wacc_emp.ppt

Weighted average cost of capitalTimothy A. ThompsonExecutive Masters Program

What is the WACC?WACC = (D/D+E) rd (1-Tc) + (E/D+E) reL

D/D+E and E/D+E are capital structure weights evaluated at market value, based on the firms target capital structureTc is the firms marginal tax bracket, but the effective tax rate is often used as estimaterd is the cost of debt based on the risk of the debt (which depends on the debt ratio)reL is the required rate of return on equity (I.e. the cost of equity)the cost of equity depends on the business risk of the assetsand on the debt ratio

Why the WACC?Measures the returns demanded by all providers of capitalInvestments must offer this return to be worth using the capital providers moneyAs an opportunity costThe rate of return investors could earn elsewhere on projects with the same risk and capital structure

WACC incorporates debt tax shieldsThe (1-T) term incorporates the fact that debt returns are tax deductibleDiscounting project cash flows at WACC is an alternative to adding in the value of tax shields (ala AHP)Key assumption: constant D/D+E ratio is reasonable as a target capital structure

Risk and returnIt is reasonable to believe that the higher the risk of an investment, the higher its required return. But What is risk, and What is the relation between risk and required return?

Capital Asset Pricing ModelThe result will be that risk of investment (stock j) is measured by its beta ( j) Any risky security has a required return given by:the risk free rate of return, rf, plusa risk premium which is proportional to its beta riskEquation: rj = rf + j (avg. risk prem.)

Diversification: roulette wheelFair roulette wheel40 slots, 20 black, 20 red (no house slots)probability of red = 50%Bet $10,000 on red, one spinrisky?50% prob of 100% lossBet $1 per spin on 10,000 spins: as risky?Why is it less risky?

Diversification reduces riskInvestors dont hold only one stockSmart investors hold diversified portfoliosWhy doesnt risk go to zero as in the roulette wheel?Because stocks are correlated with each other, with the market as a wholeThis is risk you can not diversify awayFor risk you must bear, you demand a premium!

What measures non-diversifiable risk?BetaCovariance measures the degree to which two things move together on averageThe more a stock moves up and down with the market, the more non-diversifiable risk it hasHow much risk is in the market portfolio itself?The variance of the marketBeta = Covariance of stock with market/Variance of the market

What is the beta of the market?Beta of market portfolio is oneCovariance of market with itself/Variance of marketCovariance of anything with itself is its own varianceThe market risk premiumrm - rf is the risk premium on the market, so it is the risk premium for a beta of oneBack to the equation

CAPMrj = rf + j (rm - rf)

assets with betas less than one demand lower returns than rmassets with betas greater than one demand higher returns than rm

How do you apply CAPM?Common assumption: discounting future, long term cash flowsso, you want a long term discount rate (forward looking if possible)rf is long term government bond rate (forward looking, I.e., current long term T bond rate)rm - rf is expected excess return on a very diversified portfolio of stocks (S&P500?) over long term government bonds (forward looking not available, so often use historical average)

How do you estimate beta?Many services calculate beta estimates for stocks (some bonds)Value Line, investment banksThe beta is a statistical estimate Slope coefficient of a linear regression of the stocks returns against the proxy for the market portfolios returnsA stocks beta is a levered betaBased on the debt ratio it has now

Estimating Charles Schwab beta

Chart1

0.05069958850.0025012541

0.04313725490.0368181446

0.0413533835-0.048101229

-0.17516245490.0381044538

0.01315789470.0212675858

-0.1861471861-0.037902635

0.05042553190.0980097084

-0.0862944162-0.0413940455

-0.20.0348197715

0.12833333330.0313283609

0.22839506170.0986069233

0.05025125630.0465803123

0.16019138760.0346130432

0.07024793390.0188098165

0.12741312740.0637387575

-0.1006849315-0.0523047035

0.07633587790.073868442

0.21276595740.0180747828

0.01929824560.0045455669

0.13362068970.0966544898

0.04942965780.0076924303

0.00507246380.0477288026

-0.0794223827-0.0335613416

0.01568627450.0509675453

-0.08664092660.078255675

-0.0677966102-0.049042991

-0.0227272727-0.0987726215

0.05841860470.0288705917

0.06607929520.0281125881

-0.1818181818-0.0566000573

0.08363636360.0761424529

0.14953271030.1046709522

-0.0365853659-0.0365474164

0.19645569620.040447374

-0.0989399293-0.0788577995

0.09411764710.0355777751

0.14953405020.0534942239

0.1093750.0972976444

0.09014084510.0682408395

0.0638759690.06344015

0.02189781020.0847561302

0.25357142860.0771301545

0.05310541310.099709474

0.01084010840.0277450712

0.24396782840.089878397

-0.2098275862-0.0193200618

0.06010928960.1049925295

-0.17010309280.0416647737

0.25043478260.0708134578

0.01492537310.0431578111

0.01470588240.0320174551

-0.05159420290.0640143952

-0.01020408160.0676665944

0.0103092784-0.0113035994

-0.0132653061-0.1163445232

0.03626943010.0802999878

-0.080.1280082753

0.08913043480.038311182

0.210.1572718084

0.0578512397-0.0197794579

Y

Predicted Y

Returns on Market

Schwab Returns

Schwab's returns vs. Market returns

Copyright

THE COST OF CAPITAL AT AMERITRADE

Harvard Business School Case 201-046 (2nd edition)

Case Software 2-201-711

Copyright 2000 by the President and Fellows of Harvard College

Professors Mark Mitchell and Erik Stafford prepared this case with the assistance of Research Associates Jose Camacho and Aldo Sesia as the basis for class discussion rather than to illustrate either effective or ineffective handling of an administrative

&CCopyright

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Exhibit 1

(in millions of dollars)

199719961995

Net Revenues

Transaction Income51.967%36.567%24.068%

Net Interest18.224%11.521%8.424%

Other7.19%6.412%2.67%

Total Net Revenues77.2100%54.3100%35.0100%

42.1%55.2%

Expenses Excluding Interest% of rev% of rev% of rev

Employee Compensation19.325.0%14.025.9%8.524.2%

Commissions and Clearance3.34.3%2.54.7%2.57.2%

Communications5.67.3%3.76.8%2.46.7%

Occupancy and Equipment Cost5.47.0%2.95.3%1.64.6%

Advertising and Promotion14.018.1%7.513.9%4.813.8%

Provision for Losses0.10.1%0.10.3%1.44.1%

Amortization of Goodwill0.40.5%0.40.7%0.10.3%

Other7.810.1%4.78.7%2.88.1%

Total Expenses Excluding Interest55.872.3%35.966.1%24.269.1%

Income Before Income Taxes21.427.7%18.433.9%10.830.9%

0.00.00.0

Taxes7.67.33.8

Net Income13.817.9%11.220.5%7.020.1%

23.9%58.7%

EPS$1.00$0.87$0.55

14.9%58.2%

Shares Outstanding (millions)13.7712.8112.81

Source: Ameritrade Annual Report, 1997.

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Exhibit 2

(millions of dollars)

19971996

ASSETS

Cash and Cash Equivalents53.5215.77

Cash and Investments Segregated in Compliance with Federal Regulations319.76175.67

Receivable from Brokers, Dealers, and Clearing Organizations17.8215.10

Receivable from Customers and Correspondents325.41166.08

Furniture, Equipment, and Leasehold Improvements8.713.75

Goodwill6.356.71

Equity Investments7.607.16

Other Investments5.005.00

Deferred Income Taxes0.040.44

Other Assets13.156.01

0.00.0

Total Assets757.36401.68

0.00.0

LIABILITIES AND STOCKHOLDERS' EQUITY0.00.0

Liabilities:0.00.0

Payable to Brokers, Dealers, and Clearing Organizations1.401.19

Payable to Customers and Correspondents666.28356.94

Accounts Payable and Accrued Liabilities19.257.22

Notes Payable to Bank0.04.85

Income Taxes Payable3.430.81

0.00.0

Total Liabilities690.37371.02

0.00.0

Stockholders' Equity:0.00.0

Class A Common Stock0.130.11

Class B Common Stock0.010.01

Additional Paid in Capital23.300.81

Retained Earnings43.5529.72

0.00.0

Total Stockholders' Equity66.9930.66

0.00.0

Total Liabilities and Stockholders' Equity757.36401.68

Source: Ameritrade Annual Report, 1997.

&A

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Exhibit 3

Prevailing Yields on U.S. Government Securities (August 31, 1997)

Annualized Yield to Maturity

3-Month T-Bills5.24%

1-Year Bonds5.59%

5-Year Bonds6.22%

10-Year Bonds6.34%Long term risk free rate



Exp. Future ST Tbill rate4.99%Using the 20's

Historic Average Total Annual Returns on U.S. Government Securities and Common Stocks (1950-1996)

Average Annual ReturnStandard DeviationRisk premiumRisk premium

over T-Billsover T-bonds

T-Bills5.2%3.0%-0.8%

6.4%6.6%1.2%0.4%

6.0%10.8%0.8%

14.0%16.8%8.8%8.0%

17.8%25.6%12.6%11.8%

Historic Average Total Annual Returns on U.S. Government Securities and Common Stocks (1929-1996)

Average Annual ReturnStandard DeviationRisk premiumRisk premium

over T-billsover T-bonds

T-Bills3.8%3.3%-1.7%

5.4%5.8%1.6%-0.1%

5.5%9.2%1.7%0.0%

12.7%20.3%8.9%7.2%

17.7%34.1%13.9%12.2%

CAPM Parameters

Define risk free rateDefine risk free rate

as short term rateas short term rate

Risk free rate, rf5.0%6.7%

Market risk premium, rm-rf8.9%7.2%

Expected return on market13.9%13.9%

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Exhibit 4

Debt/ValueDebt/Capital

(Market Values)(Book Values)

CurrentAverage1992-1996CurrentAverage1992-1996BrokerageRevenues (%)

0.000.000.000.0057

0.600.500.690.6035

Charles Schwab Corp (Discount Brokerage)0.050.080.250.3082

E*Trade (Discount Brokerage)0.00NA0.00NA95

0.79NA0.8013

0.000.000

0.570.520.770.6537

0.570.530.700.6312

0.00NA0.00NA0

0.510.530.630.5846

Quick & Reilly Group (Discount Brokerage)0.000.000.000.0081

0.050.040.070.0651

Waterhouse Investor Srvcs (Discount Brokerage)NA0.38NA99

0.00NA0.00NA0

Source: Compustat; Standard & Poor's; company public filings.

