Table 1 Municipal Bond Issuance
Table 1 presents a summary of 40 bonds that were issued from January 2000 to August 2006. In this sample,
there are 20 AAA bonds and 20 AA bonds. There are 8 one-year bonds, 14 five-year bonds, 8 ten-year bonds, 4
fifteen-year bonds, 2 twenty-year bonds, 2 twenty-five-year bonds and 2 thirty-year bonds. The sample
represents the largest issuances in different epochs described in the text.
CUSIP
RATING
Period
Name
AA
AA
AA
Date
Issued
5/3/2004
10/29/2001
10/8/2001
13067JAQ4
5758276P0
646039AQ0
Increasing r, high σ
Decreasing r, high σ
Decreasing r, high σ
CALIFORNIA ECON RECOV, CA
681712KB0
631663AP6
88279KAA2
452150VY8
13062NCE5
442330K47
575827K90
544644HF7
575827B41
20772FRD4
4521502L8
5758272T6
452150T47
403755UA7
917542KZ4
603823ZY4
594610A49
442565JM0
167560JG7
57582NJE6
AAA
AAA
AAA
AAA
AA
AA
AA
AA
AA
AA
AAA
AA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AA
12/11/2000
10/16/2000
1/31/2000
1/24/2000
12/4/2000
11/27/2000
10/23/2000
7/17/2000
6/12/2000
11/5/2001
10/29/2001
8/13/2001
5/7/2001
11/11/2002
7/15/2002
1/7/2002
6/17/2002
2/11/2002
12/9/2002
11/18/2002
Decreasing r, low σ
Decreasing r, low σ
Decreasing r, low σ
Decreasing r, low σ
Decreasing r, low σ
Decreasing r, low σ
Decreasing r, low σ
Decreasing r, low σ
Decreasing r, low σ
Decreasing r, high σ
Decreasing r, high σ
Decreasing r, low σ
Decreasing r, low σ
Decreasing r, high σ
Decreasing r, high σ
Decreasing r, high σ
Decreasing r, high σ
Decreasing r, high σ
Decreasing r, high σ
Decreasing r, high σ
49474EMW0
544644QQ3
49474EMM2
20775TAC1
6432724N4
917542MG4
799038CN2
677520JD1
005158SG6
118565RU6
57582N6P5
452151ZF3
068746FF8
20772GNW4
08871PAF0
613579RX1
167560KJ9
AAA
AAA
AAA
AAA
AAA
AAA
AA
AA
AA
AA
AA
AA
AA
AA
AA
AAA
AAA
8/11/2003
3/3/2003
3/31/2003
6/7/2004
3/8/2004
2/9/2004
4/10/2006
2/27/2006
11/7/2005
9/12/2005
8/14/2006
6/19/2006
5/22/2006
2/20/2006
12/5/2005
6/5/2006
4/24/2006
Increasing r, high σ
Decreasing r, high σ
Decreasing r, high σ
Increasing r, high σ
Increasing r, high σ
Increasing r, high σ
Increasing r, low σ
Increasing r, low σ
Increasing r, low σ
Increasing r, low σ
Increasing r, low σ
Increasing r, low σ
Increasing r, low σ
Increasing r, low σ
Increasing r, low σ
Increasing r, low σ
Increasing r, low σ
MASSACHUSETTS CONS LN, MA
NEW JERSEY, NJ
OMAHA CONVENTION CENTER,
NE
NASSAU COUNTY FIN AUTH, NY
TEXAS VETS LAND BD, TX
ILLINOIS, IL
CALIFORNIA BJ, CA
HOUSTON, TX
MASSACHUSETTS, MA
LOS ANGELES UNIFIED SD, CA
MASSACHUSETTS, MA
