Table 3.19 continued.
Data set Period Parameters r re S Se ML # tr %tr>0 %d>0 SDR INTL. BUS. MACH. 10/31/78-6/29/01 [ 252, 126 ] 0.0766 -0.0072 -0.0004 -0.0014 -0.7582 102 0.539 0.665 1.0053 INTERNATIONAL PAPER 10/31/78-6/29/01 [ 756, 252 ] 0.0752 0.0208 -0.0005 0.0044 -0.7404 393 0.176 0.521 1.0723 J.P. MORGAN CHASE & CO. 10/31/78-6/29/01 [ 252, 10 ] 0.1552 0.0655 0.0104 0.0085 -0.8088 278 0.252 0.613 1.0458 JOHNSON & JOHNSON 10/31/78-6/29/01 [ 504, 126 ] 0.1558 -0.0036 0.0134 -0.0043 -0.5298 154 0.351 0.677 0.8972 MCDONALDS 10/31/78-6/29/01 [ 756, 126 ] 0.1543 0.0124 0.0141 0.0004 -0.5308 118 0.576 0.778 0.9448 MERCK 10/31/78-6/29/01 [ 1260, 126 ] 0.1291 -0.0403 0.0078 -0.0123 -0.6230 142 0.373 0.716 0.8361 MICROSOFT 1/09/92-6/29/01 [ 252, 5 ] 0.3537 0.0445 0.0399 0.0023 -0.4535 68 0.279 0.601 1.0901 MINNESOTA MNG. & MNFG. 10/31/78-6/29/01 [ 126, 63 ] 0.0876 -0.0054 0.0018 -0.0017 -0.5439 152 0.441 0.636 1.1148 PHILIP MORRIS 10/31/78-6/29/01 [ 252, 63 ] 0.2714 0.1080 0.0294 0.0126 -0.5213 161 0.373 0.736 1.1326 PROCTER & GAMBLE 10/31/78-6/29/01 [ 1260, 252 ] 0.0642 -0.0478 -0.0028 -0.0102 -0.5686 76 0.421 0.649 0.8839 SBC COMMUNICATIONS 9/18/89-6/29/01 [ 252, 126 ] 0.1133 0.0212 0.0091 0.0013 -0.7219 95 0.274 0.658 0.9916 SEARS, ROEBUCK & CO. 10/31/78-6/29/01 [ 756, 126 ] 0.0868 0.0119 0.0012 0.0020 -0.6139 178 0.191 0.656 1.0114 UNITED TECHNOLOGIES 10/31/78-6/29/01 [ 504, 252 ] 0.1285 0.0050 0.0083 -0.0013 -0.8343 160 0.344 0.723 0.9601 WAL - MART STORES 10/30/86-6/29/01 [ 756, 252 ] 0.2860 0.0805 0.0302 0.0051 -0.4652 72 0.306 0.777 0.8815 WALT DISNEY 10/31/78-6/29/01 [ 1008, 126 ] 0.2076 0.0413 0.0186 0.0028 -0.6100 87 0.552 0.700 1.0510
139