&A

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Sheet7

dfSSMSFSignificance F

10.19091152520.190911525218.73214512850.0000601845

580.59111588060.0101916531

590.7820274058

CoefficientsStandard Errort StatP-valueLower 95%Upper 95%Lower 95.0%Upper 95.0%

0.00629127220.01446483070.43493576260.66522315-0.02266321060.0352457549-0.02266321060.0352457549

X Variable 12.29698062150.53071770284.32806482490.00006018451.23463451283.35932673031.23463451283.3593267303

RESIDUAL OUTPUT

ObservationPredicted YResiduals

10.00250125410.0481983343

20.03681814460.0063191103

3-0.0481012290.0894546124

40.0381044538-0.2132669086

50.0212675858-0.0081096911

6-0.037902635-0.1482445512

70.0980097084-0.0475841765

8-0.0413940455-0.0449003707

90.0348197715-0.2348197715

100.03132836090.0970049724

110.09860692330.1297881384

120.04658031230.003670944

130.03461304320.1255783443

140.01880981650.0514381173

150.06373875750.0636743699

16-0.0523047035-0.048380228

170.0738684420.0024674358

180.01807478280.1946911747

190.00454556690.0147526787

200.09665448980.0369661998

210.00769243030.0417372275

220.0477288026-0.0426563388

23-0.0335613416-0.0458610411

240.0509675453-0.0352812707

250.078255675-0.1648966017

26-0.049042991-0.0187536192

27-0.09877262150.0760453487

280.02887059170.029548013

290.02811258810.0379667071

30-0.0566000573-0.1252181246

310.07614245290.0074939108

320.10467095220.0448617581

33-0.0365474164-0.0000379494

340.0404473740.1560083222

35-0.0788577995-0.0200821299

360.03557777510.058539872

370.05349422390.0960398262

380.09729764440.0120773556

390.06824083950.0219000055

400.063440150.000435819

410.0847561302-0.06285832

420.07713015450.176441274

430.099709474-0.0466040609

440.0277450712-0.0169049628

450.0898783970.1540894314

46-0.0193200618-0.1905075244

470.1049925295-0.0448832399

480.0416647737-0.2117678665

490.07081345780.1796213248

500.0431578111-0.028232438

510.0320174551-0.0173115728

520.0640143952-0.1156085981

530.0676665944-0.077870676

54-0.01130359940.0216128777

55-0.11634452320.1030792171

560.0802999878-0.0440305577

570.1280082753-0.2080082753

580.0383111820.0508192528

590.15727180840.0527281916

60-0.01977945790.0776306976

Sheet7

0.0506995885-0.00165

0.04313725490.01329

0.0413533835-0.02368

-0.17516245490.01385

0.01315789470.00652

-0.1861471861-0.01924

0.05042553190.03993

-0.0862944162-0.02076

-0.20.01242

0.12833333330.0109

0.22839506170.04019

0.05025125630.01754

0.16019138760.01233

0.07024793390.00545

0.12741312740.02501

-0.1006849315-0.02551

0.07633587790.02942

0.21276595740.00513

0.0192982456-0.00076

0.13362068970.03934

0.04942965780.00061

0.00507246380.01804

-0.0794223827-0.01735

0.01568627450.01945

-0.08664092660.03133

-0.0677966102-0.02409

-0.0227272727-0.04574

0.05841860470.00983

0.06607929520.0095

-0.1818181818-0.02738

0.08363636360.03041

0.14953271030.04283

-0.0365853659-0.01865

0.19645569620.01487

-0.0989399293-0.03707

0.09411764710.01275

0.14953405020.02055

0.1093750.03962

0.09014084510.02697

0.0638759690.02488

0.02189781020.03416

0.25357142860.03084

0.05310541310.04067

0.01084010840.00934

0.24396782840.03639

-0.2098275862-0.01115

0.06010928960.04297

-0.17010309280.0154

0.25043478260.02809

0.01492537310.01605

0.01470588240.0112

-0.05159420290.02513

-0.01020408160.02672

0.0103092784-0.00766

-0.0132653061-0.05339

0.03626943010.03222

-0.080.05299

0.08913043480.01394

0.210.06573

0.0578512397-0.01135

Y

Predicted Y

Returns on Market

Schwab Returns

Schwab's returns vs. Market returns

Sheet8

Qucik and Reilly


10.17580572060.175805720622.07259426040.0000165658

580.46196344990.0079648871

590.6377691705


-0.00267227050.0127873587-0.20897751850.8351980159-0.02826893090.0229243899-0.02826893090.0229243899

X Variable 12.2042343140.46917090154.69814796070.00001656581.26508742123.14338120681.26508742123.1433812068

RESIDUAL OUTPUT


1-0.0063092571-0.0026997519

20.02662200350.0162870874

3-0.05486853910.059254504

40.0278563748-0.2767646717

50.0116993372-0.007978407

6-0.04508173870.0218259247

70.0853428057-0.1270094723

8-0.04843217490.0275626096

90.02470431970.0007733873

100.02135388350.0221243773

110.08591590660.1262269506

120.0359899994-0.0606205412

130.02450593860.0664031523

140.0093408065-0.0382296954

150.0524556297-0.0091863989

16-0.0589022878-0.014830431

170.062176303-0.0183952085

180.00863545150.1518621561

19-0.00434748860.0692825535

200.08404230740.0574211072

21-0.00132768760.0370419733

220.0370921165-0.0474369441

23-0.0409157358-0.001592975

240.04020008690.0557999131

250.0663863906-0.0768759011

26-0.0557722751-0.1344750747

27-0.1034939480.0065776485

280.01899535280.0102729399

290.01826795550.0052391535

30-0.0630242060.0072102525

310.064358495-0.0889890369

320.09173508520.0949315815

33-0.0437812405-0.0716033749

340.0301046938-0.0349356116

35-0.08438323650.0502084792

360.0254317170.1210329295

370.04262474470.0454809822

380.0846594930.0583364584

390.056775929-0.0424902147

400.05216907920.0921971179

410.07262437370.0842987033

420.06530631570.108363897

430.0869739391-0.0357793998

440.017915278-0.0445386546

450.07753981620.149884933

46-0.0272494831-0.1961837594

470.092043678-0.0206752569

480.0312729379-0.2233911645

490.05924467140.0749016701

500.03270569020.099767428

510.02201515380.10179437

520.0527201378-0.0188218327

530.05622487040.0567259493

54-0.0195567053-0.0210337006

55-0.1203563405-0.0065667364

560.0683481591-0.0346917714

570.1141301058-0.2081471998

580.0280547558-0.0374887181

590.142212051-0.058212051

60-0.027690330.0805537661

Sheet8

-0.009009009-0.00165

0.04290909090.01329

0.0043859649-0.02368

-0.24890829690.01385

0.00372093020.00652

-0.023255814-0.01924

-0.04166666670.03993

-0.0208695652-0.02076

0.0254777070.01242

0.04347826090.0109

0.21214285710.04019

-0.02463054190.01754

0.09090909090.01233

-0.02888888890.00545

0.04326923080.02501

-0.0737327189-0.02551

0.04378109450.02942

0.16049760770.00513

0.0649350649-0.00076

0.14146341460.03934

0.03571428570.00061

-0.01034482760.01804

-0.0425087108-0.01735

0.0960.01945

-0.01048951050.03133

-0.1902473498-0.02409

-0.0969162996-0.04574

0.02926829270.00983

0.0235071090.0095

-0.0558139535-0.02738

-0.02463054190.03041

0.18666666670.04283

-0.1153846154-0.01865

-0.00483091790.01487

-0.0341747573-0.03707

0.14646464650.01275

0.08810572690.02055

0.14299595140.03962

0.01428571430.02697

0.14436619720.02488

0.15692307690.03416

0.17367021280.03084

0.05119453920.04067

-0.02662337660.00934

0.22742474920.03639

-0.2234332425-0.01115

0.07136842110.04297

-0.19211822660.0154

0.13414634150.02809

0.13247311830.01605

0.12380952380.0112

0.03389830510.02513

0.11295081970.02672

-0.0405904059-0.00766

-0.1269230769-0.05339

0.03365638770.03222

-0.0940170940.05299

-0.00943396230.01394

0.0840.06573

0.0528634361-0.01135

Y

Predicted Y

X Variable 1

Y

X Variable 1 Line Fit Plot

Sheet9

Waterhouse


10.33291980030.332919800315.73372086230.0002127683

551.16377995870.0211596356

561.496699759


0.00529070360.02128433360.2485726670.8046171929-0.03736404360.0479454507-0.03736404360.0479454507

X Variable 13.1899101490.80419752083.96657545780.00021276831.57826269914.80155759891.57826269914.8015575989

