SolutionManualforexercisesinJohnCampbell,And

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2019-06-13

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-3-2-101230.00.20.40.60.81.0DailyCont.Comp.ReturnsofEqual-WeightedIndex;1962--1994ContinuouslyCompoundedReturn[%]Proportion-3-2-101230.00.20.40.60.81.0DailyCont.Comp.ReturnsofEqual-WeightedIndex;1962--1994ContinuouslyCompoundedReturn[%]Proportion-3-2-101230.00.20.40.60.81.0DailyCont.Comp.ReturnsofEqual-WeightedIndex;1962--1994ContinuouslyCompoundedReturn[%]Proportion-3-2-101230.00.20.40.60.81.0DailyCont.Comp.ReturnsofEqual-WeightedIndex;1962--1994ContinuouslyCompoundedReturn[%]Proportion116117118119120121122123124050100150200250300PriceinDollarsNumberoftradesHistogramforIBM’sStockPrice-6-4-2024602004006008001000120014001600ChangeofPrice(EighthsofDollar)NumberofTradesHistogramofIBM’sStockPriceChanges-6-4-2024602004006008001000ChangeofPrice(EighthsofDollar)NumberofTradesHistogramofIBM’sStockPriceChangesFallingonEvenEighth-6-4-2024602004006008001000ChangeofPrice(EighthsofDollar)NumberofTradesHistogramofIBM’sStockPriceChangesFallingonOddEighth020406080100120140160180200050100150200250300350400450500TimeBetweenConsecutiveTrades(sec)OccurrencesHistogramofTimesBetweenTradesforIBM91011121314151617116118120122DayTimeinHoursPriceinDollarsIBM’sStockPricePath,Jan4,1988910111213141516170100200300400500DayTimeinHoursVolumein100sofSharesIBM’sStockTradingVolume,Jan4,198891011121314151617121.5122122.5123123.5DayTimeinHoursPriceinDollarsIBM’sStockPricePath,Jan5,198891011121314151617050100150200250DayTimeinHoursVolumein100sofSharesIBM’sStockTradingVolume,Jan5,19880.10.150.20.250.30.350.40.450.50100200300400500600700800Bid−AskSpreadinDollarsNumberofQuotesHistogramofIBM’sBid/AskSpreadonJan4,1988��ReturnsinPeriod1965:1-1994:12;KernelRegressionSP500MonthlyReturn[%]IBMMonthlyReturn[%]-20-10010-20-1001020