Anon

134 The Basics of financial economeTrics

tAble 6.3 (continued)
Mutual Fund
Month
Ended rM rft

Dummy

Dt

rM – rft =

xt Dtxt

A

rt

B

rt

A

yt

B

yt

07/31/1996 –4.45 0.45 1 –4.90 –4.9 –4.30 –3.73 –4.75 –4.18
08/31/1996 2.12 0.41 0 1.71 0 2.73 2.24 2.32 1.83
09/30/1996 5.62 0.44 0 5.18 0 5.31 4.49 4.87 4.05
10/31/1996 2.74 0.42 1 2.32 2.32 1.42 1.34 1.00 0.92
11/30/1996 7.59 0.41 1 7.18 7.18 6.09 5.30 5.68 4.89
12/31/1996 –1.96 0.46 1 –2.42 –2.42 –1.38 –0.90 –1.84 –1.36
01/31/1997 6.21 0.45 1 5.76 5.76 4.15 5.73 3.70 5.28
02/28/1997 0.81 0.39 1 0.42 0.42 1.65 –1.36 1.26 –1.75
03/31/1997 –4.16 0.43 1 –4.59 –4.59 –4.56 –3.75 –4.99 –4.18
04/30/1997 5.97 0.43 1 5.54 5.54 4.63 3.38 4.20 2.95
05/31/1997 6.14 0.49 1 5.65 5.65 5.25 6.05 4.76 5.56
06/30/1997 4.46 0.37 1 4.09 4.09 2.98 2.90 2.61 2.53
07/31/1997 7.94 0.43 1 7.51 7.51 6.00 7.92 5.57 7.49
08/31/1997 –5.56 0.41 1 –5.97 –5.97 –4.40 –3.29 –4.81 –3.70
09/30/1997 5.48 0.44 1 5.04 5.04 5.70 4.97 5.26 4.53
10/31/1997 –3.34 0.42 1 –3.76 –3.76 –2.76 –2.58 –3.18 –3.00
11/30/1997 4.63 0.39 0 4.24 0 3.20 2.91 2.81 2.52
12/31/1997 1.72 0.48 1 1.24 1.24 1.71 2.41 1.23 1.93
01/31/1998 1.11 0.43 1 0.68 0.68 –0.01 –0.27 –0.44 –0.70
02/28/1998 7.21 0.39 1 6.82 6.82 5.50 6.84 5.11 6.45
03/31/1998 5.12 0.39 1 4.73 4.73 5.45 3.84 5.06 3.45
04/30/1998 1.01 0.43 1 0.58 0.58 –0.52 1.07 –0.95 0.64
05/31/1998 –1.72 0.40 1 –2.12 –2.12 –1.25 –1.30 –1.65 –1.70
06/30/1998 4.06 0.41 1 3.65 3.65 3.37 4.06 2.96 3.65
07/31/1998 –1.06 0.40 1 –1.46 –1.46 0.10 –1.75 –0.30 –2.15
08/31/1998 –14.46 0.43 1 –14.89 –14.89 –15.79 –13.44 –16.22 –13.87
09/30/1998 6.41 0.46 0 5.95 0 5.00 4.86 4.54 4.40
10/31/1998 8.13 0.32 0 7.81 0 5.41 4.56 5.09 4.24
11/30/1998 6.06 0.31 0 5.75 0 5.19 5.56 4.88 5.25
12/31/1998 5.76 0.38 1 5.38 5.38 7.59 7.18 7.21 6.80
01/31/1999 4.18 0.35 1 3.83 3.83 2.60 3.11 2.25 2.76
02/28/1999 –3.11 0.35 1 –3.46 –3.46 –4.13 –3.01 –4.48 –3.36
03/31/1999 4.00 0.43 1 3.57 3.57 3.09 3.27 2.66 2.84
04/30/1999 3.87 0.37 1 3.50 3.5 2.26 2.22 1.89 1.85
05/31/1999 –2.36 0.34 1 –2.70 –2.7 –2.12 –1.32 –2.46 –1.66
06/30/1999 5.55 0.40 1 5.15 5.15 4.43 5.36 4.03 4.96
07/31/1999 –3.12 0.38 1 –3.50 –3.5 –3.15 –1.72 –3.53 –2.10
08/31/1999 –0.50 0.39 0 –0.89 0 –1.05 –2.06 –1.44 –2.45
09/30/1999 –2.74 0.39 1 –3.13 –3.13 –2.86 –1.33 –3.25 –1.72
10/31/1999 6.33 0.39 0 5.94 0 5.55 2.29 5.16 1.90
11/30/1999 2.03 0.36 1 1.67 1.67 3.23 3.63 2.87 3.27
12/31/1999 5.89 0.44 1 5.45 5.45 8.48 7.09 8.04 6.65
01/31/2000 –5.02 0.41 1 –5.43 –5.43 –4.09 –0.83 –4.50 –1.24
02/29/2000 –1.89 0.43 1 –2.32 –2.32 1.43 2.97 1.00 2.54
03/31/2000 9.78 0.47 0 9.31 0 6.84 5.86 6.37 5.39
04/30/2000 –3.01 0.46 1 –3.47 –3.47 –4.04 –4.55 –4.50 –5.01