acme:
Monthly Excess Returns
Description
The acme data frame has 60 rows and 3 columns.
The excess return for the Acme Cleveland Corporation are recorded along with
those for all stocks listed on the New York and American Stock Exchanges were
recorded over a five year period. These excess returns are relative to the
return on a risk-less investment such a U.S. Treasury bills.
Format
This data frame contains the following columns:
month-
A character string representing the month of the observation.
market-
The excess return of the market as a whole.
acme-
The excess return for the Acme Cleveland Corporation.
Source
The data were obtained from Simonoff, J.S. and Tsai, C.-L. (1994) Use of modified profile likelihood for
improved tests of constancy of variance in regression.
Applied Statistics, 43, 353--370.References
Davison, A.C. and Hinkley, D.V. (1997) Bootstrap Methods and Their Application. Cambridge University Press.