Anon

Multiple Linear Regression 55

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
Dec-1996 0.30 −1.96 −0.323 −4.887 −0.9299
Jan-1997 0.06 6.21 0.443 8.392 0.3058
Feb-1997 0.11 0.81 0.235 5.151 0.2485
Mar-1997 0.36 −4.16 −4.216 −7.291 −1.1083
Apr-1997 −0.18 5.97 −2.698 5.477 1.4980
May-1997 −0.07 6.14 4.240 3.067 0.9451
Jun-1997 −0.11 4.46 3.795 4.834 1.1873
Jul-1997 −0.43 7.94 2.627 12.946 2.6954
Aug-1997 0.30 −5.56 −2.423 −6.205 −0.8521
Sep-1997 −0.19 5.48 5.010 7.956 1.4752
Oct-1997 −0.21 −3.34 1.244 −2.105 1.4506
Nov-1997 0.06 4.63 8.323 3.580 0.4603
Dec-1997 −0.11 1.72 7.902 3.991 1.0063
Jan-1998 −0.25 1.11 −4.273 −4.404 1.2837
Feb-1998 0.17 7.21 2.338 9.763 −0.0753
Mar-1998 0.05 5.12 7.850 7.205 0.3441
Apr-1998 0.00 1.01 −3.234 2.135 0.5223
May-1998 −0.08 −1.72 −0.442 −3.200 0.9481
Jun-1998 −0.09 4.06 3.717 2.444 0.8483
Jul-1998 0.03 −1.06 −4.566 0.918 0.2122
Aug-1998 −0.46 −14.46 7.149 −24.907 1.6277
Sep-1998 −0.53 6.41 5.613 2.718 2.3412
Oct-1998 0.05 8.13 −2.061 9.999 −0.5276
Nov-1998 0.17 6.06 1.631 5.981 0.5664
Dec-1998 0.02 5.76 2.608 2.567 0.3007
Jan-1999 −0.01 4.18 −6.072 −0.798 0.7143
Feb-1999 0.55 −3.11 −5.263 0.524 −1.7460
Mar-1999 −0.05 4.00 −2.183 1.370 0.5548
Apr-1999 0.05 3.87 6.668 7.407 0.3170
May-1999 0.31 −2.36 7.613 −6.782 −0.8763
Jun-1999 0.11 5.55 −4.911 5.544 −0.3194
Jul-1999 0.11 −3.12 −2.061 −7.351 −0.4248
Aug-1999 0.10 −0.50 1.508 −4.507 −0.0508
Sep-1999 −0.08 −2.74 −5.267 −6.093 1.1604
Oct-1999 0.11 6.33 1.800 15.752 0.3689
Nov-1999 0.16 2.03 −8.050 −7.634 −0.0069
Dec-1999 0.24 5.89 −0.187 −9.158 −0.4822
Jan-2000 0.19 −5.02 5.112 −2.293 −0.3272
Feb-2000 −0.13 −1.89 −10.030 −12.114 1.2092
Mar-2000 −0.20 9.78 1.671 18.770 1.3166
Apr-2000 0.17 −3.01 14.456 −5.885 −0.2854
May-2000 0.07 −2.05 2.985 11.064 −0.0459
Jun-2000 −0.26 2.47 −5.594 −14.389 2.0803
Jul-2000 −0.08 −1.56 6.937 6.953 0.9077
(continued)