Table 1. Betas of different companies according to different sources

AT&T Boeing CocaCola Date

Yahoo 0.61 0.46 0.29 12-Feb-03

Multex 0.87 0.66 0.42 12-Feb-03

Quicken 1.14 0.66 0.41 12-Feb-03

Reuters 0.87 0.68 0.42 12-Feb-03

Bloomberg 1.00 1.07 0.64 12-Feb-03

Datastream 1.10 1.10 0.37 12-Feb-03

Buy&hold 0.84 0.66 0.41 14-Feb-03

Max 1.14 1.10 0.64min 0.61 0.46 0.29

Table 2. Historical betas of the 3,813 companies in our sample with respect to the S&P 500

Market Cap. Market Cap.

Number % $ bn % Number % $ bn % Number

All betas > 0 2,780 73% 11,956 93% 404 90% 8,980 93% 28 93%

Average beta > 1 1,242 33% 5,758 45% 157 35% 4,273 44% 13 43%

All betas > 1 434 11% 3,116 24% 71 16% 2,574 27% 7 23%

Average beta < 0 124 3% 132 1% 10 2% 102 1% 0 0%

All betas < 0 2 0% 97 1% 0 0% 0% 0 0%

Abs(Beta max/beta min) > 2 2,927 77% 6,417 50% 235 52% 4,484 47% 12 40%

Total 3,813 100% 12,886 100% 450 100% 9,638 100% 30 100%

Full sample S&P 500

Companies Companies Companies

Market Cap. Market Cap.Number % $ bn % Number % $ bn %

All betas > 0 98 97% 12,747 99% 95 94% 12,450 129%Average beta > 1 20 20% 3,630 28% 26 26% 5,381 56%All betas > 1 12 12% 2,665 21% 18 18% 3,714 39%Average beta < 0 1 1% 18 0% 0 0% 0%All betas < 0 0 0% 0% 0 0% 0%Abs(Beta max/beta min) > 2 25 25% 1,337 10% 31 31% 3,545 37%Total 101 100% 12,886 100% 101 100% 9,638 100%

Industries IndustriesIndustry weighted betas Industry unweighted betas

Market Cap.

% $ bn %

93% 3,223 94%

43% 1,839 54%

23% 1,372 40%

0% 0%

0% 0%

40% 1,225 36%

100% 3,425 100%

DJIA 30

Companies

Market Cap. Market Cap.Number % $ bn % Number % $ bn %

All betas > 0 98 97% 12,747 99% 95 94% 12,450 129%Average beta > 1 20 20% 3,630 28% 26 26% 5,381 56%All betas > 1 12 12% 2,665 21% 18 18% 3,714 39%Average beta < 0 1 1% 18 0% 0 0% 0%All betas < 0 0 0% 0% 0 0% 0%Abs(Beta max/beta min) > 2 25 25% 1,337 10% 31 31% 3,545 37%Total 101 100% 12,886 100% 101 100% 9,638 100%

Industries IndustriesIndustry weighted betas Industry unweighted betas

Company betas Industry betas

Full sample S&P 500 DJIA 30 Weighted Unweighted

Median 0.72 0.82 0.88 0.84 0.74

Beta average Average 0.83 0.91 0.94 0.88 0.79

Maximum 4.46 3.13 1.66 2.78 1.98

minimum -1.43 -0.17 0.12 0.06 -0.05

Median 0.88 0.63 0.53 0.41 0.35

Max - Min Average 1.05 0.68 0.53 0.45 0.38

Maximum 3.99 2.17 0.94 1.02 1.23

minimum 0.12 0.21 0.27 0.14 0.15

Median 3.07 2.11 1.77 1.64 1.52

Abs (Max / Min) Average 15.7 4.76 2.72 2.72 2.57

Maximum 10116.62 251.72 23.58 35.47 42.03

minimum 0.1 0.12 1.25 1.12 0.95

Median 1.31 0.76 0.52 0.49 0.44

(MAX-Min) / Average 6.72 2.32 0.76 1.26 0.71

Abs (Beta December 31) Maximum 2997.32 240.01 3.36 55.62 6.77

minimum 0.21 0.21 0.24 0.12 0.19

Table 3. Summary statistics of the historical betas of the 3,813 companies in our sample with respect to the S&P 500

