Table B.1.
Summary Statistics of Price Errors (between Fair and Market Prices) and Return Errors (between Fair and Market Returns) between July 1999 and December 2005 1
2
3
4
5
6
Mean of Errors Std. Dev. of Errors t-statistic MAE RMSE
-1.11E-02 1.18E-01 -1.59 6.43E-02 1.18E-01
1.53E-02 1.79E-01 1.87 1.06E-01 1.79E-01
-2.36E-02 2.47E-01 -2.11* 1.44E-01 2.47E-01
-2.97E-02 2.76E-01 -2.96** 1.48E-01 2.78E-01
-3.93E-02 3.46E-01 -2.74** 1.98E-01 3.48E-01
-7.11E-02 3.07E-01 -5.91** 1.92E-01 3.15E-01
Mean of Errors Std. Dev. of Errors t-statistic MAE RMSE
-2.18E-05 1.16E-03 -0.17 6.17E-04 1.16E-03
1.22E-04 2.39E-03 0.70 1.28E-03 2.39E-03
1.93E-04 2.93E-03 0.95 1.67E-03 2.92E-03
7.08E-05 2.81E-03 0.54 1.62E-03 2.81E-03
-8.01E-05 4.22E-03 -0.32 2.07E-03 4.22E-03
8.17E-05 3.09E-03 0.50 1.75E-03 3.09E-03
Bond Maturities in Years 10 11 12 13 14 Panel A: Bond Price Errors (Between Fair and Market Prices) 4.89E-02 1.50E-01 1.73E-02 -1.15E-02 -7.90E-02 -7.23E-02 -1.75E-01 -1.02E-01 3.53E-01 3.53E-01 4.27E-01 2.35E-01 3.72E-01 3.04E-01 4.14E-01 3.63E-01 4.35** 14.84** 1.38 -1.21 -3.88** -5.43** -7.72** -6.83** 2.14E-01 2.41E-01 2.65E-01 1.48E-01 2.28E-01 2.06E-01 2.75E-01 2.41E-01 3.56E-01 3.84E-01 4.60E-01 2.35E-01 3.80E-01 3.13E-01 4.49E-01 3.77E-01 Panel B: Bond Return Errors (Between Fair and Market Returns Calculated with Only Successive Prices at t and t+1) -2.72E-05 -1.61E-05 1.52E-05 5.14E-05 2.69E-04 -1.04E-04 2.07E-04 7.27E-05 3.44E-03 2.23E-03 3.04E-03 1.86E-03 3.76E-03 2.10E-03 2.79E-03 2.17E-03 -0.22 -0.23 0.08 0.51 0.76 -0.78 0.77 0.60 1.89E-03 1.44E-03 1.79E-03 1.15E-03 1.82E-03 1.44E-03 1.82E-03 1.43E-03 3.44E-03 2.23E-03 3.04E-03 1.86E-03 3.76E-03 2.10E-03 2.79E-03 2.16E-03 7
8
9
15
16
17
18
19
20
-1.83E-01 4.35E-01 -8.28** 3.15E-01 4.71E-01
-1.11E-01 4.05E-01 -5.61** 2.79E-01 4.19E-01
-8.85E-02 4.06E-01 -4.05** 2.52E-01 4.15E-01
-4.67E-02 3.96E-01 -2.42* 2.65E-01 3.99E-01
1.22E-01 4.62E-01 6.90** 3.47E-01 4.78E-01
1.76E-01 5.47E-01 9.18** 4.11E-01 5.74E-01
3.88E-04 2.63E-03 1.88 1.81E-03 2.65E-03
2.32E-04 4.07E-03 0.80 2.27E-03 4.06E-03
6.09E-05 2.58E-03 0.29 1.87E-03 2.57E-03
6.93E-05 3.46E-03 0.27 2.40E-03 3.45E-03
3.40E-05 3.46E-03 0.21 2.35E-03 3.46E-03
-9.15E-05 3.44E-03 -0.64 2.34E-03 3.43E-03
Notes: Panel A (Panel B) provides summary statistics of price errors between fair and market prices (returns) for our complete sample. We calculate summary statistics from July 1999 until December 2005 (i.e. in our sample from January 1999 six months are required in Stage I to obtain the initial values of the fair prices). Return errors are calculated with fair and market returns using only successive prices (i.e. at t and t+1). We report the mean of errors, the standard deviation of errors, t-statistics, the mean of the absolute value of errors (MAE), and the root mean of the squared errors (RMSE). Finally, ** and * denote significance at the 1% and 5% levels for the t-test, respectively.
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