CONNECTICUT, CT
ILLINOIS, IL
MASSACHUSSETS, MA
ILLINOIS FIRST, IL
CWINNETT CO SD, GA
UTAH ST, UT
MPLS/ST PAUL MET AIR, MN
MICHIGAN, MI
HOWARD CNTY PUB IMPT, MD
CHICAGO MET WATER DIST, IL
MASSACHUSSETS, MA
MICHIGAN-ENVIRONMENTAL PRG,
MI
LOS ANGELES, CA
KING COUNTY, WA
CONNECTICUT, CT
NEW CASTLE COUNTY, DE
UTAH, UT
SAN MATEO CNTY CMNTY, CA
OHIO ST- HIGHWAY, OH
MERIDIAN, ID
BUCKS CNTY, PA
MASSACHUSETTS, MA
ILLINOIS. IL
BARROW CNTY SCH DIST, GA
CONNECTICUT, CT
BIBB CNTY SCH, GA
MONTGOMERY, MD
REF UTGO, WA
Maturity
5
15
10
20
15
30
15
30
10
5
1
5
5
5
1
10
10
10
15
5
5
10
5
10
5
1
1
20
10
1
1
1
1
5
5
5
5
5
25
25
Page 0
Table 2 Regression results
Results from the estimation
yt ,M  a0,M  a1,M yt 1,M  b1,M  t 1,M   t ,M (1)
 t2,M   M  1,M  t21,M   M  t21,M
(2)
where Δyt,M is the actual yield change from day t-1 to day t, εt is presumed to be a normally distributed random
variable with mean zero and conditional variance  t2 ,M . Standard errors are shown in parentheses. (***), (**),
(*) designate estimates significantly different from zero at the 0.001, 0.01 and 0.05 levels, respectively. The
sample period is January 02, 1992 to September 01, 2006.
CUSIP
RATING
13067JAQ4
5758276P0
646039AQ0
681712KB0
631663AP6
88279KAA2
452150VY8
AA
AA
AA
AAA
AAA
AAA
AAA
AA
AA
AA
AA
AA
AA
AAA
AA
AAA
AAA
AAA
AAA
AAA
AAA
AAA
AA
AAA
AAA
AAA
AAA
AAA
AAA
AA
AA
AA
AA
AA
AA
AA
AA
13062NCE5
442330K47
575827K90
544644HF7
575827B41
20772FRD4
4521502L8
5758272T6
452150T47
403755UA7
917542KZ4
603823ZY4
594610A49
442565JM0
167560JG7
57582NJE6
49474EMW0
544644QQ3
49474EMM2
20775TAC1
6432724N4
917542MG4
799038CN2
677520JD1
005158SG6
118565RU6
57582N6P5
452151ZF3
068746FF8
20772GNW4
Date
5/3/2004
10/29/2001
10/8/2001
12/11/2000
10/16/2000
1/31/2000
1/24/2000
12/4/2000
11/27/2000
10/23/2000
7/17/2000
6/12/2000
11/5/2001
10/29/2001
8/13/2001
5/7/2001
11/11/2002
7/15/2002
1/7/2002
6/17/2002
2/11/2002
12/9/2002
11/18/2002
8/11/2003
3/3/2003
3/31/2003
6/7/2004
3/8/2004
2/9/2004
4/10/2006
2/27/2006
11/7/2005
9/12/2005
8/14/2006
6/19/2006
5/22/2006
2/20/2006
a0,M
a1,M
b1,M
ωM
α1,M
βM
-0.0003
-0.0009
-0.0009
-4.47e-05
0.0001
0.0006
0.0003
0.0002
-0.0012
-0.0013
-0.0043*
-0.0013
-0.0008
-0.0002
-0.0021*
-8.81e-05
-5.56e-05
-7.59e-05
-0.0002
-0.0002
-0.0002
-6.53e-05
-0.0003
-3.74e-05
-0.0001
-3.42e-05
-0.0001
-5.75e-05
-2.51e-05
-1.06e-05
-1.48e-05
-1.80e-05
-8.26e-05
8.63e-05
0.0001
0.0001
3.72e-05
0.8133***
0.7336***
0.7626***
0.7539***
0.7462***
0.7049***
0.6977***
0.7211***
0.7462***
0.7594***
0.6673***
