Monthly Excess Returns

Description

The acme data frame has 60 rows and 3 columns.

The excess return for the Acme Cleveland Corporation are recorded along with those for all stocks listed on the New York and American Stock Exchanges were recorded over a five year period. These excess returns are relative to the return on a risk-less investment such a U.S. Treasury bills.

Usage

1

Format

This data frame contains the following columns:

month

A character string representing the month of the observation.

market

The excess return of the market as a whole.

acme

The excess return for the Acme Cleveland Corporation.

Source

The data were obtained from

Simonoff, J.S. and Tsai, C.-L. (1994) Use of modified profile likelihood for improved tests of constancy of variance in regression. Applied Statistics, 43, 353–370.

References

Davison, A.C. and Hinkley, D.V. (1997) Bootstrap Methods and Their Application. Cambridge University Press.

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