Table 4. Historical betas of the 3813 companies in our sample with respect to the S&P 500

Maximum Beta - Minimum Beta

# companies 3 - 3.99 2 - 2.99 1 - 1.99 0.5 - 0.99 0.2 - 0.49

3813 Full sample 65 268 1246 1574 653

450 S&P 500 0 1 56 250 143

3363 Not in the S&P 500 65 267 1190 1324 510

30 DJIA 0 0 6 16 8

101 Industry weighted 0 0 1 37 59

101 Industry unweighted 0 0 1 15 77

(Maximum Beta - Minimum Beta)/Abs(Beta December 31)

# companies > 3 2 - 2.99 1 - 1.99 0.5 - 0.99 0.2 - 0.49

3813 Full sample 800 425 1208 1125 255

450 S&P 500 36 23 95 190 106

3363 Not in the S&P 500 764 402 1113 935 149

30 DJIA 1 1 3 11 14

101 Industry weighted 3 2 12 31 51

101 Industry unweighted 2 3 10 24 61

Maximum Beta - Minimum Beta

< 0.2 average

7 1.05

0 0.68

7 1.10

0 0.53

4 0.45

8 0.38

(Maximum Beta - Minimum Beta)/Abs(Beta December 31)

< 0.2 average

0 6.72

0 2.32

0 7.31

0 0.76

2 1.26

1 0.71

Correlation Company volatility / Market volatility

Average Max min Max/min Average Max

3M Co. 0.38 0.50 0.23 2.12 1.51 1.69

Alcoa 0.37 0.53 0.21 2.55 2.13 2.47

American Express 0.78 0.83 0.70 1.18 1.88 2.17

AT&T 0.34 0.44 0.14 3.11 2.22 2.57

Boeing 0.45 0.54 0.27 1.97 2.13 2.40

Caterpillar 0.40 0.52 0.31 1.65 1.93 2.15

Citigroup 0.80 0.85 0.71 1.19 2.07 2.32

Coca Cola 0.46 0.61 0.32 1.92 1.73 1.95

Du Pont 0.43 0.55 0.31 1.78 1.75 1.97

Eastman Kodak 0.28 0.35 0.18 1.97 1.98 2.25

Exxon Mobil 0.40 0.58 0.24 2.39 1.06 1.18

General Electric 0.79 0.83 0.74 1.11 1.59 1.72

Hewlett-Packard 0.53 0.68 0.39 1.76 2.55 2.90

Home Depot 0.62 0.71 0.50 1.43 2.01 2.28

Honeywell Intl. 0.50 0.59 0.42 1.40 2.44 2.76

IBM 0.56 0.66 0.36 1.83 2.11 2.30

Intel 0.57 0.64 0.50 1.28 2.72 3.09

Intl.Paper 0.38 0.48 0.29 1.67 1.90 2.15

Johnson & Johnson 0.37 0.53 0.25 2.14 1.29 1.50

J P Morgan Chase 0.72 0.77 0.66 1.18 2.21 2.50

McDonalds 0.41 0.49 0.30 1.64 1.60 1.85

Merck 0.36 0.55 0.14 4.02 1.67 1.89

Microsoft 0.60 0.66 0.52 1.26 2.55 3.10

Philip Morris 0.07 0.25 -0.07 3.67 1.96 2.20

SBC Comm. 0.30 0.47 0.15 3.16 1.62 1.83

United Technologies 0.64 0.72 0.56 1.28 1.89 2.12

Wal Mart Stores 0.56 0.67 0.46 1.45 1.78 2.06

General Motors 0.52 0.58 0.44 1.31 1.95 2.16

Procter & Gamble 0.24 0.45 -0.02 20.37 1.83 2.12

Walt Disney 0.55 0.70 0.43 1.61 1.90 2.07

Average 0.48 0.59 0.35 2.51 1.93 2.19

Max 0.80 0.85 0.74 20.37 2.72 3.10

Min 0.07 0.25 -0.07 1.11 1.06 1.18

Table 5. Some statistics of the correlation and of the company volatility divided by the market volatility of the S&P 500 for the 30 companies in the DJIA in the two-month period of December 2001 and January 2002.

