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 Nearby Second Nearby
    Jul-98 292.5 299.0
    Aug-98 279.1 277.5
    Sep-98 259.0 261.9
    Oct-98 263.9 263.0
    Nov-98 284.4 278.2
    Dec-98 299.5 290.2
    Jan-99 333.8 305.9
    Feb-99 324.7 317.0
    Mar-99 328.4 323.0
    Apr-99 334.8 328.3
    May-99 349.2 341.0
    Jun-99 403.6 386.6
  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 Nearby Second Nearby
    Jul-98 294.0 302.2
    Aug-98 281.0 280.4
    Sep-98 260.5 265.0
    Oct-98 265.5 266.1
    Nov-98 285.6 280.4
    Dec-98 300.5 291.8
    Jan-99 333.8 306.7
    Feb-99 325.0 317.2
    Mar-99 328.6 323.1
    Apr-99 334.8 328.3
    May-99 349.2 341.0
    Jun-99 403.6 386.6

 

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