RESIDUAL OUTPUT


10.0000273518-0.0363909882

20.04768460940.183447466

3-0.07024636880.2369130354

40.0494709591-0.2366630774

50.02608891770.0284565368

6-0.0560831677-0.1565605105

70.1326638158-0.1034667355

8-0.0609318311-0.1475788072

90.04490938760.0005451578

100.04006072420.0468957976

110.13349319240.1945068076

120.0612417276-0.0732899203

130.04462229570.1870850214

140.0226757139-0.0573291792

150.0850703564-0.0337883051

16-0.0760839043-0.0214770713

170.09913786010.3738351128

180.02165494260.2077028555

190.0028663718-0.017791745

200.13078176880.1684606554

210.00723654880.1687165304

220.0628366826-0.1201932911

23-0.0500542375-0.132485445

240.067334456-0.2420917375

250.1052305885-0.1052305885

26-0.07155423190.0362601143

27-0.14061578670.0003718842

280.0366475203-0.1288461019

290.03559485-0.08246985

30-0.0820490363-0.0409017834

310.1022958712-0.1303332544

320.14191455520.1811623678

33-0.0542011207-0.1149165263

340.05272466750.0888682529

35-0.1129592657-0.0033198041

360.045962058-0.1863129352

370.07084335710.1128301123

380.13167494370.0666009184

390.0913225803-0.1632650263

400.0846556681-0.11566342

410.11425803430.0057419657

420.10366753260.2106181817

430.13502434930.0660626072

440.03508446440.0101644044

450.1213715339-0.007834416

46-0.0302767946-0.1952134015

470.1423611427-0.1423611427

480.05441531990.1987492371

490.0948952796-0.1403498251

500.0564887615-0.0141607191

510.04101769720.314312252

520.08545314560.0006891765

530.0905251027-0.0801802752

54-0.01914400820.0327958853

55-0.16501859930.1784866128

560.1080696086-0.1088669508

570.1743240424-0.1609461159

Sheet9

-0.0363636364-0.00165

0.23113207550.01329

0.1666666667-0.02368

-0.18719211820.01385

0.05454545450.00652

-0.2126436782-0.01924

0.02919708030.03993

-0.2085106383-0.02076

0.04545454550.01242

0.08695652170.0109

0.3280.04019

-0.01204819280.01754

0.23170731710.01233

-0.03465346530.00545

0.05128205130.02501

-0.0975609756-0.02551

0.4729729730.02942

0.22935779820.00513

-0.0149253731-0.00076

0.29924242420.03934

0.17595307920.00061

-0.05735660850.01804

-0.1825396825-0.01735

-0.17475728160.01945

00.03133

-0.0352941176-0.02409

-0.1402439024-0.04574

-0.09219858160.00983

-0.0468750.0095

-0.1229508197-0.02738

-0.02803738320.03041

0.32307692310.04283

-0.1691176471-0.01865

0.14159292040.01487

-0.1162790698-0.03707

-0.14035087720.01275

0.18367346940.02055

0.19827586210.03962

-0.0719424460.02697

-0.03100775190.02488

0.120.03416

0.31428571430.03084

0.20108695650.04067

0.04524886880.00934

0.11353711790.03639

-0.2254901961-0.01115

00.04297

0.2531645570.0154

-0.04545454550.02809

0.04232804230.01605

0.35532994920.0112

0.08614232210.02513

0.01034482760.02672

0.0136518771-0.00766

0.0134680135-0.05339

-0.00079734220.03222

0.01337792640.05299

Y

Predicted Y

X Variable 1

Y


Exhibit 5

Monthly data used for regressions

AmeritradeStock

DateSharesPriceDividendStock Splitreturn

31-Mar-9713,15315.6251.000

30-Apr-9713,15312.5000.0-0.2

30-May-9713,15314.0000.00.12

30-Jun-9714,51815.7500.00.125

31-Jul-9714,51815.3750.0-0.0238095238

29-Aug-9714,51818.8130.00.2236097561

Charles Schwab

DateSharesPriceDividendStock SplitReturn

30-Sep-8729,12115.8750.0

30-Oct-8729,1217.8750.0-0.5039370079

30-Nov-8729,1216.6250.0-0.1587301587

31-Dec-8725,3886.0000.0-0.0943396226

29-Jan-8825,3886.5000.00.0833333333

29-Feb-8825,3889.0000.00.3846153846

31-Mar-8825,3887.3750.0-0.1805555556

29-Apr-8825,3887.6250.00.0338983051

31-May-8825,3886.8750.0-0.0983606557

30-Jun-8825,2947.2500.00.0545454545

29-Jul-8825,2947.5000.00.0344827586

31-Aug-8825,2946.7500.0-0.1

30-Sep-8825,3286.7500.00

31-Oct-8825,3287.5000.00.1111111111

30-Nov-8825,3286.7500.0-0.1

30-Dec-8825,3546.7500.00

31-Jan-8925,35410.2500.00.5185185185

28-Feb-8925,3548.6250.0-0.1585365854

31-Mar-8925,3548.8750.00.0289855072

28-Apr-8925,35410.1250.00.1408450704

31-May-8925,35411.7500.0300.1634567901

30-Jun-8925,35211.0000.0-0.0638297872

31-Jul-8925,35216.5000.0300.5027272727

31-Aug-8925,35215.7500.0-0.0454545455

29-Sep-8925,38614.0000.0-0.1111111111

31-Oct-8925,38613.0000.030-0.0692857143

30-Nov-8925,38612.5000.0-0.0384615385

29-Dec-8925,33213.8750.00.11

31-Jan-9025,33213.5000.030-0.0248648649

28-Feb-9025,33215.2500.00.1296296296

30-Mar-9025,33217.0000.00.1147540984

30-Apr-9025,33215.1250.030-0.1085294118

31-May-9025,33215.7500.00.041322314

29-Jun-9025,09915.2500.0-0.0317460317

31-Jul-9025,09913.6250.030-0.1045901639

31-Aug-9025,09912.6250.0-0.0733944954

28-Sep-9025,25511.3750.0-0.099009901

31-Oct-9025,25512.6250.0400.1134065934

30-Nov-9025,25511.8750.0-0.0594059406

31-Dec-9024,46411.3750.0-0.0421052632

31-Jan-9124,46416.0000.0400.4101098901

28-Feb-9124,46418.2500.00.140625

28-Mar-9124,46420.2500.00.1095890411

30-Apr-9124,46418.1250.040-0.102962963

31-May-9124,46422.5000.00.2413793103

28-Jun-9124,43524.7500.00.1

31-Jul-9124,43527.5000.0500.1131313131

30-Aug-9124,43528.3750.00.0318181818

30-Sep-9125,59631.1250.00.0969162996

31-Oct-9125,59637.7500.0600.2147791165

29-Nov-9125,59632.7500.0-0.1324503311

31-Dec-9138,39430.3750.01.50.391221374

31-Jan-9238,39431.8750.0400.0506995885-0.001650

28-Feb-9238,39433.2500.00.04313725490.013290

31-Mar-9238,47934.6250.00.0413533835-0.023680

30-Apr-9238,47928.5000.060-0.17516245490.013850

29-May-9238,47928.8750.00.01315789470.006520

30-Jun-9238,62623.5000.0-0.1861471861-0.019240

31-Jul-9238,62624.6250.0600.05042553190.039930

31-Aug-9238,62622.5000.0-0.0862944162-0.020760

30-Sep-9238,14918.0000.0-0.20.012420

30-Oct-9238,14920.2500.0600.12833333330.010900

30-Nov-9238,14924.8750.00.22839506170.040190

31-Dec-9237,74126.1250.00.05025125630.017540

29-Jan-9337,74130.2500.0600.16019138760.012330

26-Feb-9337,74132.3750.00.07024793390.005450

31-Mar-9337,74136.5000.00.12741312740.025010

30-Apr-9337,74132.7500.075-0.1006849315-0.025510

28-May-9337,74135.2500.00.07633587790.029420

30-Jun-9356,61228.5000.01.50.21276595740.005130

30-Jul-9356,61229.0000.0500.0192982456-0.000760

31-Aug-9356,61232.8750.00.13362068970.039340

30-Sep-9357,62534.5000.00.04942965780.000610

29-Oct-9357,62534.6250.0500.00507246380.018040

30-Nov-9357,81531.8750.0-0.0794223827-0.017350

31-Dec-9357,81532.3750.00.01568627450.019450

31-Jan-9457,81529.5000.070-0.08664092660.031330

28-Feb-9457,81527.5000.0-0.0677966102-0.024090

31-Mar-9457,81526.8750.0-0.0227272727-0.045740

29-Apr-9457,81528.3750.0700.05841860470.009830

31-May-9457,81530.2500.00.06607929520.009500

30-Jun-9457,11424.7500.0-0.1818181818-0.027380

29-Jul-9457,11426.7500.0700.08363636360.030410

31-Aug-9457,11430.7500.00.14953271030.042830

30-Sep-9456,82929.6250.0-0.0365853659-0.018650

31-Oct-9456,82935.3750.0700.19645569620.014870

30-Nov-9457,32531.8750.0-0.0989399293-0.037070

30-Dec-9457,32534.8750.00.09411764710.012750

31-Jan-9557,32540.0000.0900.14953405020.020550

28-Feb-9557,32544.3750.00.1093750.039620

31-Mar-9585,98832.2500.01.50.09014084510.026970

28-Apr-9585,98834.2500.0600.0638759690.024880

31-May-9585,98835.0000.00.02189781020.034160

30-Jun-9585,89643.8750.00.25357142860.030840

31-Jul-9585,89646.1250.0800.05310541310.040670

31-Aug-9587,06146.6250.00.01084010840.009340

29-Sep-95174,12229.0000.020.24396782840.036390

31-Oct-95174,12222.8750.040-0.2098275862-0.011150

30-Nov-95174,67824.2500.00.06010928960.042970

29-Dec-95174,67820.1250.0-0.17010309280.015400

31-Jan-96174,67825.1250.0400.25043478260.028090

29-Feb-96174,67825.5000.00.01492537310.016050

29-Mar-96174,67825.8750.00.01470588240.011200

30-Apr-96174,03224.5000.040-0.05159420290.025130

31-May-96174,03224.2500.0-0.01020408160.026720

28-Jun-96174,98924.5000.00.0103092784-0.007660

31-Jul-96174,98924.1250.050-0.0132653061-0.053390

30-Aug-96174,98925.0000.00.03626943010.032220

30-Sep-96175,16623.0000.0-0.080.052990

31-Oct-96175,16625.0000.0500.08913043480.013940

29-Nov-96175,16630.2500.00.210.065730

31-Dec-96175,17332.0000.00.0578512397-0.011350

31-Jan-97175,17337.5000.00.171875

28-Feb-97175,17337.5000.0500.0013333333

31-Mar-97175,17332.0000.0-0.1466666667

30-Apr-97175,06836.6250.00.14453125

30-May-97175,06840.6250.0500.1105802048

30-Jun-97175,81340.5000.0-0.0030769231

31-Jul-97176,42247.0000.00.1604938272

29-Aug-97176,42242.7500.050-0.0893617021

E*Trade

DateSharesPriceDividendStock Split

30-Aug-9629,39310.5000.0

30-Sep-9629,53913.1880.00.256

31-Oct-9629,53911.1250.0-0.156430088

29-Nov-9629,53910.9380.0-0.0168089888

31-Dec-9629,54511.5000.00.0513805083

31-Jan-9729,54517.6250.00.5326086957

28-Feb-9729,54524.0000.00.3617021277

31-Mar-9730,44018.0000.0-0.25

30-Apr-9730,44015.0000.0-0.1666666667

30-May-9730,44017.6250.00.175

30-Jun-9730,95819.6250.00.1134751773

31-Jul-9730,95830.5000.00.5541401274