Company volatility / Market volatility

min Max/min

1.39 1.22

1.91 1.29

1.71 1.27

1.98 1.29

1.92 1.25

1.74 1.24

1.89 1.23

1.46 1.33

1.56 1.26

1.67 1.35

0.90 1.31

1.46 1.18

2.23 1.30

1.82 1.25

2.29 1.20

1.89 1.22

2.43 1.27

1.65 1.30

1.10 1.37

1.89 1.32

1.50 1.23

1.42 1.33

2.24 1.38

1.66 1.32

1.36 1.35

1.70 1.25

1.62 1.27

1.78 1.22

1.58 1.34

1.69 1.22

1.71 1.28

2.43 1.38

0.90 1.18

Table 5. Some statistics of the correlation and of the company volatility divided by the market volatility of the S&P 500 for the 30 companies in the DJIA in the two-month period of December 2001 and January 2002.

Table 6. Percentage days or months that the share price and the S&P 500 move in the same direction

(1/1/1997-31/12/2001)

All companies 30 companies DJIA

Percentage range Monthly data Daily data Monthly data Daily data

0 - 10% 0 10

10% - 20% 4 32

20% - 30% 7 126

30% - 40% 23 598

40% - 50% 404 1138

50% - 60% 2037 1406 2

60% - 70% 1227 474 16 24

70% - 80% 107 29 11 6

80% - 90% 4 0 1

90% - 100% 0 0

Number of companies 3813 3813 30 30

Average 58.0% 48.7% 68.3% 65.9%

Median 58.1% 50.0% 66.9% 64.5%

Number of misallocated portfolios on the 62 days of the following two months.

Date

December: 10 and 16.

December: 12, 13, 14 and 15. January: 12, 13, 15 and 16.

January: 14.

December: 17 and 19.

December: 8 and 21. January: 8, 10, 17 and 19.

December: 18. January: 18, 20 and 21.

December: 5, 6, 7, 9, 11, 20 and 22. January: 5, 6, 7, 9, 11 and 22.

December: 3, 4, 23, 24, 27, 28, 29, 30 and 31. January: 3, 4, 23, 24, 27, 28, 29 and 30.

9 days

Table 7. Twenty portfolios ranked by decreasing beta on December 1, 2001

misallocated portfolios

13

11

10

9

8

6

4

2

0

All Low-ß ß-2 ß-3 ß-4 ß-5 ß-6 ß-7

All 71.3% 52.8% 71.9% 78.2% 82.5% 79.3% 80.6% 82.8%

Small-ME 74.7% 61.5% 77.8% 76.9% 83.8% 86.3% 79.5% 82.9%

ME-2 73.3% 62.5% 73.4% 79.7% 87.5% 78.1% 78.1% 78.1%

ME-3 73.1% 52.6% 76.3% 76.3% 81.6% 81.6% 86.8% 89.5%

ME-4 72.9% 62.5% 75.0% 87.5% 71.9% 68.8% 81.3% 93.8%

ME-5 66.6% 51.7% 65.5% 72.4% 82.8% 72.4% 75.9% 86.2%

ME-6 68.4% 47.6% 61.9% 81.0% 85.7% 90.5% 76.2% 66.7%

ME-7 62.6% 19.0% 42.9% 61.9% 81.0% 71.4% 90.5% 85.7%

ME-8 65.4% 31.6% 73.7% 84.2% 78.9% 63.2% 78.9% 78.9%

ME-9 67.5% 26.3% 63.2% 84.2% 78.9% 84.2% 84.2% 84.2%

Large-ME 66.1% 41.2% 76.5% 82.4% 82.4% 70.6% 82.4% 76.5%

Panel B. Portfolio weighted Beta December, 1 - Portfolio weighted Beta December, 15

