246 The Basics of financial economeTrics
taBLe 12.1 A Sample of Stock Daily Returns for the Period December 2, 2011, to
December 30, 2011
Dates ORCL MSFT TROW HON EMC FO LLTC ADM
02-Dec-2011 –0.01 0.00 0.02 0.00 0.00 0.00 0.00 –0.01
05-Dec-2011 0.02 0.02 0.01 0.01 0.01 0.01 0.02 0.00
06-Dec-2011 –0.01 0.00 0.00 0.00 0.00 0.00 0.00 –0.01
07-Dec-2011 –0.01 0.00 0.03 –0.01 0.00 0.00 0.00 0.00
08-Dec-2011 –0.03 –0.01 –0.04 –0.02 –0.02 –0.01 –0.03 –0.03
09-Dec-2011 0.03 0.01 0.02 0.02 0.01 0.02 0.00 0.01
12-Dec-2011 –0.01 –0.01 –0.02 –0.02 –0.02 –0.02 –0.02 –0.03
13-Dec-2011 –0.02 0.01 –0.02 –0.01 –0.02 –0.02 –0.02 –0.02
14-Dec-2011 –0.03 –0.01 –0.02 –0.01 –0.02 –0.01 –0.02 –0.01
15-Dec-2011 –0.03 0.00 0.00 0.02 0.00 0.00 0.00 0.02
16-Dec-2011 0.01 0.02 0.01 0.01 0.00 –0.01 0.01 –0.01
19-Dec-2011 –0.02 –0.02 –0.01 –0.02 –0.02 –0.01 –0.02 –0.02
20-Dec-2011 0.02 0.02 0.05 0.04 0.02 0.02 0.05 0.04
21-Dec-2011 –0.12 –0.01 0.00 0.00 –0.04 0.01 –0.01 0.01
22-Dec-2011 0.00 0.00 0.00 0.01 0.01 0.00 0.02 0.00
23-Dec-2011 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01
27-Dec-2011 –0.02 0.00 0.00 0.00 –0.01 0.01 0.00 0.00
28-Dec-2011 0.00 –0.01 –0.02 –0.02 –0.01 0.00 –0.01 –0.02
29-Dec-2011 0.01 0.01 0.02 0.01 0.01 0.01 0.00 0.01
30-Dec-2011 –0.01 0.00 –0.01 –0.01 0.00 0.00 0.00 0.00
Ticker Company
ORCL Oracle Corp.
MSFT Microsoft Corp
TROW T. Rowe Price Group
HON Honeywell International
EMC EMC/MA
FO Fortune Brands Inc.
LLTC Linear Technology Corp
ADM Archer-Daniels Midland Co.