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	0.244	0.094	-0.029	0.473	0.104	0.398	-0.009	0.430
16		std	0.281	0.068	0.146	0.449	0.156	0.410	0.151	0.432
17		100 years of annual data (100 observations)
18		mean	0.241	0.028	0.184	0.314	0.189	0.287	0.185	0.297
19		std	0.297	0.020	0.253	0.360	0.264	0.332	0.256	0.345
20		1000 years of annual data (100 observations)
21		mean	0.240	0.009	0.219	0.268	0.224	0.254	0.221	0.263
22		std	0.299	0.007	0.281	0.318	0.287	0.310	0.284	0.313
23		10 years of monthly data (120 observations)
24		mean	0.236	0.102	-0.018	0.561	0.073	0.410	0.042	0.455
25		std	0.299	0.021	0.251	0.358	0.267	0.337	0.259	0.346
26		10 years of monthly data (520 observations)
27		mean	0.247	0.085	0.053	0.477	0.100	0.396	0.079	0.436
28		std	0.301	0.008	0.278	0.320	0.287	0.315	0.285	0.318
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