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	0.100	-0.074	0.453	0.064	0.379	0.026	0.427
16		std	0.284	0.063	0.108	0.452	0.201	0.393	0.176	0.420
17		100 years of annual data (100 observations)
18		mean	0.246	0.030	0.176	0.338	0.196	0.294	0.185	0.302
19		std	0.299	0.022	0.242	0.352	0.261	0.331	0.249	0.342
20		1000 years of annual data (100 observations)
21		mean	0.242	0.009	0.219	0.260	0.226	0.255	0.222	0.259
22		std	0.300	0.007	0.284	0.318	0.288	0.312	0.285	0.315
23		10 years of monthly data (120 observations)
24		mean	0.238	0.088	0.010	0.453	0.060	0.398	0.052	0.420
25		std	0.298	0.017	0.236	0.340	0.272	0.326	0.260	0.335
26		10 years of monthly data (520 observations)
27		mean	0.248	0.101	-0.071	0.463	0.084	0.406	0.009	0.439
28		std	0.301	0.010	0.279	0.327	0.285	0.320	0.283	0.325
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