Exercise Solution 6.1

  1. Sufficient price data to construct both a first and second price nearby are only available for dates between July 1998 and June 1999. Accordingly, we use only this data. The resulting price-adjusted first and second nearbys are
    First NearbySecond Nearby
    Jul-98292.5299.0
    Aug-98279.1277.5
    Sep-98259.0261.9
    Oct-98263.9263.0
    Nov-98284.4278.2
    Dec-98299.5290.2
    Jan-99333.8305.9
    Feb-99324.7317.0
    Mar-99328.4323.0
    Apr-99334.8328.3
    May-99349.2341.0
    Jun-99403.6386.6
  2. To calculate return-adjusted nearbys, we use data from June 1998 to June 1999. The resulting first and second return-adjusted nearbys extend from July 1998 to June 1999.
    First NearbySecond Nearby
    Jul-98294.0302.2
    Aug-98281.0280.4
    Sep-98260.5265.0
    Oct-98265.5266.1
    Nov-98285.6280.4
    Dec-98300.5291.8
    Jan-99333.8306.7
    Feb-99325.0317.2
    Mar-99328.6323.1
    Apr-99334.8328.3
    May-99349.2341.0
    Jun-99403.6386.6