Anon

56 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
Aug-2000 −0.17 6.21 13.842 12.309 1.4497
Sep-2000 −0.03 −5.28 12.413 1.812 0.6286
Oct-2000 −0.06 −0.42 −3.386 −1.380 0.6608
Nov-2000 −0.31 −7.88 3.957 −3.582 1.6355
Dec-2000 −0.33 0.49 4.607 12.182 1.8554
Jan-2001 −0.22 3.55 −11.234 3.169 1.6346
Feb-2001 −0.16 −9.12 6.747 −3.740 0.8713
Mar-2001 −0.08 −6.33 1.769 0.017 0.5018
Apr-2001 0.22 7.77 5.025 −1.538 −0.4151
May-2001 0.00 0.67 0.205 5.934 0.6041
Jun-2001 0.01 −2.43 −7.248 0.004 0.3773
Jul-2001 −0.40 −0.98 −5.092 2.065 2.2357
Aug-2001 −0.14 −6.26 −0.149 −3.940 1.1458
Sep-2001 −0.41 −8.08 −10.275 −4.425 1.1647
Oct-2001 −0.39 1.91 1.479 −7.773 2.0930
Nov-2001 0.41 7.67 −0.833 7.946 −1.3789
Dec-2001 0.21 0.88 3.328 3.483 −0.6357
Jan-2002 0.00 −1.46 −3.673 1.407 0.8096
Feb-2002 −0.08 −1.93 −2.214 −0.096 0.9690
Mar-2002 0.56 3.76 10.623 7.374 −1.6632
Apr-2002 −0.44 −6.06 1.652 2.035 1.9393
May-2002 −0.06 −0.74 −3.988 1.247 0.8495
Jun-2002 −0.23 −7.12 −4.194 −3.767 0.8651
Jul-2002 −0.50 −7.80 −10.827 −4.957 1.2062
Aug-2002 −0.17 0.66 2.792 3.628 1.6882
Sep-2002 −0.45 −10.87 −8.677 −10.142 1.6199
Oct-2002 0.11 8.80 −2.802 5.143 −0.4559
Nov-2002 0.34 5.89 1.620 0.827 −0.0264
Dec-2002 −0.45 −5.88 5.434 −2.454 2.0654
Jan-2003 0.11 −2.62 −3.395 −0.111 0.0855
Feb-2003 −0.21 −1.50 −2.712 −1.514 1.3843
Mar-2003 0.05 0.97 4.150 −3.296 −0.0773
Apr-2003 −0.03 8.24 5.438 9.806 0.8254
May-2003 −0.33 5.27 10.519 5.271 1.8645
Jun-2003 0.08 1.28 1.470 1.988 −0.1986
Jul-2003 0.66 1.76 −5.649 3.331 −3.3620
Aug-2003 0.05 1.95 1.342 −1.218 0.6637
Sep-2003 −0.46 −1.06 4.993 −0.567 2.6469
Oct-2003 0.33 5.66 0.620 8.717 −0.9320
Nov-2003 0.13 0.88 0.136 1.428 0.2391