All Low-ß ß-2 ß-3 ß-4 ß-5 ß-6 ß-7

All -0.34 -0.22 -0.17 -0.20 -0.09 -0.09 -0.03

Small-ME -0.09 -0.42 -0.22 -0.17 -0.17 -0.10 -0.13 0.04

ME-2 -0.11 -0.36 -0.24 -0.21 -0.20 -0.07 -0.14 -0.14

ME-3 -0.11 -0.29 -0.29 -0.23 -0.26 -0.09 -0.13 -0.18

ME-4 -0.11 -0.48 -0.25 -0.22 -0.17 -0.12 -0.09 -0.03

ME-5 -0.06 -0.35 -0.26 -0.17 -0.26 0.01 -0.04 -0.04

ME-6 -0.06 -0.27 -0.16 -0.16 -0.12 -0.17 -0.02 0.00

ME-7 -0.03 -0.20 -0.17 -0.11 -0.24 -0.08 -0.01 -0.01

ME-8 0.01 -0.13 -0.17 -0.06 -0.18 -0.09 -0.03 0.08

ME-9 -0.01 -0.22 -0.14 -0.16 -0.15 -0.16 -0.08 0.12

Large-ME -0.01 -0.19 -0.18 -0.06 -0.24 -0.07 0.06 -0.03

Table 8. Percentage of the companies in each portfolio formed on December 1 that change portfolio if portfolios formed on December 15, 2001. Change in the betas of each portfolio from December 1 to December 15, 2001. Portfolios formed according to Fama and French (1992).

Panel A. Percentage of the companies in each portfolio formed on December 1 that change portfolio if portfolios formed on December 15.

ß-8 ß-9 High-ß

76.1% 71.1% 39.5%

77.8% 76.9% 45.2%

81.3% 65.6% 48.4%

84.2% 65.8% 40.9%

75.0% 68.8% 45.5%

62.1% 69.0% 31.3%

81.0% 66.7% 30.4%

71.4% 76.2% 27.3%

68.4% 68.4% 30.0%

68.4% 84.2% 26.1%

70.6% 58.8% 22.2%

Panel B. Portfolio weighted Beta December, 1 - Portfolio weighted Beta December, 15

ß-8 ß-9 High-ß

0.04 0.04 0.27

0.06 -0.03 0.20

-0.05 0.06 0.26

0.07 0.04 0.19

-0.03 -0.12 0.42

0.05 0.15 0.30

0.03 0.00 0.25

0.10 0.24 0.19

0.21 0.09 0.41

0.05 0.13 0.42

0.08 0.22 0.34

the companies in each portfolio formed on December 1 that change portfolio if portfolios formed on December 15, 2001. Change in the betas of each portfolio from December 1 to December 15, 2001. Portfolios formed according to Fama and French (1992).

the companies in each portfolio formed on December 1 that change portfolio if portfolios formed on December 15.

Table 9. Historical relative betas of the 30 companies in the Dow Jones Industrial Average Index

