EstimationErrorIllustration.xlsx

	A	B	C	D	E	F	G	H	I	J
1	Estimation Error
2
3	True distribution of annual excess returns
4	r ~ N(m,s)
5	m =	0.24
6	s =	0.3
7
8		Summary
9							90% confidence		95% confidence
10			mean	std	min	max	0.05	0.95	0.025	0.975
11		True Distribution
12		mean	0.24
13		std	0.3
14		10 years of annual data (10 observations)
15		mean	0.238	0.087	-0.004	0.451	0.095	0.385	0.037	0.416
16		std	0.302	0.067	0.124	0.489	0.194	0.413	0.159	0.443
17		100 years of annual data (100 observations)
18		mean	0.237	0.028	0.169	0.311	0.181	0.289	0.177	0.302
19		std	0.297	0.024	0.241	0.353	0.248	0.333	0.244	0.344
20		1000 years of annual data (100 observations)
21		mean	0.240	0.009	0.209	0.263	0.222	0.256	0.218	0.259
22		std	0.299	0.006	0.281	0.317	0.288	0.309	0.286	0.311
23		10 years of monthly data (120 observations)
24		mean	0.227	0.093	0.001	0.444	0.050	0.382	0.032	0.403
25		std	0.297	0.020	0.255	0.343	0.266	0.330	0.263	0.339
26		10 years of monthly data (520 observations)
27		mean	0.231	0.085	0.047	0.456	0.076	0.373	0.056	0.384
28		std	0.299	0.009	0.275	0.328	0.285	0.313	0.280	0.320
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