29-Aug-9730,95832.1250.00.0532786885

Quick & Reilly


31-Jan-846,31817.6250.0

29-Feb-846,31815.0000.050-0.1460992908

30-Mar-846,31814.8750.0-0.0083333333

30-Apr-846,31817.1250.00.1512605042

31-May-846,31817.3750.00.0145985401

29-Jun-846,31818.0000.0500.0388489209

31-Jul-846,31814.7500.0-0.1805555556

31-Aug-846,31818.0000.0500.2237288136

28-Sep-846,31817.0000.0-0.0555555556

31-Oct-846,31817.8750.00.0514705882

30-Nov-846,31815.2500.050-0.1440559441

31-Dec-846,31815.5000.00.0163934426

31-Jan-856,31823.3750.00.5080645161

28-Feb-856,31823.7500.1100.0207486631

29-Mar-856,31823.1250.0-0.0263157895

30-Apr-856,31820.6250.0-0.1081081081

31-May-856,31822.6250.0600.0998787879

28-Jun-856,31824.0000.00.0607734807

31-Jul-856,31824.1250.00.0052083333

30-Aug-856,31822.8750.060-0.0493264249

30-Sep-856,31820.1250.0-0.1202185792

31-Oct-856,31822.2500.00.1055900621

29-Nov-856,31825.5000.0600.1487640449

31-Dec-856,31832.5000.00.2745098039

31-Jan-866,31836.3750.00.1192307692

28-Feb-866,31839.1250.1700.0802749141

31-Mar-866,31839.0000.0-0.0031948882

30-Apr-866,31830.3750.0-0.2211538462

30-May-8611,14933.3750.0700.1010699588

30-Jun-8611,14935.5000.00.063670412

31-Jul-8611,14929.0000.0-0.1830985915

29-Aug-8611,14928.7500.070-0.0062068966

30-Sep-8611,14923.8750.0-0.1695652174

31-Oct-8611,14932.1250.00.3455497382

28-Nov-8611,14929.5000.070-0.0795330739

31-Dec-8611,14926.7500.0-0.093220339

30-Jan-8711,14936.1250.00.3504672897

27-Feb-8711,14936.8750.2000.0262975779

31-Mar-8711,14936.0000.0-0.0237288136

30-Apr-8716,72421.3750.01.5-0.109375

29-May-8716,72421.5000.0550.0084210526

30-Jun-879,47719.2500.0-0.1046511628

31-Jul-879,47720.2500.00.0519480519

31-Aug-879,47724.6250.0550.2187654321

30-Sep-879,47723.0000.0-0.0659898477

30-Oct-879,47712.1250.0-0.472826087

30-Nov-879,47711.6250.055-0.0367010309

31-Dec-879,47712.5000.00.0752688172

29-Jan-889,47712.6250.00.01

29-Feb-889,47713.5000.1800.0835643564

31-Mar-889,45212.2500.0-0.0925925926

29-Apr-889,45212.6250.00.0306122449

31-May-889,45211.5000.060-0.0843564356

30-Jun-889,45211.8750.00.0326086957

29-Jul-889,45211.5000.0-0.0315789474

31-Aug-889,45211.2500.060-0.0165217391

30-Sep-889,45211.7500.00.0444444444

31-Oct-889,45211.7500.00

30-Nov-889,45211.5000.060-0.0161702128

30-Dec-889,45210.8750.0-0.0543478261

31-Jan-899,45215.0000.00.3793103448

28-Feb-899,45213.7500.060-0.0793333333

31-Mar-899,45213.2500.0-0.0363636364

28-Apr-899,45213.0000.0-0.0188679245

31-May-899,45216.1250.0600.245

30-Jun-899,45214.0000.0-0.1317829457

31-Jul-899,45216.5000.00.1785714286

31-Aug-899,45217.0000.0600.0339393939

29-Sep-899,45216.7500.0-0.0147058824

31-Oct-899,45215.7500.0-0.0597014925

30-Nov-899,45214.8750.060-0.0517460317

29-Dec-899,45213.6250.0-0.0840336134

31-Jan-909,45212.0000.0-0.119266055

28-Feb-909,45213.6250.1300.14625

30-Mar-909,45213.2500.0-0.0275229358

30-Apr-909,45213.0000.0-0.0188679245

31-May-909,45215.2500.0700.1784615385

29-Jun-909,45214.0000.0-0.0819672131

31-Jul-909,45213.5000.0-0.0357142857

31-Aug-909,45211.3750.070-0.1522222222

28-Sep-909,45210.3750.0-0.0879120879

31-Oct-909,4529.7500.0-0.0602409639

30-Nov-909,45210.1250.0700.0456410256

31-Dec-909,43710.2500.00.012345679

31-Jan-919,43713.1250.00.2804878049

28-Feb-919,43716.1250.0700.2339047619

28-Mar-919,21018.8750.00.1705426357

30-Apr-919,21017.5000.0-0.0728476821

31-May-919,21017.7500.0700.0182857143

28-Jun-919,45217.0000.0-0.0422535211

31-Jul-919,45219.6250.00.1544117647

30-Aug-919,45220.6250.0700.054522293

30-Sep-919,21019.2500.0-0.0666666667

31-Oct-919,21020.3750.00.0584415584

29-Nov-919,21020.0000.070-0.0149693252

31-Dec-919,22027.7500.00.3875

31-Jan-929,22027.5000.0-0.009009009-0.001650

28-Feb-929,22028.5000.1800.04290909090.013290

31-Mar-929,29228.6250.00.0043859649-0.023680

30-Apr-929,29221.5000.0-0.24890829690.013850

29-May-929,29221.5000.0800.00372093020.006520

30-Jun-929,29221.0000.0-0.023255814-0.019240

31-Jul-929,29220.1250.0-0.04166666670.039930

31-Aug-929,29219.6250.080-0.0208695652-0.020760

30-Sep-929,88420.1250.00.0254777070.012420

30-Oct-929,88421.0000.00.04347826090.010900

30-Nov-929,88425.3750.0800.21214285710.040190

31-Dec-929,88424.7500.0-0.02463054190.017540

29-Jan-939,88427.0000.00.09090909090.012330

26-Feb-939,88426.0000.220-0.02888888890.005450

31-Mar-939,82427.1250.00.04326923080.025010

30-Apr-939,82425.1250.0-0.0737327189-0.025510

28-May-939,82426.1250.1000.04378109450.029420

30-Jun-9310,31528.8751.4430.16049760770.005130

30-Jul-9310,62330.7500.00.0649350649-0.000760

31-Aug-9310,62335.0000.1000.14146341460.039340

30-Sep-9310,64336.2500.00.03571428570.000610

29-Oct-9310,64335.8750.0-0.01034482760.018040

30-Nov-9310,67834.2500.100-0.0425087108-0.017350

31-Dec-9311,21235.7501.7880.0960.019450

31-Jan-9410,67835.3750.0-0.01048951050.031330

28-Feb-9411,23828.3750.270-0.1902473498-0.024090

31-Mar-9411,23825.6250.0-0.0969162996-0.045740

29-Apr-9411,23826.3750.00.02926829270.009830

31-May-9411,23826.8750.1200.0235071090.009500

30-Jun-9411,16825.3750.0-0.0558139535-0.027380

29-Jul-9411,16824.7500.0-0.02463054190.030410

31-Aug-9411,12129.2500.1200.18666666670.042830

30-Sep-9411,12125.8750.0-0.1153846154-0.018650

31-Oct-9411,11125.7500.0-0.00483091790.014870

30-Nov-9411,11124.7500.120-0.0341747573-0.037070

30-Dec-9411,11128.3750.00.14646464650.012750

31-Jan-9511,07530.8750.00.08810572690.020550

28-Feb-9511,07535.0000.2900.14299595140.039620

31-Mar-9511,07535.5000.00.01428571430.026970

28-Apr-9511,07540.6250.00.14436619720.024880

31-May-9511,07547.0000.00.15692307690.034160

30-Jun-9516,61336.6250.1501.50.17367021280.030840

31-Jul-9516,61338.5000.00.05119453920.040670

31-Aug-9516,61337.3750.100-0.02662337660.009340

29-Sep-9516,61345.8750.00.22742474920.036390

31-Oct-9524,92023.7500.01.5-0.2234332425-0.011150

30-Nov-9524,95225.3750.0700.07136842110.042970

29-Dec-9524,95220.5000.0-0.19211822660.015400

31-Jan-9625,05623.2500.00.13414634150.028090

29-Feb-9625,05626.2500.0800.13247311830.016050

29-Mar-9625,05629.5000.00.12380952380.011200

30-Apr-9625,05630.5000.00.03389830510.025130

31-May-9625,05633.8750.0700.11295081970.026720

28-Jun-9625,05632.5000.0-0.0405904059-0.007660

31-Jul-9625,17828.3750.0-0.1269230769-0.053390

30-Aug-9625,17829.2500.0800.03365638770.032220

30-Sep-9625,17826.5000.0-0.0940170940.052990

31-Oct-9625,17826.2500.0-0.00943396230.013940

29-Nov-9625,17828.3750.0800.0840.065730

31-Dec-9625,17829.8750.00.0528634361-0.011350

31-Jan-9725,17336.6250.00.2259414226

28-Feb-9725,17335.0000.190-0.0391808874

31-Mar-9737,76020.8750.01.5-0.1053571429

30-Apr-9737,76022.1250.00.0598802395

30-May-9737,76023.0000.0600.042259887

30-Jun-9738,60623.2500.00.0108695652

31-Jul-9738,66426.2500.00.1290322581

29-Aug-9738,66434.2500.0600.307047619

Waterhouse Investor Services


29-May-872,5726.9380.0

30-Jun-872,5728.0000.00.153070049

31-Jul-872,5728.2500.00.03125

31-Aug-872,5727.5000.0-0.0909090909

30-Sep-872,5728.0000.00.0666666667

30-Oct-872,5726.2500.0-0.21875

30-Nov-872,5726.0000.0-0.04

31-Dec-872,5725.2500.0-0.125

29-Jan-882,5724.5000.0-0.1428571429

29-Feb-882,4824.7500.00.0555555556

31-Mar-882,4826.0000.00.2631578947

29-Apr-882,4825.8750.0-0.0208333333

31-May-882,4826.2500.00.0638297872

30-Jun-882,4825.0000.0-0.2

29-Jul-882,4823.5000.0-0.3

31-Aug-882,4823.2500.0-0.0714285714

30-Sep-882,4824.0000.00.2307692308

31-Oct-882,4823.3750.0-0.15625

30-Nov-882,4823.5000.00.037037037

30-Dec-882,4822.7500.0-0.2142857143

31-Jan-892,4823.7500.00.3636363636

28-Feb-892,4723.7500.00

31-Mar-892,4724.7500.00.2666666667

28-Apr-892,4724.2500.0-0.1052631579

31-May-892,4205.0000.00.1764705882

30-Jun-892,4206.0000.00.2

31-Jul-892,4206.0000.00

31-Aug-892,4195.7500.120-0.0216666667

29-Sep-892,4195.6250.0-0.0217391304

31-Oct-892,4195.3750.0-0.0444444444

30-Nov-892,4175.0000.0-0.0697674419

29-Dec-892,4174.5000.0-0.1

31-Jan-902,4174.3750.0-0.0277777778

28-Feb-902,4203.7500.0-0.1428571429

30-Mar-902,4204.2500.00.1333333333

30-Apr-902,4204.3750.00.0294117647

31-May-902,5724.2500.0-0.0285714286

29-Jun-902,5724.7500.00.1176470588

31-Jul-902,5724.6250.0-0.0263157895

31-Aug-902,3774.3750.150-0.0216216216

28-Sep-902,3774.2500.0-0.0285714286

31-Oct-902,3774.0000.0-0.0588235294

30-Nov-902,3703.7500.0-0.0625

31-Dec-902,3703.6250.0-0.0333333333

31-Jan-912,3703.7500.00.0344827586

28-Feb-912,3204.5000.00.2

28-Mar-912,3206.1250.00.3611111111

30-Apr-912,3207.0000.00.1428571429

31-May-912,3208.2500.00.1785714286

28-Jun-912,9008.0000.01.250.2121212121

31-Jul-912,90010.3750.00.296875

30-Aug-912,94310.7500.1600.0515662651

30-Sep-912,94314.2500.00.3255813953

31-Oct-912,94314.0000.0-0.0175438596

29-Nov-912,94315.5000.00.1071428571

31-Dec-912,94327.5000.00.7741935484

