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S&P 500 Index May 2 - Aug 8 1988

Date Open High Low Close Volume Adj Close*


8-Aug-88 271.13 272.47 269.93 269.98 148,800,000 269.98
5-Aug-88 271.7 271.93 270.08 271.15 113,400,000 271.15
4-Aug-88 273 274.2 271.77 271.93 157,240,000 271.93
3-Aug-88 272.03 273.42 271.15 272.98 203,590,000 272.98
2-Aug-88 272.19 273.68 270.37 272.06 166,660,000 272.06
1-Aug-88 272.03 272.8 271.21 272.21 138,170,000 272.21
29-Jul-88 266.04 272.02 266.02 272.02 192,340,000 272.02
28-Jul-88 262.52 266.55 262.5 262.5 154,570,000 266.02
27-Jul-88 265.18 265.83 262.48 262.5 135,890,000 262.5
26-Jul-88 264.7 266.09 264.32 265.19 121,960,000 265.19
25-Jul-88 263.49 265.17 263.03 264.68 215,140,000 264.68
22-Jul-88 266.65 266.66 263.29 263.5 148,880,000 263.5
21-Jul-88 269.99 270 266.66 266.66 149,460,000 266.66
20-Jul-88 268.52 270.24 268.47 270 151,990,000 270
19-Jul-88 270.49 271.21 267.01 268.47 144,110,000 268.47
18-Jul-88 271.99 272.05 268.66 270.51 156,210,000 270.51
15-Jul-88 270.23 272.06 269.53 272.05 199,710,000 272.05
14-Jul-88 269.33 270.69 268.58 270.26 172,410,000 270.26
13-Jul-88 267.87 269.46 266.12 269.32 218,930,000 269.32
12-Jul-88 270.54 270.7 266.96 267.85 161,650,000 267.85
11-Jul-88 270.03 271.64 270.02 270.55 123,300,000 270.55
8-Jul-88 271.76 272.31 269.86 270.02 136,070,000 270.02
7-Jul-88 272 272.05 269.31 271.78 156,100,000 271.78
6-Jul-88 275.8 276.36 269.92 272.02 189,630,000 272.02
5-Jul-88 271.78 275.81 270.51 275.81 171,790,000 275.81
1-Jul-88 273.5 273.8 270.78 271.78 238,330,000 271.78
30-Jun-88 271 273.51 270.97 273.5 227,410,000 273.5
29-Jun-88 272.32 273.01 269.49 270.98 159,590,000 270.98
28-Jun-88 269.07 272.8 269.06 272.31 152,370,000 272.31
27-Jun-88 273.78 273.79 268.85 269.06 264,410,000 269.06
24-Jun-88 274.81 275.19 273.53 273.78 179,880,000 273.78
23-Jun-88 275.62 275.89 274.26 274.82 185,770,000 274.82
22-Jun-88 271.69 276.88 271.67 275.66 217,510,000 275.66
21-Jun-88 268.95 271.67 267.52 271.67 155,060,000 271.67
20-Jun-88 270.67 270.68 268.59 268.94 116,750,000 268.94
17-Jun-88 269.79 270.77 268.09 270.68 343,920,000 270.68
16-Jun-88 274.44 274.45 268.76 269.77 161,550,000 269.77
15-Jun-88 274.29 274.45 272.75 274.45 150,260,000 274.45
14-Jun-88 271.58 276.14 271.44 274.3 227,150,000 274.3
13-Jun-88 271.28 271.94 270.53 271.43 125,310,000 271.43
10-Jun-88 270.22 273.21 270.2 271.26 155,710,000 271.26
9-Jun-88 271.5 272.29 270.19 270.2 235,160,000 270.2
8-Jun-88 265.32 272.01 265.17 271.52 310,030,000 271.52
7-Jun-88 267.02 267.28 264.5 265.17 168,710,000 265.17
6-Jun-88 266.46 267.05 264.97 267.05 152,460,000 267.05
3-Jun-88 265.34 267.11 264.42 266.45 189,600,000 266.45
2-Jun-88 266.65 266.71 264.12 265.33 193,540,000 265.33
1-Jun-88 262.16 267.43 262.1 266.69 234,560,000 266.69
31-May-88 253.44 262.16 253.42 262.16 247,610,000 262.16
27-May-88 254.62 254.63 252.74 253.42 133,590,000 253.42
26-May-88 253.75 254.98 253.52 254.63 164,260,000 254.63
25-May-88 253.52 255.34 253.51 253.76 138,310,000 253.76
24-May-88 250.84 253.51 250.83 253.51 139,930,000 253.51
23-May-88 253 253.02 249.82 250.83 102,640,000 250.83
20-May-88 252.61 253.7 251.79 253.02 120,600,000 253.02
19-May-88 251.36 252.57 248.85 252.57 165,160,000 252.57
18-May-88 255.4 255.67 250.73 251.35 209,420,000 251.35
17-May-88 258.72 260.2 255.35 255.39 133,850,000 255.39
16-May-88 256.75 258.71 256.28 258.71 155,010,000 258.71
13-May-88 253.88 256.83 253.85 256.78 147,240,000 256.78
12-May-88 253.32 254.87 253.31 253.85 143,880,000 253.85
11-May-88 257.6 257.62 252.32 253.31 176,720,000 253.31
10-May-88 256.53 258.3 255.93 257.62 131,200,000 257.62
9-May-88 257.47 258.22 255.45 256.54 166,320,000 256.54
6-May-88 258.8 260.31 257.03 257.48 129,080,000 257.48
5-May-88 260.3 260.32 258.13 258.79 171,840,000 258.79
4-May-88 263.05 263.23 260.31 260.32 141,320,000 260.32
3-May-88 261.55 263.7 261.55 263 176,920,000 263
2-May-88 261.36 261.56 259.99 261.56 136,470,000 261.56
Interco May 2- Aug 8

