Exercise Solution 6.1
- 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 |
- 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 |
