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	0.229	0.088	0.053	0.467	0.095	0.376	0.066	0.440
16		std	0.299	0.066	0.166	0.456	0.184	0.414	0.179	0.434
17		100 years of annual data (100 observations)
18		mean	0.236	0.034	0.157	0.343	0.182	0.295	0.177	0.315
19		std	0.299	0.024	0.218	0.345	0.261	0.339	0.250	0.340
20		1000 years of annual data (100 observations)
21		mean	0.241	0.009	0.221	0.271	0.227	0.259	0.223	0.263
22		std	0.299	0.006	0.279	0.312	0.289	0.311	0.285	0.312
23		10 years of monthly data (120 observations)
24		mean	0.253	0.086	-0.005	0.478	0.116	0.386	0.018	0.397
25		std	0.301	0.021	0.253	0.363	0.266	0.335	0.261	0.338
26		10 years of monthly data (520 observations)
27		mean	0.249	0.098	-0.024	0.528	0.074	0.400	0.004	0.477
28		std	0.301	0.009	0.283	0.325	0.287	0.319	0.286	0.321
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