Date Close
8-Aug-88 72.5
5-Aug-88 68.25
4-Aug-88 67.375
3-Aug-88 67
2-Aug-88 67.625
1-Aug-88 68.875
29-Jul-88 68.5
28-Jul-88 67.75
27-Jul-88 59.375
26-Jul-88 58.875
25-Jul-88 58
22-Jul-88 57.25
21-Jul-88 58.875
20-Jul-88 58.125
19-Jul-88 58.375
18-Jul-88 54.5
15-Jul-88 54.375
14-Jul-88 49
13-Jul-88 46.375
12-Jul-88 45.375
11-Jul-88 45.25
8-Jul-88 45
7-Jul-88 44.625
6-Jul-88 44.5
5-Jul-88 45.375
1-Jul-88 44.625
30-Jun-88 44.75
29-Jun-88 44
28-Jun-88 44
27-Jun-88 43.625
24-Jun-88 43.5
23-Jun-88 43.625
22-Jun-88 43.75
21-Jun-88 43.125
20-Jun-88 43.25
17-Jun-88 43.625
16-Jun-88 42.875
15-Jun-88 42.5
14-Jun-88 43.625
13-Jun-88 43.5
10-Jun-88 43.375
9-Jun-88 43.375
8-Jun-88 43.875
7-Jun-88 42
6-Jun-88 43.25
3-Jun-88 44.125
2-Jun-88 42.875
1-Jun-88 43.5
31-May-88 43.875
27-May-88 41.25
26-May-88 42.625
25-May-88 42.5
24-May-88 41.5
23-May-88 40.375
20-May-88 40.625
19-May-88 40.625
18-May-88 41.5
17-May-88 42
16-May-88 42.25
13-May-88 42.125
12-May-88 42
11-May-88 41.625
10-May-88 41.75
9-May-88 40.875
6-May-88 40.625
5-May-88 41.625
4-May-88 41
3-May-88 41.5
2-May-88 40.25
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.287376
R Square 0.082585
Adjusted R 0.068685
Standard E 0.028335
Observatio 68

ANOVA
df SS MS F Significance F
Regression 1 0.00477 0.00477 5.941263 0.017493
Residual 66 0.05299 0.000803
Total 67 0.05776

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 99.0%
Upper 99.0%
Intercept 0.008681 0.00344 2.52325 0.014044 0.001812 0.01555 -0.000444 0.017806
X Variable 0.798085 0.327424 2.437471 0.017493 0.144363 1.451807 -0.070371 1.666541
May 2 - Aug 8 1988

