Anon

Multiple Linear Regression 53

TAbLE 3.2 Data for Empirical Duration Illustration

Month

Change in

Lehman Bros

Treasury Yield

S&P 500

Return

Monthly Returns for

Electric

Utility Sector

Commercial

Bank Sector

Lehman U.S.
Aggregate Bond Index
Oct-1989 −0.46 −2.33 2.350 −11.043 2.4600
Nov-1989 −0.10 2.08 2.236 −3.187 0.9500
Dec-1989 0.12 2.36 3.794 −1.887 0.2700
Jan-1990 0.43 −6.71 −4.641 −10.795 −1.1900
Feb-1990 0.09 1.29 0.193 4.782 0.3200
Mar-1990 0.20 2.63 −1.406 −4.419 0.0700
Apr-1990 0.34 −2.47 −5.175 −4.265 −0.9200
May-1990 −0.46 9.75 5.455 12.209 2.9600
Jun-1990 −0.20 −0.70 0.966 −5.399 1.6100
Jul-1990 −0.21 −0.32 1.351 −8.328 1.3800
Aug-1990 0.37 −9.03 −7.644 −10.943 −1.3400
Sep-1990 −0.06 −4.92 0.435 −15.039 0.8300
Oct-1990 −0.23 −0.37 10.704 −10.666 1.2700
Nov-1990 −0.28 6.44 2.006 18.892 2.1500
Dec-1990 −0.23 2.74 1.643 6.620 1.5600
Jan-1991 −0.13 4.42 −1.401 8.018 1.2400
Feb-1991 0.01 7.16 4.468 12.568 0.8500
Mar-1991 0.03 2.38 2.445 5.004 0.6900
Apr-1991 −0.15 0.28 −0.140 7.226 1.0800
May-1991 0.06 4.28 −0.609 7.501 0.5800
Jun-1991 0.15 −4.57 −0.615 −7.865 −0.0500
Jul-1991 −0.13 4.68 4.743 7.983 1.3900
Aug-1991 −0.37 2.35 3.226 9.058 2.1600
Sep-1991 −0.33 −1.64 4.736 −2.033 2.0300
Oct-1991 −0.17 1.34 1.455 0.638 1.1100
Nov-1991 −0.15 −4.04 2.960 −9.814 0.9200
Dec-1991 −0.59 11.43 5.821 14.773 2.9700
Jan-1992 0.42 −1.86 −5.515 2.843 −1.3600
Feb-1992 0.10 1.28 −1.684 8.834 0.6506
Mar-1992 0.27 −1.96 −0.296 −3.244 −0.5634
Apr-1992 −0.10 2.91 3.058 4.273 0.7215
May-1992 −0.23 0.54 2.405 2.483 1.8871
Jun-1992 −0.26 −1.45 0.492 1.221 1.3760
Jul-1992 −0.41 4.03 6.394 −0.540 2.0411
Aug-1992 −0.13 −2.02 −1.746 −5.407 1.0122
Sep-1992 −0.26 1.15 0.718 1.960 1.1864
Oct-1992 0.49 0.36 −0.778 2.631 −1.3266
Nov-1992 0.26 3.37 −0.025 7.539 0.0228
Dec-1992 −0.24 1.31 3.247 5.010 1.5903
Jan-1993 −0.36 0.73 3.096 4.203 1.9177
Feb-1993 −0.29 1.35 6.000 3.406 1.7492
Mar-1993 0.02 2.15 0.622 3.586 0.4183
Apr-1993 −0.10 −2.45 −0.026 −5.441 0.6955

(continued)