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	0.252	0.105	-0.008	0.496	0.074	0.438	0.036	0.456
16		std	0.288	0.068	0.159	0.463	0.181	0.407	0.162	0.439
17		100 years of annual data (100 observations)
18		mean	0.239	0.032	0.153	0.320	0.193	0.293	0.181	0.303
19		std	0.299	0.020	0.244	0.336	0.267	0.332	0.258	0.334
20		1000 years of annual data (100 observations)
21		mean	0.240	0.010	0.216	0.260	0.224	0.256	0.219	0.258
22		std	0.301	0.007	0.281	0.315	0.290	0.312	0.286	0.314
23		10 years of monthly data (120 observations)
24		mean	0.242	0.083	0.000	0.426	0.094	0.375	0.055	0.422
25		std	0.299	0.022	0.245	0.355	0.256	0.336	0.250	0.344
26		10 years of monthly data (520 observations)
27		mean	0.240	0.102	-0.022	0.462	0.074	0.429	0.016	0.452
28		std	0.302	0.008	0.282	0.328	0.290	0.316	0.286	0.323
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