Beta S&P 500 / Beta DJ IND Beta S&P 500 / Beta W 5000

Max min average max/min Max min average

3M Co. 0.76 0.51 0.65 1.51 2.02 1.00 1.20

Alcoa 0.86 0.46 0.66 1.86 1.22 0.94 1.03

American Express 1.10 0.89 0.99 1.23 1.16 1.04 1.10

AT&T 2.57 1.19 1.66 2.15 1.09 0.92 1.00

Boeing 0.84 0.55 0.74 1.51 1.11 0.99 1.05

Caterpillar 0.78 0.48 0.66 1.62 1.37 1.10 1.21

Citigroup 1.18 0.96 1.05 1.24 1.16 1.02 1.09

Coca Cola 1.02 0.80 0.90 1.26 1.30 1.07 1.17

Du Pont 0.81 0.54 0.70 1.51 1.75 1.09 1.26

Eastman Kodak 0.90 0.56 0.75 1.60 1.24 0.92 1.10

Exxon Mobil 0.91 0.69 0.80 1.32 1.38 0.97 1.14

General Electric 1.23 1.00 1.10 1.23 1.21 1.07 1.12

Hewlett-Packard 1.33 1.06 1.19 1.26 1.01 0.85 0.93

Home Depot 1.30 1.00 1.15 1.30 1.18 0.99 1.08

Honeywell Intl. 0.87 0.68 0.80 1.29 1.31 1.09 1.18

IBM 1.10 0.80 0.98 1.38 1.10 0.99 1.05

Intel 1.38 1.06 1.24 1.30 1.04 0.95 1.00

Intl.Paper 0.80 0.49 0.66 1.62 1.41 1.10 1.22

Johnson & Johnson 1.12 0.60 0.90 1.86 1.90 1.22 1.40

J P Morgan Chase 1.24 1.02 1.11 1.21 1.08 0.96 1.04

McDonalds 1.12 0.73 0.93 1.53 1.81 1.19 1.36

Merck 1.29 0.70 1.06 1.84 2.67 1.27 1.54

Microsoft 1.55 1.02 1.34 1.52 1.09 0.99 1.04

Philip Morris 12.10 -28.10 -0.07 0.43 27.10 -2.86 1.80

SBC Comm. 1.94 0.98 1.46 1.97 1.74 1.07 1.26

United Technologies 0.92 0.77 0.86 1.19 1.23 1.07 1.14

Wal Mart Stores 1.25 0.96 1.10 1.31 1.31 1.11 1.22

General Motors 1.07 0.85 0.98 1.26 1.07 0.95 1.01

Procter & Gamble 1.00 -0.16 0.63 6.22 3.09 0.49 1.49

Walt Disney 1.21 0.90 1.05 1.33 1.14 0.96 1.06

Average 1.52 0.80 0.97 1.59 2.28 1.01 1.18

Median 1.11 0.79 0.96 1.36 1.23 1.00 1.13

Beta S&P 500 / Beta W 5000

max/min

2.02

1.30

1.11

1.19

1.13

1.24

1.13

1.21

1.60

1.35

1.43

1.13

1.19

1.19

1.20

1.12

1.09

1.29

1.56

1.12

1.51

2.11

1.10

9.47

1.62

1.15

1.18

1.13

6.34

1.18

1.75

1.19

Table 10. Change in beta ranking order in the month of December, 2001. Statistics of the difference Maximum beta ranking - minimum beta ranking.

Maximum ranking - minimum ranking Full sample S&P 500 DJIA 30

MAX 3760 2592 2041

Min 15 74 467

Average 1542 1154 1001

Median 1391 1126 908

Number of companies 3813 450 30

Table 10. Change in beta ranking order in the month of December, 2001. Statistics of the difference Maximum beta ranking - minimum beta ranking.

Table 11. Calculated betas as of December 31, 2001 of the 30 companies in the Dow Jones Industrial Average Index

12/31/2001 Beta S&P 500 Beta DJ IND Beta W 5000

PHILIP MORRIS MO 0.232 0.378 0.149

PROCTER & GAMBLE PG 0.281 0.460 0.244

EXXON MOBIL XOM 0.358 0.480 0.329

SBC COMMUNICATIONS SBC 0.460 0.367 0.322

MERCK MRK 0.483 0.528 0.299

3M CO. MMM 0.488 0.778 0.464

JOHNSON & JOHNSON JNJ 0.488 0.578 0.363

EASTMAN KODAK EK 0.590 0.791 0.522

COCA COLA KO 0.654 0.775 0.530

MCDONALDS MCD 0.677 0.769 0.500

CATERPILLAR CAT 0.731 1.104 0.633

DU PONT DD 0.771 1.019 0.700

BOEING BA 0.807 1.178 0.744

WAL MART STORES WMT 0.917 1.104 0.749

WALT DISNEY DIS 0.928 1.022 0.844

AT&T T 0.959 1.104 0.942

INTL.PAPER IP 1.011 1.323 0.877

GENERAL MOTORS GM 1.129 1.167 1.087

HOME DEPOT HD 1.130 1.104 1.143

GENERAL ELECTRIC GE 1.163 1.104 1.063

HONEYWELL INTL. HON 1.176 1.564 1.016

ALCOA AA 1.219 1.487 1.209

IBM IBM 1.234 1.196 1.171

AMERICAN EXPRESS AXP 1.245 1.374 1.120

UNITED TECHNOLOGIES UTX 1.323 1.488 1.207

CITIGROUP C 1.459 1.525 1.320

HEWLETT-PACKARD HPQ 1.489 1.270 1.639

J P MORGAN CHASE & CO. JPM 1.518 1.431 1.458

INTEL @INTC 1.696 1.434 1.632

MICROSOFT @MSFT 1.823 1.379 1.716

average average 0.948 1.043 0.866

Table 11. Calculated betas as of December 31, 2001 of the 30 companies in the Dow Jones Industrial Average Index