31-Jan-922,94326.5000.0-0.0363636364-0.001650

28-Feb-924,41521.7500.01.50.23113207550.013290

31-Mar-924,46625.3750.00.1666666667-0.023680

30-Apr-924,46620.6250.0-0.18719211820.013850

29-May-924,46621.7500.00.05454545450.006520

30-Jun-924,46617.1250.0-0.2126436782-0.019240

31-Jul-924,46617.6250.00.02919708030.039930

31-Aug-924,46613.7500.200-0.2085106383-0.020760

30-Sep-924,84714.3750.00.04545454550.012420

30-Oct-924,84715.6250.00.08695652170.010900

30-Nov-924,84720.7500.00.3280.040190

31-Dec-924,84720.5000.0-0.01204819280.017540

29-Jan-934,84725.2500.00.23170731710.012330

26-Feb-934,84724.3750.0-0.03465346530.005450

31-Mar-936,07120.5000.01.250.05128205130.025010

30-Apr-936,07118.5000.0-0.0975609756-0.025510

28-May-936,07127.2500.00.4729729730.029420

30-Jun-936,07233.5000.00.22935779820.005130

30-Jul-936,07233.0000.0-0.0149253731-0.000760

31-Aug-936,07242.6250.2500.29924242420.039340

30-Sep-936,07250.1250.00.17595307920.000610

29-Oct-936,07247.2500.0-0.05735660850.018040

30-Nov-939,10825.7500.01.5-0.1825396825-0.017350

31-Dec-939,15021.2500.0-0.17475728160.019450

31-Jan-949,15021.2500.000.031330

28-Feb-949,15020.5000.0-0.0352941176-0.024090

31-Mar-949,15017.6250.0-0.1402439024-0.045740

29-Apr-949,15016.0000.0-0.09219858160.009830

31-May-949,15015.2500.0-0.0468750.009500

30-Jun-949,15013.3750.0-0.1229508197-0.027380

29-Jul-949,15013.0000.0-0.02803738320.030410

31-Aug-949,15017.0000.2000.32307692310.042830

30-Sep-949,15014.1250.0-0.1691176471-0.018650

31-Oct-949,15016.1250.00.14159292040.014870

30-Nov-949,15014.2500.0-0.1162790698-0.037070

30-Dec-949,15412.2500.0-0.14035087720.012750

31-Jan-959,15414.5000.00.18367346940.020550

28-Feb-959,15417.3750.00.19827586210.039620

31-Mar-959,15416.1250.0-0.0719424460.026970

28-Apr-959,15415.6250.0-0.03100775190.024880

31-May-959,15417.5000.00.120.034160

30-Jun-959,15423.0000.00.31428571430.030840

31-Jul-959,15427.6250.00.20108695650.040670

31-Aug-959,15428.6250.2500.04524886880.009340

29-Sep-9511,44225.5000.01.250.11353711790.036390

31-Oct-9511,44219.7500.0-0.2254901961-0.011150

30-Nov-9511,44219.7500.000.042970

29-Dec-9511,45224.7500.00.2531645570.015400

31-Jan-9611,45223.6250.0-0.04545454550.028090

29-Feb-9611,45224.6250.00.04232804230.016050

29-Mar-9611,45233.3750.00.35532994920.011200

30-Apr-9611,45236.2500.00.08614232210.025130

31-May-9611,45836.6250.00.01034482760.026720

28-Jun-9611,45837.1250.00.0136518771-0.007660

31-Jul-9611,50137.6250.00.0134680135-0.053390

30-Aug-9611,50137.3750.220-0.00079734220.032220

30-Sep-9611,50137.8750.00.01337792640.052990

0.013940

0.065730

Source: Center for Research on Security Prices, University of Chicago.-0.011350

&A

&C&P

Sheet1

SUMMARY OUTPUTAG Edwards

Regression Statistics

Multiple R0.4658

R Square0.2169

Adjusted R Square0.2034

Standard Error0.0688

Observations60

ANOVA


Regression10.07602004120.076020041216.06693221420.0001767617

Residual580.27442465890.0047314596

Total590.3504447001


Intercept-0.010.01-0.680.50-0.02642688440.0130298429-0.02642688440.0130298429

X Variable 11.450.364.010.000.72561906432.17329474940.72561906432.1732947494

RESIDUAL OUTPUT


1-0.0090901247-0.0470198753

20.0125647615-0.0789947615

3-0.0410216603-0.0477383397

40.0133764574-0.1765964574

50.00275193830.0960180617

6-0.0345860717-0.0438439283

70.0511782935-0.0573082935

8-0.03678924620.0802492462

90.011303734-0.082733734

100.00910055950.1062794405

110.05155515230.1151148477

120.0187249534-0.0825649534

130.01117328290.0787767171

140.0012010194-0.0206210194

150.02955239650.0506476035

16-0.0436741665-0.0070158335

170.0359445014-0.0883745014

180.00073719320.0508128068

19-0.0078001080.071530108

200.0503231139-0.0401831139

21-0.00581435210.0883843521

220.01944968180.0271603182

23-0.0318465981-0.0005434019

240.0214934161-0.0544634161

250.0387129641-0.0224129641

26-0.0416159377-0.0065140623

27-0.0729966797-0.1173433203

280.0075496406-0.0215396406

290.00707131980.0646986802

30-0.0463846509-0.0336153491

310.0373794638-0.0228894638

320.05538171860.0946182814

33-0.0337308921-0.0524791079

340.0148549034-0.0011549034

35-0.06042988830.0004298883

360.01178205480.0316979452

370.0230878187-0.0022578187

380.05072896190.1737610381

390.032393332-0.048393332

400.02936396710.0104060329

410.0428149272-0.0537449272

420.0380027302-0.0373427302

430.05225089160.0366391084

440.0068394067-0.0119394067

450.04604721610.0520027839

46-0.0228599653-0.0193900347

470.05558464250.0095153575

480.0156231156-0.1313631156

490.03401672370.0183432763

500.0165652626-0.0513952626

510.00953539660.0228346034

520.0297263313-0.0850063313

530.03203096780.0583990322

54-0.01780136070.0825813607

55-0.0840850250.093305025

560.0400029808-0.0171729808

570.0701082007-0.0242182007

580.01350690850.0122430915

590.0885742817-0.0425442817

60-0.02314985670.1042698567

Sheet1

-0.05611-0.00165

-0.066430.01329

-0.08876-0.02368

-0.163220.01385

0.098770.00652

-0.07843-0.01924

-0.006130.03993

0.04346-0.02076

-0.071430.01242

0.115380.0109

0.166670.04019

-0.063840.01754

0.089950.01233

-0.019420.00545

0.08020.02501

-0.05069-0.02551

-0.052430.02942

0.051550.00513

0.06373-0.00076

0.010140.03934

0.082570.00061

0.046610.01804

-0.03239-0.01735

-0.032970.01945

0.01630.03133

-0.04813-0.02409

-0.19034-0.04574

-0.013990.00983

0.071770.0095

-0.08-0.02738

0.014490.03041

0.150.04283

-0.08621-0.01865

0.01370.01487

-0.06-0.03707

0.043480.01275

0.020830.02055

0.224490.03962

-0.0160.02697

0.039770.02488

-0.010930.03416

0.000660.03084

0.088890.04067

-0.00510.00934

0.098050.03639

-0.04225-0.01115

0.06510.04297

-0.115740.0154

0.052360.02809

-0.034830.01605

0.032370.0112

-0.055280.02513

0.090430.02672

0.06478-0.00766

0.00922-0.05339

0.022830.03222

0.045890.05299

0.025750.01394

0.046030.06573

0.08112-0.01135

Y

Predicted Y

Market return

AG Edwards

Sheet2

SUMMARY OUTPUTBear Stearns


Multiple R0.4657515429

R Square0.2169244997



Observations60

ANOVA


Regression10.07602004120.076020041216.06693221420.0001767617

Residual580.27442465890.0047314596

Total590.3504447001


Intercept-0.00669852080.0098557257-0.67965779280.4994248666-0.02642688440.0130298429-0.02642688440.0130298429

X Variable 11.44945690680.36160866394.00835779520.00017676170.72561906432.17329474940.72561906432.1732947494

RESIDUAL OUTPUT


1-0.0090901247-0.0470198753

20.0125647615-0.0789947615

3-0.0410216603-0.0477383397

40.0133764574-0.1765964574

50.00275193830.0960180617

6-0.0345860717-0.0438439283

70.0511782935-0.0573082935

8-0.03678924620.0802492462

90.011303734-0.082733734

100.00910055950.1062794405

110.05155515230.1151148477

120.0187249534-0.0825649534

130.01117328290.0787767171

140.0012010194-0.0206210194

150.02955239650.0506476035

16-0.0436741665-0.0070158335

170.0359445014-0.0883745014

180.00073719320.0508128068

19-0.0078001080.071530108

200.0503231139-0.0401831139

21-0.00581435210.0883843521

220.01944968180.0271603182

23-0.0318465981-0.0005434019

240.0214934161-0.0544634161

250.0387129641-0.0224129641

26-0.0416159377-0.0065140623

27-0.0729966797-0.1173433203

280.0075496406-0.0215396406

290.00707131980.0646986802

30-0.0463846509-0.0336153491

310.0373794638-0.0228894638

320.05538171860.0946182814

33-0.0337308921-0.0524791079

340.0148549034-0.0011549034

35-0.06042988830.0004298883

360.01178205480.0316979452

370.0230878187-0.0022578187

380.05072896190.1737610381

390.032393332-0.048393332

400.02936396710.0104060329

410.0428149272-0.0537449272

420.0380027302-0.0373427302

430.05225089160.0366391084

440.0068394067-0.0119394067

450.04604721610.0520027839

46-0.0228599653-0.0193900347

470.05558464250.0095153575

480.0156231156-0.1313631156

490.03401672370.0183432763

500.0165652626-0.0513952626

510.00953539660.0228346034

520.0297263313-0.0850063313

530.03203096780.0583990322

54-0.01780136070.0825813607

55-0.0840850250.093305025

560.0400029808-0.0171729808

570.0701082007-0.0242182007

580.01350690850.0122430915

590.0885742817-0.0425442817

60-0.02314985670.1042698567

Sheet2

-0.056110

-0.066430

-0.088760

-0.163220

0.098770

-0.078430

-0.006130

0.043460

-0.071430

0.115380

0.166670

-0.063840

0.089950

-0.019420

0.08020

-0.050690

-0.052430

0.051550

0.063730

0.010140

0.082570

0.046610

-0.032390

-0.032970

0.01630

-0.048130

-0.190340

-0.013990

0.071770

-0.080

0.014490

0.150

-0.086210

0.01370

-0.060

0.043480

0.020830

0.224490

-0.0160

0.039770

-0.010930

0.000660

0.088890

-0.00510

0.098050

-0.042250

0.06510

-0.115740

0.052360

-0.034830

0.032370

-0.055280

0.090430

0.064780

0.009220

0.022830

0.045890

0.025750

0.046030

0.081120

Y

Predicted Y

Market return

Bear Stearns

Sheet3

SUMMARY OUTPUTLehman Bros.



