Investments, by Bodie, Kane, and Marcus, 8th Edition

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Problem 12 - HPRs

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Edition
Raw Data: Annual HPRs, 1976-2005
12. You can find annual holding-period returns for several asset classes at
Long-Term our Web site ( www.mhhe.com/bkm); look for links to Chapter 5. Return to Main Menu
Year Large Stock TBonds The data is provided here.
1976 23.98 11.07
Compute the means, standard deviations, skewness, and kurtosis of the
1977 -7.26 0.90
annual HPR of large stocks and long-term Treasury bonds using only the
1978 6.50 -4.16 30 years of data between 1976–2005. How do these statistics compare
1979 18.77 9.02 with those computed from the data for the period 1926–1941?
1980 32.48 13.17
1981 -4.98 3.61 Which do you think are the most relevant statistics to use for projecting into
1982 22.09 6.52 the future?
1983 22.37 -0.53
1984 6.46 15.29
1985 32.00 32.68
1986 18.40 23.96
1987 5.34 -2.65
Long-Term
1988 16.86 8.40 Large Stock TBonds
1989 31.34 19.49 Average Help with Excel's AVERAGE Fu
1990 -3.20 7.13 Standard deviation Help with Excel's STDEV Fun
1991 30.66 18.39 Skewness Help with Excel's SKEW Func
1992 7.71 7.79 Kurtosis Help with Excel's KURT Func
1993 9.87 15.48
1994 1.29 -7.18
1995 37.71 31.67 Which do you think are the most relevant statistics to
1996 23.07 -0.81 use for projecting into the future?
1997 33.17 15.08
1998 28.58 13.52
1999 21.04 -8.74
2000 -9.10 20.27
2001 -11.89 4.21
2002 -22.10 16.79
2003 28.69 2.38
2004 10.88 7.71
2005 4.91 6.50

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