Max-min

0.229

0.216

0.151

0.138

0.229

0.314

0.215

0.269

0.245

0.269

0.471

0.319

0.434

0.355

0.178

0.162

0.446

0.080

0.039

0.100

0.548

0.278

0.063

0.254

0.281

0.205

0.369

0.087

0.262

0.4440.255

Table 12. Portfolios of 200 companies sorted by realized return. Correlation of the portfolio return with the beta calculated on December 1, 2001

CORRELATION REALIZED RETURN - BETA.

1996-2001 1997 1998 1999 2000 2001

Slope -0.07 0.23 0.64 1.68 -1.00 -0.26

standard error slope 0.076 0.032 0.038 0.013 0.009 0.023

0.0002 0.0145 0.0728 0.8155 0.7667 0.0347

F statistic 0.8 53.2 282.6 15917.3 11835.9 129.4

intercept 0.54 0.02 -0.61 -1.25 1.10 0.43

Returns:

S&P 500 66.2% 33.4% 28.6% 21.0% -9.1% -11.9%

DOW JONES IND. 68.8% 24.9% 18.1% 26.7% -4.5% -5.4%

WILSHIRE 5000 48.8% 29.2% 21.7% 22.0% -11.8% -12.1%

R2

Table 12. Portfolios of 200 companies sorted by realized return. Correlation of the portfolio return with the beta calculated on December 1, 2001

Table A.1. Main findings of Fama and French’s article (1992)

Size Annual Beta Annual

of the Average average of the Average average Price /

companies beta return companies beta return book value

1 (biggest) 0.93 10.7% 1 (high) 1.68 15.1% 1 (high)

2 1.02 11.4% 2 1.52 16.0% 2

3 1.08 13.2% 3 1.41 14.8% 3

4 1.16 12.8% 4 1.32 14.8% 4

5 1.22 14.0% 5 1.26 15.6% 5

6 1.24 15.5% 6 1.19 15.6% 6

7 1.33 15.0% 7 1.13 15.7% 7

8 1.34 14.9% 8 1.04 15.1% 8

9 1.39 15.5% 9 0.92 15.8% 9

10 (smallest) 1.44 18.2% 10 (low) 0.80 14.4% 10 (low)

Annual

Average average

beta return

1.35 5.9%

1.32 10.4%

1.30 11.6%

1.28 12.5%

1.27 14.0%

1.27 15.6%

1.27 17.3%

1.27 18.0%

1.29 19.1%

1.34 22.6%

Appendix 2. Summary statistics of the historical betas of the 30 companies in the Dow Jones Industrial Average Index with respect to the S&P 500, the DJIA and the W 5000.

