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	0.241	0.109	-0.093	0.471	0.005	0.410	-0.037	0.427
16		std	0.295	0.062	0.144	0.437	0.169	0.396	0.155	0.410
17		100 years of annual data (100 observations)
18		mean	0.239	0.028	0.168	0.307	0.185	0.294	0.176	0.301
19		std	0.297	0.021	0.246	0.345	0.264	0.332	0.251	0.335
20		1000 years of annual data (100 observations)
21		mean	0.240	0.009	0.221	0.267	0.224	0.255	0.222	0.257
22		std	0.299	0.007	0.283	0.320	0.289	0.311	0.288	0.314
23		10 years of monthly data (120 observations)
24		mean	0.226	0.085	0.015	0.471	0.059	0.368	0.032	0.414
25		std	0.299	0.020	0.258	0.351	0.268	0.331	0.264	0.345
26		10 years of monthly data (520 observations)
27		mean	0.248	0.079	0.053	0.467	0.123	0.390	0.067	0.433
28		std	0.300	0.009	0.276	0.323	0.288	0.319	0.281	0.319
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