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	0.233	0.099	0.014	0.452	0.071	0.387	0.037	0.426
16		std	0.297	0.075	0.118	0.463	0.182	0.422	0.158	0.438
17		100 years of annual data (100 observations)
18		mean	0.238	0.031	0.170	0.306	0.185	0.290	0.174	0.299
19		std	0.304	0.019	0.261	0.346	0.272	0.339	0.266	0.342
20		1000 years of annual data (100 observations)
21		mean	0.240	0.010	0.222	0.268	0.224	0.254	0.222	0.256
22		std	0.299	0.007	0.281	0.320	0.288	0.312	0.285	0.314
23		10 years of monthly data (120 observations)
24		mean	0.239	0.097	0.041	0.454	0.075	0.405	0.045	0.450
25		std	0.300	0.021	0.239	0.343	0.267	0.334	0.256	0.342
26		10 years of monthly data (520 observations)
27		mean	0.245	0.089	0.029	0.454	0.093	0.440	0.057	0.446
28		std	0.301	0.009	0.275	0.322	0.285	0.316	0.282	0.318
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