Beta S&P 500 Beta DJIA

1/12/01 -31/1/02 Max min average max/min Max min average max/min

MMM 0.79 0.36 0.57 0.76 2.22 1.09 0.69 0.87 0.46 1.58

AA 1.22 0.45 0.78 0.99 2.73 1.49 0.96 1.18 0.45 1.55

AXP 1.76 1.24 1.46 0.36 1.42 1.75 1.33 1.48 0.28 1.32

T 1.02 0.32 0.77 0.91 3.16 0.75 0.15 0.48 1.24 4.94

BA 1.22 0.57 0.95 0.68 2.14 1.60 1.00 1.28 0.47 1.59

CAT 1.04 0.60 0.78 0.58 1.75 1.36 0.96 1.18 0.34 1.41

C 1.96 1.45 1.66 0.31 1.35 1.71 1.49 1.58 0.14 1.15

KO 1.11 0.55 0.80 0.70 2.02 1.18 0.67 0.88 0.58 1.76

DD 0.87 0.54 0.74 0.45 1.62 1.19 0.93 1.07 0.25 1.28

EK 0.70 0.37 0.56 0.60 1.92 0.93 0.61 0.75 0.42 1.51

XOM 0.67 0.24 0.43 1.00 2.81 0.79 0.34 0.54 0.85 2.35

GE 1.39 1.12 1.25 0.22 1.25 1.35 0.94 1.14 0.36 1.43

HPQ 1.69 0.94 1.34 0.56 1.80 1.36 0.86 1.13 0.44 1.58

HD 1.44 0.99 1.24 0.36 1.45 1.23 0.89 1.08 0.31 1.38

HON 1.42 1.03 1.22 0.32 1.39 1.74 1.26 1.52 0.32 1.39

IBM 1.36 0.76 1.18 0.51 1.79 1.45 0.92 1.19 0.45 1.58

@INTC 1.85 1.25 1.55 0.39 1.48 1.53 0.92 1.25 0.49 1.66

IP 1.02 0.49 0.73 0.73 2.09 1.33 0.93 1.10 0.37 1.43

JNJ 0.75 0.33 0.47 0.89 2.26 0.71 0.41 0.52 0.56 1.70

JPM 1.93 1.38 1.59 0.34 1.39 1.76 1.25 1.44 0.36 1.41

MCD 0.81 0.48 0.66 0.50 1.70 0.90 0.53 0.72 0.51 1.68

MRK 0.95 0.24 0.61 1.18 4.04 0.80 0.31 0.56 0.88 2.58

@MSFT 1.91 1.27 1.53 0.42 1.51 1.43 0.82 1.15 0.54 1.76

MO 0.42 -0.15 0.12 4.70 0.59 -0.01 0.31 1.93

SBC 0.82 0.23 0.48 1.23 3.59 0.52 0.18 0.33 1.04 2.97

UTX 1.39 0.98 1.20 0.35 1.43 1.65 1.09 1.40 0.40 1.52

WMT 1.20 0.77 0.99 0.43 1.55 1.11 0.67 0.90 0.49 1.66

GM 1.20 0.78 1.01 0.41 1.52 1.22 0.88 1.03 0.33 1.38

PG 0.91 -0.04 0.45 2.10 1.07 0.24 0.66 1.26 4.49

DIS 1.37 0.84 1.05 0.51 1.63 1.28 0.81 1.00 0.47 1.58

Average of (+) 1.21 0.68 0.94 0.78 1.96 1.23 0.77 0.99 0.57 1.85

(max-min)/ average

(max-min)/ average

Appendix 2. Summary statistics of the historical betas of the 30 companies in the Dow Jones Industrial Average Index with respect to the S&P 500, the DJIA and the W 5000.