R Square0.3067427709



Observations31

ANOVA


Regression10.07302671750.073026717512.83151474470.0012276382

Residual290.16504480170.0056912001

Total300.2380715192


Intercept-0.00883287570.0161631026-0.54648392320.5889136665-0.04189015020.0242243988-0.04189015020.0242243988

X Variable 11.85312391720.51732741953.58211037580.00122763820.79506996682.91117786770.79506996682.9111778677

RESIDUAL OUTPUT


1-0.0595714086-0.1070985914

20.04752062260.0024793774

30.0705364217-0.0308564217

4-0.0433936368-0.0489163632

50.01872307690.0321269231

6-0.07752817930.0404281793

70.0147944542-0.0231944542

80.02924882080.1232911792

90.06458789390.0045321061

100.0411458763-0.0480458763

110.03727284740.0460571526

120.0544698373-0.0390898373

130.04831746590.0592725341

140.066533674-0.049393674

150.00847530170.0555646983

160.0586023036-0.0744723036

17-0.0294952074-0.0350247926

180.070795859-0.028265859

190.0197052326-0.0804752326

200.04322137510.1626586249

210.0209097632-0.0531097632

220.01192211220.0688878878

230.0377361283-0.0891361283

240.0406825954-0.0731925954

25-0.02302780490.0332278049

26-0.10777116160.0421111616

270.0508747769-0.1351947769

280.08936416070.1354858393

290.0169996717-0.0459896717

300.11297295940.0482170406

31-0.02986583220.1071158322

Sheet3

-0.166670

0.050

0.039680

-0.092310

0.050850

-0.03710

-0.00840

0.152540

0.069120

-0.00690

0.083330

0.015380

0.107590

0.017140

0.064040

-0.015870

-0.064520

0.042530

-0.060770

0.205880

-0.03220

0.080810

-0.05140

-0.032510

0.01020

-0.065660

-0.084320

0.224850

-0.028990

0.161190

0.077250

Y

Predicted Y

X Variable 1

Y


Sheet4

SUMMARY OUTPUTMecklermedia



R Square0.0796091777



Observations34

ANOVA


Regression10.23711339290.23711339292.76783907930.1059404637

Residual322.74135466520.0856673333

Total332.9784680581


Intercept0.04371307150.05710979760.76542157920.4496294427-0.07261568110.1600418241-0.07261568110.1600418241

X Variable 13.07123463861.8460462561.66368238530.1059404637-0.68903535026.8315046274-0.68903535026.8315046274

RESIDUAL OUTPUT


1-0.09676520090.0517152009

20.073903308-0.073903308

30.07288980060.8327701994

4-0.0403773329-0.0883326671

50.1371093169-0.1484693169

60.1752540511-0.4511140511

7-0.0135654545-0.0181845455

80.0893823306-0.4008623306

9-0.0701375965-0.0012924035

100.08287131310.3273886869

110.1068269433-0.2886469433

120.1653953879-0.0098353879

130.12654426970.6042257303

140.12012538930.4465446107

150.14862644680.3691035532

160.13842994780.2727800522

170.1686201843-0.1752401843

180.0723984030.054271597

190.1554753-0.2679053

200.0094688053-0.3827988053

210.17568402390.3349559761

220.0910100849-0.1896000849

230.1299840525-0.3155340525

240.0930063875-0.2488863875

250.07811089950.0127991005

260.1208931980.212436802

270.1257764610.030473539

280.02018741420.0744025858

29-0.1202601458-0.0525798542

300.1426682516-0.0978882516

310.206457795-0.177887795

320.0865260824-0.1212460824

330.2455853243-0.0801153243

340.0088545584-0.0335445584

Sheet4

-0.045050

00

0.905660

-0.128710

-0.011360

-0.275860

-0.031750

-0.311480

-0.071430

0.410260

-0.181820

0.155560

0.730770

0.566670

0.517730

0.411210

-0.006620

0.126670

-0.112430

-0.373330

0.510640

-0.098590

-0.185550

-0.155880

0.090910

0.333330

0.156250

0.094590

-0.172840

0.044780

0.028570

-0.034720

0.165470

-0.024690

Y

Predicted Y

X Variable 1

Y


Sheet5

SUMMARY OUTPUTMerrill Lynch



R Square0.4143477489



Observations60

ANOVA


Regression10.12020506040.120205060441.03487930470.0000000289

Residual580.16990164510.0029293387

Total590.2901067055


Intercept-0.00040802170.0077548934-0.05261474580.9582196686-0.01593111580.0151150723-0.01593111580.0151150723

X Variable 11.82264728520.28452868256.40584727450.00000002891.25310167362.39219289691.25310167362.3921928969

RESIDUAL OUTPUT


1-0.0034153898-0.0282946102

20.0238149607-0.0434649607

3-0.04356830950.0279083095

40.0248356432-0.1339256432

50.0114756386-0.0155556386

6-0.03547575550.0767157555

70.0723702844-0.0525702844

8-0.03824617940.0076661794

90.0222292575-0.0020792575

100.01945883370.0743711663

110.07284417260.0228658274

120.0315612116-0.0460512116

130.02206521930.0766747807

140.0095254060.037124594

150.04517638690.0006936131

16-0.0469037540.036373754

170.05321426140.0262157386

180.00894215880.0603678412

19-0.00179323370.0758632337

200.07129492250.0476750775

210.00070379310.0096062069

220.0324725353-0.0398725353

23-0.0320309521-0.0311990479

240.035042468-0.109422468

250.05669551770.0165144823

26-0.0443155948-0.0503944052

27-0.08377590860.0006959086

280.0175086011-0.0275786011

290.01690712750.0469528725

30-0.0503121044-0.0522478956

310.0550186822-0.0085886822

320.07765596150.0378340385

33-0.0344003936-0.1132896064

340.02669474340.1171352566

35-0.06797355660.0330535566

360.0228307311-0.0820407311

370.03704738-0.00613738

380.07180526370.0476447363

390.0487487755-0.0121587755

400.04493944270.0256505573

410.0618536095-0.0231736095

420.05580242050.0612175795

430.0737190433-0.0165790433

440.01661550390.0263544961

450.0659181130.018681887

46-0.020730539-0.091269461

470.0779111321-0.0732311321

480.0276607464-0.1087407464

490.05079014050.0694998595

500.0288454672-0.0156554672

510.02000562780.0342243722

520.0453951045-0.0515651045

530.04829311370.0291368863

54-0.01436949990.0201594999

55-0.09771916030.0293891603

560.0583176738-0.0438276738

570.0961740579-0.0206640579

580.02499968140.0414103186

590.11939458430.0272254157

60-0.02109506840.0366750684

Sheet5

-0.031710

-0.019650

-0.015660

-0.109090

-0.004080

0.041240

0.01980

-0.030580

0.020150

0.093830

0.095710

-0.014490

0.098740

0.046650

0.045870

-0.010530

0.079430

0.069310

0.074070

0.118970

0.010310

-0.00740

-0.063230

-0.074380

0.073210

-0.094710

-0.083080

-0.010070

0.063860

-0.102560

0.046430

0.115490

-0.147690

0.143830

-0.034920

-0.059210

0.030910

0.119450

0.036590

0.070590

0.038680

0.117020

0.057140

0.042970

0.08460

-0.1120

0.004680

-0.081080

0.120290

0.013190

0.054230

-0.006170

0.077430

0.005790

-0.068330

0.014490

0.075510

0.066410

0.146620

0.015580

Y

Predicted Y

X Variable 1

Y


Sheet6

SUMMARY OUTPUTMorgan Stanley



R Square0.4237048898



Observations60

ANOVA


Regression10.15842533830.158425338342.64288066470.000000018

Residual580.21547957070.003715165

Total590.373904909


Intercept-0.01059510160.0087333344-1.21317941840.2299790276-0.02807675670.0068865535-0.02807675670.0068865535

X Variable 12.09244272490.32042789126.53015165710.0000000181.45103709332.73384835661.45103709332.7338483566

RESIDUAL OUTPUT


1-0.0140476321-0.0959923679

20.0172134622-0.0260634622

3-0.06014414530.0467541453

40.0183852301-0.1292452301

50.0030476250.047642375

6-0.05085369960.0265236996

70.07295613640.0243038636

8-0.0540342126-0.0211457874

90.015393037-0.067243037

100.01221252410.0190374759

110.07350017150.0020598285

120.02610634380.0257836562

130.01520471720.0004952828

140.00080871130.0212712887

150.0417368910.068763109

16-0.0639733155-0.0004766845

170.05096456340.0513354366

180.00013912960.0513008704

19-0.01218535810.0320753581

200.07172159520.1076384048

21-0.00931871150.0590887115

220.0271525652-0.1234125652

23-0.0468989829-0.0371110171

240.0301029094-0.0440429094

250.0549611290.066948871

26-0.0610020468-0.0958479532

27-0.10630343180.0669034318

280.0099736104-0.0470836104

290.0092831043-0.0348431043

30-0.06788618340.0197661834

310.05303608170.0128939183

320.07902422030.0764357797

33-0.0496191584-0.0597008416

340.02051952170.0317904783

35-0.0881619534-0.0028480466

360.0160835431-0.0181935431

370.0324045964-0.0133345964

380.07230747920.0482725208

390.0458380787-0.0410880787

400.0414648734-0.0099248734

410.06088274190.0344372581

420.0539358320.023244168

430.074504544-0.050784544

440.00894831350.0299116865

450.06554888920.0510011108

46-0.033925838-0.065864162

470.0793171623-0.0879371623

480.0216285164-0.0868485164

490.04818161450.1375583855

500.0229886041-0.0387386041

510.01284025690.0964897431

520.0419879841-0.0722779841

530.045314968-0.060244968

54-0.02662321290.0190432129

55-0.12231061870.1182406187

560.056823403-0.077333403

570.1002834384-0.0584034384

580.01857355-0.00500355

590.12694115870.0695788413

60-0.0343443265-0.0155556735

Sheet6

-0.110040

-0.008850

-0.013390

-0.110860

0.050690

-0.024330

0.097260

-0.075180

-0.051850

0.031250

0.075560

0.051890

0.01570

0.022080

0.11050

-0.064450

0.10230

0.051440

0.019890

0.179360

0.049770

-0.096260

-0.084010

-0.013940

0.121910

-0.156850

-0.03940

-0.037110

-0.025560

-0.048120

0.065930

0.155460

-0.109320

0.052310

-0.091010

-0.002110

0.019070

0.120580

0.004750

0.031540

0.095320

0.077180

0.023720

0.038860

0.116550

-0.099790

-0.008620

-0.065220

0.185740

-0.015750

0.109330

-0.030290

-0.014930

-0.007580

-0.004070

-0.020510

0.041880

0.013570

0.196520

-0.04990

Y

Predicted Y

X Variable 1

Y


Exhibit 6

DateA G EdwardsBear StearnsLehman Bros.Meckler-mediaMerrill LynchMorgan StanleyDean WitterNetscapePaineWebberRaymondJamesYahoo!VW NYSE,AMEX, andNASDAQEW NYSE,AMEX, andNASDAQ

