/1999 -0.00129 0.636152 -0.00082 -0.03017 -0.02935 -4 -5 -0.08711 0 Actual 10/22/1999 0.013632 0.636152 0.008672 0.02 0.011328 -3 1 2 3 -34 5-0.039446 7 8 9 101112131415161718192021 10/25/1999 -0.00391 0.636152 -0.00249 0.006536 0.009025 -2 -0.02 0 0.013272 Expected 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 -0.04 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 -0.06 11/01/1999 -0.0036 0.636152 -0.00229 -0.03769 -0.0354 3 -0.08 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

UK 1999

SUMMARY OUTPUT

Regression Statistics Multiple R 0.118701 R Square 0.01409 X Variable 1 Line Fit Plot Adjusted R Square0.009982 Standard Error0.029522 0.3 Observations 242 0.2

Y 0.1 Y ANOVA Predicted Y df SS MS F Significance F 0 -0.04 -0.02 0 0.02 0.04 Regression 1 0.002989 0.002989 3.429903 0.065254 -0.1 Residual 240 0.209176 0.000872 X Variable 1 Total 241 0.212165

CoefficientsStandard Error t Stat P-value Lower 95%Upper 95%Lower 95.0%Upper 95.0% 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 Value- Weight ed Return- incl. Names dividen Expecete Differe Coded Date ds Beta d Actual nce Day 10/13/1999 -0.02003 0.325685 -0.00652315 0.01547 0.021993 -10 0.06 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 0.04std2 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 0.02 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 0 -10 0.052674 Actual 1 2 3 4 5 6 7 8 9 101112131415161718192021 10/22/19990.013632 0.325685 0.00443974 0.002092 -0.00235 -3 -5 0.038514 -0.02 Expeceted 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 -0.04 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 -0.06 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 -0.08 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

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

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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