Anon

Regression Models with Categorical Variables 135

tAble 6.3 (continued)
Mutual Fund
Month
Ended rM rft

Dummy

Dt

rM – rft =

xt Dtxt

A

rt

B

rt

A

yt

B

yt

05/31/2000 –2.05 0.50 1 –2.55 –2.55 –2.87 –4.47 –3.37 –4.97
06/30/2000 2.46 0.40 1 2.06 2.06 0.54 6.06 0.14 5.66
07/31/2000 –1.56 0.48 0 –2.04 0 –0.93 1.89 –1.41 1.41
08/31/2000 6.21 0.50 0 5.71 0 7.30 6.01 6.80 5.51
09/30/2000 –5.28 0.51 1 –5.79 –5.79 –4.73 –4.81 –5.24 –5.32
10/31/2000 –0.42 0.56 0 –0.98 0 –1.92 –4.84 –2.48 –5.40
11/30/2000 –7.88 0.51 0 –8.39 0 –6.73 –11.00 –7.24 –11.51
12/31/2000 0.49 0.50 0 –0.01 0 2.61 3.69 2.11 3.19
01/31/2001 3.55 0.54 0 3.01 0 0.36 5.01 –0.18 4.47
02/28/2001 –9.12 0.38 0 –9.50 0 –5.41 –8.16 –5.79 –8.54
03/31/2001 –6.33 0.42 0 –6.75 0 –5.14 –5.81 –5.56 –6.23
04/30/2001 7.77 0.39 0 7.38 0 5.25 4.67 4.86 4.28
05/31/2001 0.67 0.32 0 0.35 0 0.47 0.45 0.15 0.13
06/30/2001 –2.43 0.28 1 –2.71 –2.71 –3.48 –1.33 –3.76 –1.61
07/31/2001 –0.98 0.30 1 –1.28 –1.28 –2.24 –1.80 –2.54 –2.10
08/31/2001 –6.26 0.31 0 –6.57 0 –4.78 –5.41 –5.09 –5.72
09/30/2001 –8.08 0.28 0 –8.36 0 –6.46 –7.27 –6.74 –7.55
10/31/2001 1.91 0.22 0 1.69 0 1.01 2.30 0.79 2.08
11/30/2001 7.67 0.17 0 7.50 0 4.49 5.62 4.32 5.45
12/31/2001 0.88 0.15 1 0.73 0.73 1.93 2.14 1.78 1.99
01/31/2002 –1.46 0.14 1 –1.60 –1.6 –0.99 –3.27 –1.13 –3.41
02/28/2002 –1.93 0.13 1 –2.06 –2.06 –0.84 –2.68 –0.97 –2.81
03/31/2002 3.76 0.13 0 3.63 0 3.38 4.70 3.25 4.57
04/30/2002 –6.06 0.15 0 –6.21 0 –4.38 –3.32 –4.53 –3.47
05/31/2002 –0.74 0.14 0 –0.88 0 –1.78 –0.81 –1.92 –0.95
06/30/2002 –7.12 0.13 0 –7.25 0 –5.92 –5.29 –6.05 –5.42
07/31/2002 –7.80 0.15 0 –7.95 0 –6.37 –7.52 –6.52 –7.67
08/31/2002 0.66 0.14 0 0.52 0 –0.06 1.86 –0.20 1.72
09/30/2002 –10.87 0.14 0 –11.01 0 –9.38 –6.04 –9.52 –6.18
10/31/2002 8.80 0.14 0 8.66 0 3.46 5.10 3.32 4.96
11/30/2002 5.89 0.12 0 5.77 0 3.81 1.73 3.69 1.61
12/31/2002 –5.88 0.11 1 –5.99 –5.99 –4.77 –2.96 –4.88 –3.07
01/31/2003 –2.62 0.10 1 –2.72 –2.72 –1.63 –2.34 –1.73 –2.44
02/28/2003 –1.50 0.09 0 –1.59 0 –0.48 –2.28 –0.57 –2.37
03/31/2003 0.97 0.10 0 0.87 0 1.11 1.60 1.01 1.50
04/30/2003 8.24 0.10 0 8.14 0 6.67 5.44 6.57 5.34
05/31/2003 5.27 0.09 1 5.18 5.18 4.96 6.65 4.87 6.56
06/30/2003 1.28 0.10 1 1.18 1.18 0.69 1.18 0.59 1.08
07/31/2003 1.76 0.07 1 1.69 1.69 1.71 3.61 1.64 3.54
08/31/2003 1.95 0.07 1 1.88 1.88 1.32 1.13 1.25 1.06
09/30/2003 –1.06 0.08 1 –1.14 –1.14 –1.34 –1.12 –1.42 –1.20
10/31/2003 5.66 0.07 1 5.59 5.59 5.30 4.21 5.23 4.14
11/30/2003 0.88 0.07 1 0.81 0.81 0.74 1.18 0.67 1.11

(continued)