31-Jan-840.026040-0.013280-0.0428600.040000-0.0129100.005760

29-Feb-84-0.111680-0.167330-0.175370-0.102560-0.039170-0.053810

30-Mar-84-0.042290-0.0191400.073300-0.0500000.0134500.007100

30-Apr-840.012050-0.0117100.080510-0.0676700.002730-0.019420

31-May-84-0.017860-0.044780-0.113730-0.072580-0.052350-0.050770

29-Jun-840.1006100.1197900.084960-0.0434800.0235900.013800

31-Jul-840.016670-0.076280-0.0901600.018180-0.020350-0.047450

31-Aug-840.1781400.3045700.1891900.2142900.1125700.089620

28-Sep-84-0.032710-0.077820-0.105300-0.0294100.0003900.000270

31-Oct-840.0241500.0236300.0297900.0151500.000130-0.020890

30-Nov-84-0.066040-0.091290-0.041320-0.179100-0.010620-0.031410

31-Dec-84-0.017170-0.013700-0.046550-0.0545500.0237900.005050

31-Jan-850.3316100.2777800.4318200.4307700.0857300.122760

28-Feb-85-0.007780-0.023190-0.0222200.0270300.0170000.047140

29-Mar-85-0.036860-0.0858200.0266200.013160-0.001930-0.008530

30-Apr-85-0.094260-0.034290-0.123810-0.025970-0.002180-0.011290

31-May-850.0859700.0893600.0652200.0133300.0558700.022930

28-Jun-850.1025000.011720-0.0401400.0394700.0171900.003470

31-Jul-85-0.0646400.040930-0.0925300.017720-0.0005400.019510

30-Aug-85-0.036590-0.052240-0.0384300.025000-0.004800-0.003410

30-Sep-85-0.132490-0.141730-0.049180-0.048780-0.039650-0.056140

31-Oct-850.0882400.1009200.0086200.0000000.0445700.018960

29-Nov-850.099100-0.1034500.1275000.1974400.2564100.0692700.053270

31-Dec-850.1418000.1935900.0223000.0035800.0159200.0430600.029130

31-Jan-860.0397100.1567600.1527300.1071400.2888900.0098600.043400

28-Feb-860.1493100.1308400.0365900.0683900.1034500.0728400.062360

31-Mar-860.0839900.1287200.0122300.0363600.1718800.0538800.047720

30-Apr-86-0.0868300.065640-0.1027200.051150-0.137430-0.100000-0.0080600.015840

30-May-860.0260700.003620-0.0080800.0134200.051530-0.0074100.0508100.036630

30-Jun-86-0.066370-0.168520-0.054610-0.062910-0.116500-0.0406000.0143000.008960

31-Jul-86-0.067630-0.141920-0.039710-0.070670-0.010990-0.187500-0.059690-0.073610

29-Aug-860.1046600.1603100.1451100.1490500.1759300.0384600.0663900.022110

30-Sep-86-0.094340-0.145530-0.052810-0.119400-0.015590-0.092590-0.079140-0.060490

31-Oct-860.1510400.2170500.1951200.1608300.1726900.0816300.0494400.024620

28-Nov-86-0.022620-0.057320-0.074050-0.030890-0.075210-0.0566000.015170-0.006280

31-Dec-86-0.040740-0.102160-0.075950-0.129190-0.063200-0.026800-0.026540-0.034530

30-Jan-870.3349500.3181800.1986300.1129100.1785700.3195900.1283700.116820

27-Feb-870.000000-0.022990-0.015430-0.048610-0.0335400.2890600.0476300.074950

31-Mar-870.044950-0.024650-0.0029200.036500-0.0035000.2619400.0232400.033090

30-Apr-87-0.122380-0.121020-0.1520500.005280-0.084210-0.116400-0.017130-0.019610

29-May-87-0.023900-0.028990-0.0413800.020320-0.061150-0.1018000.0052200.000710

30-Jun-87-0.1046500.0220900.010870-0.0034400.020490-0.0312000.0438300.022010

31-Jul-870.073390-0.0073500.1003600.0234900.052210-0.0620700.0440500.034700

31-Aug-870.0271800.1037000.0325700.0693700.0230500.1691200.0372300.015590

30-Sep-87-0.0711300.080270-0.0317500.023730-0.029960-0.142640-0.020740-0.015510

30-Oct-87-0.337840-0.400000-0.357380-0.337560-0.474900-0.352940-0.224870-0.270850

30-Nov-87-0.174420-0.145830-0.153060-0.163930-0.021760-0.113640-0.072900-0.052300

31-Dec-870.0333300.0239000.0914600.148460-0.128790-0.0384600.0704100.027940

29-Jan-880.0806500.1445800.072630-0.0195100.1130400.1376000.0453400.078110

29-Feb-880.0623900.1578900.0625000.1686600.109690-0.0352900.0516100.062010

31-Mar-88-0.035460-0.054550-0.0643600.055560-0.0780100.089270-0.0170600.034370

29-Apr-880.0294100.0194200.0000000.106880-0.038460-0.0674200.0110000.015250

31-May-88-0.042860-0.0857100.031750-0.0862400.032320-0.0481900.000940-0.017020

30-Jun-880.1594000.0937500.1139900.2751000.070310-0.0086100.0513900.048480

29-Jul-88-0.006490-0.0673100.0139500.004720-0.0365000.025640-0.0071800.000550

31-Aug-88-0.039220-0.041240-0.050460-0.0157200.038180-0.050000-0.027940-0.023710

30-Sep-880.0840800.0286700.039020-0.0031900.0367600.0173700.0372800.018700

31-Oct-88-0.0063300.0842100.0516400.051280-0.0283700.1576300.017650-0.011780

30-Nov-88-0.0573200.029130-0.049550-0.036700-0.065400-0.069770-0.016400-0.036700

30-Dec-880.042970-0.038100-0.0900500.0539700.0157500.1050000.0208000.019540

31-Jan-890.1699300.1782200.2708300.0783100.1162800.1931800.0659400.063130

28-Feb-89-0.0446900.001010-0.0371900.0324000.0280600.051430-0.0163600.002790

31-Mar-89-0.0388300.025420-0.0472100.006110-0.047620-0.0090900.0215500.017030

28-Apr-89-0.006130-0.0413200.040540-0.0550600.0142900.0183500.0485300.030680

31-May-890.1543200.0687100.0606100.1376300.0707000.0900900.0396500.027370

30-Jun-89-0.0034200.034190-0.061730-0.017010-0.0264900.069420-0.004980-0.008330

31-Jul-890.1783800.1074400.2324600.1100000.2585000.1472900.0777200.031610

31-Aug-890.0871600.034850-0.0394300.0626100.016430-0.0135100.0222800.019290

29-Sep-890.008270-0.083970-0.108210-0.063830-0.1604300.009590-0.0017500.004470

31-Oct-89-0.148150-0.075000-0.025100-0.069580-0.121020-0.122450-0.029380-0.050950

30-Nov-890.103260-0.034950-0.0865800.050940-0.0142000.0155000.017850-0.008220

29-Dec-89-0.0967500.009430-0.004740-0.0718100.000000-0.0610700.018280-0.012170

31-Jan-90-0.115380-0.028040-0.133330-0.077370-0.037040-0.012360-0.070050-0.045810

28-Feb-900.0559000.0607700.0000000.0295400.0387700.1487600.0149800.015750

30-Mar-900.137410-0.038460-0.0333300.0082000.0447800.0754000.0241500.022040

30-Apr-90-0.104170-0.020000-0.0344800.028460-0.042860-0.013420-0.028160-0.026720

31-May-900.2034900.1792900.1385500.1292200.1197000.1189100.0888700.046650

29-Jun-90-0.007920-0.009170-0.0476200.0246500.013420-0.036590-0.0043000.005380

31-Jul-90-0.058820-0.0833300.061110-0.163230-0.0662300.000000-0.009380-0.027290

31-Aug-90-0.081460-0.097780-0.132280-0.068180-0.113190-0.101270-0.091730-0.109790

28-Sep-90-0.268570-0.142860-0.091460-0.121950-0.096770-0.116340-0.053870-0.080490

31-Oct-900.046880-0.097220-0.046980-0.012630-0.151790-0.048000-0.012420-0.056330

30-Nov-900.1194000.1249200.1071400.0927800.1267400.0840300.0659800.036650

31-Dec-900.0957300.1250000.0709700.0259400.0377400.1445000.029540-0.003870

31-Jan-910.2024500.1358000.1867500.1011500.0545500.0748300.0490400.085250

28-Feb-910.1683700.1426100.1725900.1848700.3193100.2192400.0756900.133650

28-Mar-910.1369400.1250000.2183400.1773000.1973700.2708300.0287800.077820

30-Apr-910.0193100.0341900.089610-0.0150600.0549500.0573800.0033500.031020

31-May-910.0757600.0946300.0860900.087560-0.0414600.0639500.0405900.030340

28-Jun-91-0.099720-0.128000-0.064020-0.103110-0.142080-0.041090-0.044240-0.034500

31-Jul-910.1988200.1100900.0814300.1612000.0955400.0342900.0468300.034920

30-Aug-910.025220-0.0148800.0181800.0299700.0816300.0386700.0269100.028570

30-Sep-910.2029000.0169500.1488100.0634900.1189200.114260-0.0110600.008670

31-Oct-910.0763100.0583300.0725400.0812900.2029000.1052600.0177200.023860

29-Nov-91-0.126870-0.039760-0.067630-0.016170-0.152610-0.125540-0.037270-0.025390