Date S&P 500 Interco Return S&P 500 Return Interco


8-Aug-88 269.980 72.500 -0.004314954822 0.06227106227
5-Aug-88 271.150 68.250 -0.002868385246 0.01298701299
4-Aug-88 271.930 67.375 -0.003846435636 0.00559701493
3-Aug-88 272.980 67.000 0.003381606998 -0.00924214418
2-Aug-88 272.060 67.625 -0.000551045149 -0.01814882033
1-Aug-88 272.210 68.875 0.000698478053 0.00547445255
29-Jul-88 272.020 68.500 0.036266666667 0.0110701107
28-Jul-88 262.500 67.750 0 0.14105263158
27-Jul-88 262.500 59.375 -0.010143670576 0.008492569
26-Jul-88 265.190 58.875 0.00192685507 0.0150862069
25-Jul-88 264.680 58.000 0.004478178368 0.01310043668
22-Jul-88 263.500 57.250 -0.011850296257 -0.02760084926
21-Jul-88 266.660 58.875 -0.01237037037 0.01290322581
20-Jul-88 270.000 58.125 0.005698960778 -0.00428265525
19-Jul-88 268.470 58.375 -0.007541310857 0.07110091743
18-Jul-88 270.510 54.500 -0.005660724132 0.00229885057
15-Jul-88 272.050 54.375 0.006623251684 0.10969387755
14-Jul-88 270.260 49.000 0.003490271796 0.05660377358
13-Jul-88 269.320 46.375 0.005488146351 0.02203856749
12-Jul-88 267.850 45.375 -0.00997967104 0.00276243094
11-Jul-88 270.550 45.250 0.001962817569 0.00555555556
8-Jul-88 270.020 45.000 -0.006475826036 0.00840336134
7-Jul-88 271.780 44.625 -0.000882288067 0.00280898876
6-Jul-88 272.020 44.500 -0.013741343679 -0.01928374656
5-Jul-88 275.810 45.375 0.014828169843 0.01680672269
1-Jul-88 271.780 44.625 -0.006288848263 -0.00279329609
30-Jun-88 273.500 44.750 0.009299579305 0.01704545455
29-Jun-88 270.980 44.000 -0.0048841394 0
28-Jun-88 272.310 44.000 0.012079090166 0.00859598854
27-Jun-88 269.060 43.625 -0.017240119804 0.00287356322
24-Jun-88 273.780 43.500 -0.003784295175 -0.00286532951
23-Jun-88 274.820 43.625 -0.003047232098 -0.00285714286
22-Jun-88 275.660 43.750 0.014686936357 0.01449275362
21-Jun-88 271.670 43.125 0.01015096304 -0.00289017341
20-Jun-88 268.940 43.250 -0.006428254766 -0.00859598854
17-Jun-88 270.680 43.625 0.003373243874 0.01749271137
16-Jun-88 269.770 42.875 -0.017052286391 0.00882352941
15-Jun-88 274.450 42.500 0.000546846518 -0.02578796562
14-Jun-88 274.300 43.625 0.01057362856 0.00287356322
13-Jun-88 271.430 43.500 0.000626705006 0.00288184438
10-Jun-88 271.260 43.375 0.003923019985 0
9-Jun-88 270.200 43.375 -0.00486152033 -0.0113960114
8-Jun-88 271.520 43.875 0.023946901987 0.04464285714
7-Jun-88 265.170 42.000 -0.007039880172 -0.0289017341
6-Jun-88 267.050 43.250 0.002251829612 -0.01983002833
3-Jun-88 266.450 44.125 0.004221158557 0.02915451895
2-Jun-88 265.330 42.875 -0.005099553789 -0.01436781609
1-Jun-88 266.690 43.500 0.017279523955 -0.00854700855
31-May-88 262.160 43.875 0.034488201405 0.06363636364
27-May-88 253.420 41.250 -0.004751993088 -0.03225806452
26-May-88 254.630 42.625 0.003428436318 0.00294117647
25-May-88 253.760 42.500 0.000986154392 0.02409638554
24-May-88 253.510 41.500 0.010684527369 0.02786377709
23-May-88 250.830 40.375 -0.008655442258 -0.00615384615
20-May-88 253.020 40.625 0.001781684286 0
19-May-88 252.570 40.625 0.004853789537 -0.02108433735
18-May-88 251.350 41.500 -0.015818943576 -0.0119047619
17-May-88 255.390 42.000 -0.012832901705 -0.00591715976
16-May-88 258.710 42.250 0.007516161695 0.00296735905
13-May-88 256.780 42.125 0.01154224936 0.00297619048
12-May-88 253.850 42.000 0.002131775295 0.00900900901
11-May-88 253.310 41.625 -0.016730067541 -0.00299401198
10-May-88 257.620 41.750 0.004209869806 0.02140672783
9-May-88 256.540 40.875 -0.003650768992 0.00615384615
6-May-88 257.480 40.625 -0.005062019398 -0.02402402402
5-May-88 258.790 41.625 -0.005877381684 0.01524390244
4-May-88 260.320 41.000 -0.010190114068 -0.01204819277
3-May-88 263.000 41.500 0.005505428965 0.03105590062
2-May-88 261.560 40.250
Beta
0.798085

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