capm2.def

MSFT	GE	GM	IBM	DIS	XOM   MKT	RKFREE

  Obs:   120, Jan 1995 to December 2004, monthly returns

  1. MSFT = Microsoft
  2. GE = General Electric
  3. GM = General Motors
  4. IBM = IBM
  5. DIS = Disney
  6. XOM = Exxon-Mobil
  7. MKT = Market portfolio
  8. RKFREE = riskfree rate = 30 day T-Bill

           
Data source: Wharton Data Services. The authors thank Jack Yang for data collection.
             



    Variable |       Obs        Mean    Std. Dev.       Min        Max
-------------+--------------------------------------------------------
        MSFT |       120     .023866    .1161379    -.34353     .40778
          GE |       120    .0162877    .0700545    -.17645     .19239
          GM |       120     .008757    .0931694    -.24032     .27662
         IBM |       120    .0193405    .0983026    -.22645      .3538
         DIS |       120    .0092193     .084381    -.26779     .24145
-------------+--------------------------------------------------------
         XOM |       120    .0134983    .0456739    -.10166     .17715
         MKT |       120    .0105263    .0465094    -.15763     .08392
      RKFREE |       120    .0032025    .0015278      .0006      .0056