®PT2¯NOTES REGARDING THE DATA IN SUBDIRECTORY "CHAP2.DAT": I. The following data files in the subdirectory CHAP2.DAT each contain monthly return data for 120 observations during the period January 1978 through December 1987 (see text chapter 2 for full company names): MOBIL TEXACO IBM DEC DATGEN CONED PSNH WEYER BOISE MOTOR TANDY PANAM DELTA CONTIL CITCRP GERBER GENMIL In addition, there is a monthly return data series for the market as a whole, called MARKET, and for the 30-day US Treasury Bill - a riskfree asset called RKFREE. For both MARKET and RKFREE, there are 120 monthly observations covering the January 1978 thru December 1987 time period. However, there are several data series and data files that cover different time periods: CONOCO, a data series in the EVENTS data file, has monthly returns data covering only the January 1976 through September 1981 time period (when it was taken over by DuPont). Hence it has only 69 observations. More information on EVENTS is found below. APM, which has a number of data files covering the December 1977 thru December 1987 time period (121 observations). More information on APM is found below. EVENTS, which covers January 1976 through December 1985. More information on EVENTS and its data files is found below. GOLD, which covers January 1976 through December 1985. More information on GOLD and its data files is found below. All other files have 120 observations. II. Each data file giving returns represents the monthly return on a financial asset (common stocks, as well as a MARKET index, a "riskfree" (30-day T-bills) series called RKFREE, and the GOLD minderal), and has the following format: The first line indicates the name of the company whose return is found in that file, and the time period. YOU MAY NEED TO EDIT THIS LINE WITH AN EDITOR OR WORD PROCESSOR TO MATCH THE NEEDS OF YOUR STATISTICAL SOFTWARE. SEE SECTION 1.2 OF CHAPTER 1 IN THE TEXT FOR FURTHER DETAILS. The next 120 lines (except as noted above, when the number of observations differs from 120) give monthly returns for the company or asset named in the first line, including any dividends paid, as in equation (2.1) in the text. Note that the return is a monthly one in monthly rates, i.e. it is not an annualized return. III. The APM file contains supplementary data for use in running a regression based on Ross' Arbitrage Pricing Model. The variables in this file cover December 1977 through December 1987, and therefore each include 121 observations. The variables are: POIL ($) Nominal price per barrel of domestic crude oil, Domestic First Purchase Price FRBIND Federal Reserve Board index of industrial production, 1972=100, Total Industry Industry Production, series is seasonally adjusted CPI Consumer Price Index, All Items (1967=100) The source of the data series for FRBIND and CPI is various annual reports of the Economic Report of the President, Washington, DC: US Government Printing Office. For POIL, the data source is the Monthly Energy Review published by the US Department of Energy, various July issues. IV. The datafile named EVENTS contains data over the January 1976 - December 1985 (not January 1978 - December 1987) time period. Data series on monthly returns are from the CRSP source noted above. There are 120 monthly observations. Variables in EVENTS are: DATE YYMM - The date -- the first two digits are the year (e.g., 1978 is 78) and the next two digits are the month (January is 01, December is 12) GPU General Public Utilities DOW Dow Chemical Company DUPONT E. I. DuPont Company MARK76 The CRSP overall market rate of return, which differs from MARKET only in the time interval -- MARK76 is 1/76 thru 12/85, while MARKET is 1/78 thru 12/87. RKFR76 The riskfree 30-day rate of return on US Treasury Bills, which differs from MARKET only in the time interval - RKFR76 is 1/76 thru 12/85, while RKFREE is 1/78 thru 12/87. Two other data series in this file contains only 69 observations, from 1/76 through 9/81. They are DATE1 and CONOCO: DATE1 Just as in DATE above, but having only 69 observa- tions from 1/76 thru 9/81 CONOCO Conoco (only 69 observations - 1/76 thru 9/81 V. Finally, the data file called GOLD contains three data series, all covering the January 1976 thru December 1985 time period. All series in this data file have 120 observations. The data series in the GOLD data file include: GOLD The percent change in the price of gold over the month MARK76 The CRSP overall market rate of return - see description in the EVENTS data file discussed above RKFR76 The riskfree 30-day monthly rate of return on US Treasury bills -- see description in the EVENTS data file discussed above The source of the GOLD data is various issues of the Wall Street Journal.