capm4.def

date dis ge gm ibm msft xom mkt riskfree

  Obs:   132, Jan 1998 to December 2008, monthly rates of return

         date 		year/month/day 
         dis 		Disney monthly rate of return
 	 ge 		General Electric monthly rate of return
 	 gm 		General Motors monthly rate of return
 	 ibm 		IBM monthly rate of return
 	 msft 		Microsoft monthly rate of return
 	 xom 		Exxon-Mobil monthly rate of return
 	 mkt 		Market Portfolio monthly rate of return
	 riskfree 	Risk free rate = 30 day T-bill

           
Data source: Wharton Data Services. The authors thank Shuang Zhu for data collection.
             

    Variable |       Obs        Mean    Std. Dev.       Min        Max
-------------+--------------------------------------------------------
        date |       132    2.00e+07     31745.2   2.00e+07   2.01e+07
         dis |       132    .0013787    .0808657   -.267794    .241453
          ge |       132    .0013609    .0699338   -.234902    .192392
          gm |       132   -.0090815    .1273283   -.389313    .276619
         ibm |       132    .0083318    .0904847   -.226453    .353799
-------------+--------------------------------------------------------
        msft |       132    .0085566    .1093614   -.343529    .407781
         xom |       132    .0104876    .0534166   -.116462    .232171
         mkt |       132    .0025114    .0484825   -.184726    .083925
    riskfree |       132    .0321031    .0171167      .0003     .06234