Beta W 5000 Volatility

Max min average max/min Max min average max/min

0.69 0.18 0.49 1.06 3.93 0.31 0.25 0.27 0.23 1.25

1.21 0.44 0.77 1.00 2.72 0.42 0.36 0.38 0.17 1.19

1.62 1.11 1.33 0.38 1.46 0.39 0.29 0.34 0.29 1.34

1.03 0.35 0.77 0.87 2.92 0.45 0.36 0.40 0.24 1.26

1.17 0.54 0.91 0.69 2.15 0.44 0.35 0.38 0.23 1.25

0.85 0.49 0.64 0.56 1.74 0.38 0.31 0.35 0.18 1.20

1.79 1.31 1.52 0.32 1.37 0.43 0.34 0.37 0.24 1.26

0.97 0.44 0.68 0.78 2.21 0.34 0.27 0.31 0.22 1.25

0.76 0.38 0.60 0.63 2.00 0.35 0.28 0.31 0.25 1.28

0.70 0.31 0.51 0.77 2.27 0.40 0.31 0.35 0.24 1.28

0.61 0.22 0.38 1.05 2.82 0.22 0.17 0.19 0.28 1.31

1.25 0.97 1.11 0.25 1.29 0.31 0.26 0.28 0.20 1.22

1.74 0.98 1.43 0.53 1.78 0.50 0.41 0.46 0.19 1.21

1.39 0.85 1.15 0.47 1.64 0.41 0.33 0.36 0.24 1.27

1.28 0.79 1.04 0.47 1.62 0.48 0.41 0.44 0.16 1.17

1.33 0.73 1.12 0.53 1.82 0.44 0.34 0.38 0.25 1.27

1.86 1.30 1.55 0.36 1.43 0.55 0.42 0.49 0.26 1.30

0.88 0.40 0.60 0.81 2.23 0.38 0.30 0.34 0.23 1.25

0.56 0.18 0.34 1.11 3.17 0.27 0.20 0.23 0.32 1.37

1.92 1.32 1.54 0.39 1.46 0.45 0.34 0.40 0.27 1.32

0.68 0.27 0.50 0.83 2.55 0.31 0.27 0.29 0.14 1.15

0.71 0.09 0.42 1.47 8.10 0.33 0.27 0.30 0.21 1.24

1.78 1.22 1.47 0.38 1.46 0.52 0.39 0.46 0.28 1.32

0.31 -0.25 0.00 474.83 0.39 0.30 0.35 0.24 1.28

0.75 0.14 0.40 1.54 5.37 0.34 0.24 0.29 0.33 1.40

1.25 0.84 1.06 0.39 1.49 0.37 0.30 0.34 0.19 1.21

1.04 0.60 0.82 0.54 1.75 0.36 0.28 0.32 0.26 1.30

1.18 0.75 1.00 0.43 1.58 0.38 0.33 0.35 0.14 1.15

0.61 -0.08 0.33 2.06 0.38 0.28 0.33 0.30 1.35

1.30 0.80 0.99 0.50 1.61 0.38 0.31 0.34 0.22 1.24

1.11 0.59 0.85 16.53 2.35 0.39 0.31 0.35 0.23 1.26

(max-min)/ average

(max-min)/ average

31/12/1996-31/5/2002 1/1/2001-31/5/2002

Max min average max/min Max min

Volatility

S&P 500 0.20 0.07 0.14 0.89 2.62 0.20 0.14 0.17

DOW JONES IND. 0.20 0.09 0.14 0.78 2.30 0.20 0.14 0.18

WILSHIRE 5000 0.20 0.08 0.14 0.88 2.58 0.20 0.15 0.18

Beta S&P 500

DOW JONES IND. 1.08 0.79 0.96 0.30 1.37 0.98 0.79 0.91

WILSHIRE 5000 1.06 0.92 1.00 0.14 1.15 1.06 0.95 1.01

Beta DJ IND

S&P 500 0.99 0.72 0.86 0.31 1.37 0.93 0.80 0.88

WILSHIRE 5000 1.01 0.71 0.84 0.36 1.42 0.95 0.74 0.86

Beta W 5000

S&P 500 1.04 0.89 0.95 0.16 1.17 0.98 0.89 0.94

DOW JONES IND. 1.08 0.70 0.90 0.43 1.55 0.90 0.70 0.82

correlation

S&P 500 -DJ IND 0.96 0.82 0.91 0.15 1.17 0.93 0.82 0.89

S&P 500 -W 5000 0.99 0.95 0.98 0.04 1.04 0.99 0.96 0.97

DJ IND -W 5000 0.93 0.76 0.87 0.20 1.23 0.89 0.76 0.84

Appendix 3. Statistics of the indexes

(max-min)/ average

average

1/12/01-31/1/02

max/min Max min average max/min

0.30 1.37 0.19 0.17 0.18 0.14 1.15

0.32 1.41 0.19 0.17 0.18 0.13 1.14

0.28 1.34 0.20 0.17 0.19 0.15 1.16

0.21 1.24 0.97 0.85 0.92 0.13 1.14

0.11 1.12 1.05 0.98 1.02 0.07 1.07

0.15 1.17 0.92 0.82 0.88 0.11 1.12

0.25 1.29 0.94 0.78 0.87 0.19 1.21

0.10 1.10 0.97 0.91 0.94 0.06 1.07

0.24 1.28 0.89 0.78 0.84 0.13 1.14

0.12 1.13 0.93 0.88 0.90 0.06 1.06

0.03 1.03 0.99 0.96 0.98 0.02 1.02

0.15 1.16 0.89 0.81 0.85 0.09 1.09

(max-min)/ average

(max-min)/ average