31-Dec-910.2996600.1826100.2317700.1971800.3350700.2178200.1070400.036450

31-Jan-92-0.0561100.066180-0.031710-0.110040-0.0160400.165530-0.0016500.149480

28-Feb-92-0.0664300.080000-0.019650-0.0088500.080430-0.0035000.0132900.052010

31-Mar-92-0.088760-0.077420-0.015660-0.013390-0.0454500.128840-0.023680-0.014120

30-Apr-92-0.163220-0.006990-0.109090-0.110860-0.142860-0.1355100.013850-0.032890

29-May-920.0987700.006690-0.0040800.0506900.049140-0.0864900.0065200.005500

30-Jun-92-0.078430-0.0222200.041240-0.0243300.023670-0.014910-0.019240-0.039700

31-Jul-92-0.006130-0.0454500.0198000.0972600.0693600.0060200.0399300.027280

31-Aug-920.043460-0.014290-0.030580-0.075180-0.135350-0.071860-0.020760-0.024440

30-Sep-92-0.0714300.0162600.020150-0.051850-0.106920-0.1130300.0124200.011930

30-Oct-920.1153800.0240000.0938300.0312500.1408500.1167900.0109000.016320

30-Nov-920.1666700.1003900.0957100.0755600.1972800.2091500.0401900.067730

31-Dec-92-0.0638400.045110-0.0144900.0518900.010360-0.0324300.0175400.035650

29-Jan-930.089950-0.0143900.0987400.0157000.0359000.1376500.0123300.066740

26-Feb-93-0.019420-0.0058400.0466500.022080-0.054650-0.1379300.005450-0.007910

31-Mar-930.0802000.0814800.0458700.1105000.0894700.0436600.0250100.030880

30-Apr-93-0.0506900.089040-0.010530-0.064450-0.0724600.005490-0.025510-0.012760

28-May-93-0.0524300.1333300.0794300.1023000.1364600.0382500.0294200.037950

30-Jun-930.0515500.0502800.0693100.0514400.0737300.0033700.0051300.011970

30-Jul-930.0637300.0266000.0740700.0198900.034330-0.057890-0.0007600.014100

31-Aug-930.0101400.0399000.1189700.1793600.0672200.1544100.0393400.040400

30-Sep-930.0825700.0421100.0103100.0497700.0195300.0873800.0006100.025790

29-Oct-930.046610-0.111110-0.007400-0.096260-0.099620-0.0357100.0180400.040090

30-Nov-93-0.0323900.018180-0.063230-0.084010-0.088510-0.027780-0.017350-0.024370

31-Dec-93-0.032970-0.016850-0.074380-0.0139400.014080-0.0500000.0194500.016120

31-Jan-940.0163000.1142900.0732100.1219100.0972200.0649600.0313300.048920

28-Feb-94-0.048130-0.106670-0.094710-0.156850-0.097050-0.070920-0.024090-0.009490

31-Mar-94-0.190340-0.098270-0.045050-0.083080-0.039400-0.047010-0.048550-0.045740-0.046020

29-Apr-94-0.0139900.0833300.000000-0.010070-0.037110-0.007410-0.0403200.009830-0.010820

31-May-940.0717700.0198200.9056600.063860-0.025560-0.007760-0.0030300.009500-0.000270

30-Jun-94-0.080000-0.165640-0.166670-0.128710-0.102560-0.048120-0.053030-0.016950-0.027380-0.026570

29-Jul-940.014490-0.0514700.050000-0.0113600.0464300.0659300.032000-0.0689700.0304100.015470

31-Aug-940.1500000.1410900.039680-0.2758600.1154900.1554600.0151900.1851900.0428300.036790

30-Sep-94-0.086210-0.123290-0.092310-0.031750-0.147690-0.109320-0.115380-0.026250-0.0186500.004500

31-Oct-940.0137000.0156300.050850-0.3114800.1438300.0523100.060870-0.0322600.014870-0.002400

30-Nov-94-0.060000-0.029230-0.037100-0.071430-0.034920-0.091010-0.098690-0.041670-0.037070-0.040570

30-Dec-940.043480-0.016000-0.0084000.410260-0.059210-0.0021100.100920-0.0260900.012750-0.012860

31-Jan-950.0208300.0813000.152540-0.1818200.0309100.0190700.0000000.0957100.0205500.027710

28-Feb-950.2244900.1368400.0691200.1555600.1194500.1205800.1663300.1639300.0396200.027990

31-Mar-95-0.016000-0.013330-0.0069000.7307700.0365900.004750-0.071940-0.0231000.0269700.018740

28-Apr-950.0397700.1148600.0833300.5666700.0705900.0315400.0620200.0144900.0248800.025980

31-May-95-0.0109300.0381800.0153800.5177300.0386800.0953200.1602900.0500000.0341600.020500

30-Jun-950.0006600.0555600.1075900.4112100.1170200.077180-0.0443000.0593200.0308400.048690

31-Jul-950.0888900.0350900.017140-0.0066200.0571400.0237200.0860900.1225800.0406700.055180

31-Aug-95-0.005100-0.0610200.0640400.1266700.0429700.038860-0.0551200.0114900.0093400.030380

29-Sep-950.0980500.042420-0.015870-0.1124300.0846000.1165500.2626300.025970-0.0072700.0363900.025990

31-Oct-95-0.042250-0.075580-0.064520-0.373330-0.112000-0.0997900.4080000.120250-0.011490-0.011150-0.040580

30-Nov-950.0651000.1018900.0425300.5106400.004680-0.0086200.5710200.0110700.0523300.0429700.017200

29-Dec-95-0.115740-0.086210-0.060770-0.098590-0.081080-0.0652200.005420-0.101120-0.0565700.0154000.009780

31-Jan-960.0523600.1572300.205880-0.1855500.1202900.1857400.1816500.0375000.0352900.0280900.033290

29-Feb-96-0.0348300.060870-0.032200-0.1558800.013190-0.015750-0.379000-0.0363900.0056800.0160500.031540

29-Mar-960.0323700.0206200.0808100.0909100.0542300.109330-0.1862700.1069200.0212400.0112000.024120

30-Apr-96-0.0552800.015150-0.0514000.333330-0.006170-0.0302900.469880-0.0511400.0055600.0251300.057330

31-May-960.0904300.014180-0.0325100.1562500.077430-0.0149300.1157800.0536500.005520-0.0588200.0267200.061050

28-Jun-960.064780-0.0207300.0102000.0945900.005790-0.007580-0.0854000.085710-0.001320-0.250000-0.007660-0.030600

31-Jul-960.009220-0.047620-0.065660-0.172840-0.068330-0.004070-0.365460-0.115790-0.077350-0.142860-0.053390-0.078620

30-Aug-960.0228300.045560-0.0843200.0447800.014490-0.020510-0.104430-0.0121400.1197600.0902800.0322200.044770

30-Sep-960.045890-0.0053500.2248500.0285700.0755100.0418800.3109500.0181800.0415000.0828000.0529900.028970

31-Oct-960.0257500.016130-0.028990-0.0347200.0664100.013570-0.0458200.1190500.005150-0.0705900.013940-0.019970

29-Nov-960.0460300.1703700.1611900.1654700.1466200.1965200.2627100.1542600.164100-0.0316500.0657300.024770

31-Dec-960.0811200.0136400.077250-0.0246900.015580-0.0499000.0179000.0412900.065550-0.111110-0.011350-0.001420

31-Jan-970.0111500.0762300.0079700.0506300.0322100.003500-0.3340700.2800000.0705400.9926500.0530400.061720

28-Feb-970.0441200.0550000.0651400.3373500.1447300.105030-0.231020-0.0895800.034880-0.107010-0.000880-0.010430

31-Mar-97-0.128730-0.125000-0.130110-0.135140-0.105470-0.0693100.032190-0.134100-0.050040-0.070250-0.044390-0.047880

30-Apr-970.1382100.1619000.1623900.0625000.1109200.077870-0.0997900.2035400.1087000.2133300.042460-0.021390

30-May-970.0607100.0704900.207650-0.2451000.1157900.0752500.0923800.0485300.176470-0.0549500.0712500.085170

30-Jun-970.1563600.051920-0.012200-0.0129900.1250000.0468200.084570-0.014080-0.0016400.0930200.0442000.044240

31-Jul-97-0.0117000.1992700.2314800.0657900.1813400.2209600.1442500.1482100.0570800.6028400.0763100.048620

29-Aug-97-0.059170-0.031400-0.121600-0.006170-0.124050-0.0822400.085180-0.0435500.0021600.053100-0.0364500.027020

Source: Center for Research on Security Prices, University of Chicago.

&A

&C&P

Regression for Charles Schwab

Corporate WACC vs. Project WACCThe corporate WACC is not necessarily the cost of capital for a project within the firm:The systematic risk of the project could differ from the average systematic risk of the firms projectsThe target capital structure for the project (thought of as a mini-firm) could differ from the corporate target capital structure

ExpectedRatesOfReturnCompany-wideWACCProject-betaAdjustedCost of capitalAvg. companyProject betaProject BetaXY

How do you estimate the beta of a project or division?Peer methodCollect a sample of publicly traded firms which are essentially like (you think they face the same systematic risk) the project or division being valuedEstimate (or look them up) the peer companies equity betasAssuming they face the same business risk, not the same financial risk (I.e., different capital structures)

Equity riskEquity beta risk has two sources:Business risk (the risk of the asset cash flows)which would equal the equity risk if the business were unlevered (I.e., if it had no debt)Financial riskThe magnification of the business risk from the perspective of the equityholders because of the presence of debt in the capital structure.

Unlever the peer betasPeers have same business risk as projectso back out the financial risk How?First, estimate reL for peers using CAPMThen use the unlevering formula:reU = [reL + (1-T)(D/E)(rd)]/[1 + (1-T)(D/E)]For this formula, you technically need the peers costs of debt and marginal tax rates (for our assignment, assume the same as Marriotts)

Average the reUsThese are now estimates of required returns for business risk only!Average the reUsThis is your projects reU

The WACC needs reLYou are using WACC to value the project or divisionHow do you get reL for the WACC?Relevering formula:reL = reU + (1-T)(D/E)(reU - rd)

Plug in your WACCYour reL is now ready for your WACCEstimate Tc, the capital structure weights and rd and youre ready to go!Look at the lodging WACCAssignment: Bring back a restaurant division WACC!

Extra creditFor extra credit, bring back a contract services division WACCThere are no peers given for contract servicesBut you can estimate WACC, reu, reL, etc. for Marriott as a whole!

wacc_emp.ppt

Documents

business risk

awayfor risk

risk free rate of return

plusa risk premium

nondiversifiable risk

risk of investment stock

required rate of return

required return