Anon

54 The Basics of financial economeTrics

TAbLE 3.2 (continued)

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
May-1993 0.25 2.70 −0.607 −0.647 0.1268
Jun-1993 −0.30 0.33 2.708 4.991 1.8121
Jul-1993 0.05 −0.47 2.921 0.741 0.5655
Aug-1993 −0.31 3.81 3.354 0.851 1.7539
Sep-1993 0.00 −0.74 −1.099 3.790 0.2746
Oct-1993 0.05 2.03 −1.499 −7.411 0.3732
Nov-1993 0.26 −0.94 −5.091 −1.396 −0.8502
Dec-1993 0.01 1.23 2.073 3.828 0.5420
Jan-1994 −0.17 3.35 −2.577 4.376 1.3502
Feb-1994 0.55 −2.70 −5.683 −4.369 −1.7374
Mar-1994 0.55 −4.35 −4.656 −3.031 −2.4657
Apr-1994 0.37 1.30 0.890 3.970 −0.7985
May-1994 0.18 1.63 −5.675 6.419 −0.0138
Jun-1994 0.16 −2.47 −3.989 −2.662 −0.2213
Jul-1994 −0.23 3.31 5.555 2.010 1.9868
Aug-1994 0.12 4.07 0.851 3.783 0.1234
Sep-1994 0.43 −2.41 −2.388 −7.625 −1.4717
Oct-1994 0.18 2.29 1.753 1.235 −0.0896
Nov-1994 0.37 −3.67 2.454 −7.595 −0.2217
Dec-1994 0.11 1.46 0.209 −0.866 0.6915
Jan-1995 −0.33 2.60 7.749 6.861 1.9791
Feb-1995 −0.41 3.88 −0.750 6.814 2.3773
Mar-1995 0.01 2.96 −2.556 −1.434 0.6131
Apr-1995 −0.18 2.91 3.038 4.485 1.3974
May-1995 −0.72 3.95 7.590 9.981 3.8697
Jun-1995 −0.05 2.35 −0.707 0.258 0.7329
Jul-1995 0.14 3.33 −0.395 4.129 −0.2231
Aug-1995 −0.10 0.27 −0.632 5.731 1.2056
Sep-1995 −0.05 4.19 6.987 5.491 0.9735
Oct-1995 −0.21 −0.35 2.215 −1.906 1.3002
Nov-1995 −0.23 4.40 −0.627 7.664 1.4982
Dec-1995 −0.18 1.85 6.333 0.387 1.4040
Jan-1996 −0.13 3.44 2.420 3.361 0.6633
Feb-1996 0.49 0.96 −3.590 4.673 −1.7378
Mar-1996 0.31 0.96 −1.697 2.346 −0.6954
Apr-1996 0.25 1.47 −4.304 −1.292 −0.5621
May-1996 0.18 2.58 1.864 2.529 −0.2025
Jun-1996 −0.14 0.41 5.991 −0.859 1.3433
Jul-1996 0.08 −4.45 −7.150 0.466 0.2736
Aug-1996 0.15 2.12 1.154 4.880 −0.1675
Sep-1996 −0.23 5.62 0.682 6.415 1.7414
Oct-1996 −0.35 2.74 4.356 8.004 2.2162
Nov-1996 −0.21 7.59 1.196 10.097 1.7129