0.7560***
0.7688***
0.7773***
0.6906***
0.7621***
0.7825***
0.7842***
0.7522***
0.8029***
0.7891***
0.7791***
0.8006***
0.7849***
0.7998***
0.7414***
0.7909***
0.7136***
0.7787***
0.9969***
0.9964***
0.9958***
0.9347***
0.8307***
0.8266***
0.8264***
0.8278***
-0.6507***
-0.5439***
-0.6009***
-0.5602***
-0.5485***
-0.5115***
-0.4969***
-0.5260***
-0.5858***
-0.6335***
-0.5954***
-0.6350***
-0.6396***
-0.6121***
-0.5896***
-0.5806***
-0.5965***
-0.6042***
-0.5533***
-0.6277***
-0.6208***
-0.5903***
-0.6383***
-0.5799***
-0.6224***
-0.6282***
-0.7045***
-0.5042***
-0.5737***
-0.9883***
-0.9880***
-0.9874***
-0.8960***
-0.6707***
-0.6685***
-0.6679***
-0.6699***
2.38e-06***
1.44e-06**
6.07e-07**
3.99e-06***
4.99e-06***
6.02e-06***
7.40e-06***
5.42e-06***
4.49e-07
7.00e-07***
2.18e-05***
8.13e-07***
7.78e-07***
3.15e-06***
2.83e-05***
3.40e-06***
3.44e-06***
3.46e-06***
4.72e-06***
3.88e-06***
3.82e-06***
3.46e-06***
3.19e-06***
3.94e-06***
3.90e-06***
3.14e-05***
3.41e-05***
4.59e-06***
3.78e-06***
1.93e-05***
2.07e-05***
2.60e-05***
2.80e-05***
1.27e-06
1.44e-06**
1.60e-06***
1.80e-06***
0.0283***
0.0278***
0.0102***
0.0634***
0.0572***
0.0597***
0.0530***
0.0524***
0.0162***
0.0036***
0.0528***
0.0038***
0.0037***
0.0431***
0.0940***
0.0405***
0.0406***
0.0400***
0.0520***
0.0451***
0.0455***
0.0404***
0.0354***
0.0433***
0.0439***
0.0650***
0.0660***
0.0505***
0.0413***
0.0695***
0.0713***
0.0742***
0.0753***
0.0251***
0.0258***
0.0266***
0.0281***
0.9688***
0.9688**
0.9874***
0.9340***
0.9386***
0.9348***
0.9393***
0.9325***
0.9820***
0.9207***
0.9267***
0.9176***
0.9165***
0.9547***
0.8828***
0.9556***
0.9556***
0.9556***
0.9431***
0.9519***
0.9519***
0.9557***
0.9607***
0.9525***
0.9530***
0.9062***
0.9024***
0.9442***
0.9544***
0.9117***
0.9086***
0.9005***
0.8976***
0.9727***
0.9718***
0.9709***
0.9692***
Page 1
08871PAF0
613579RX1
167560KJ9
AA
AAA
AAA
12/5/2005
6/5/2006
4/24/2006
3.16e-05
-5.87e-05
-4.34e-05
0.8248***
0.7027***
0.7035***
-0.6638***
-0.5021***
-0.5009***
2.12e-06***
5.40e-06***
5.37e-06***
0.0291***
0.0476***
0.0477***
0.9678***
0.9446***
0.9446***
Page 2
Table 3 Mean and Variance Forecasts from GARCH model
In this table we present the forecasted Δy and variance of Δy for 40 bond issuances for times t through t+5.
Index data through time t-1 is used to estimate the forecast equation. Forecasted values of previous days through
t-k-1 are used to forecast values for t-k.
CUSIP
13067JAQ4
RATING
AA
Date
5/3/2004
Maturity
5
Forecast
0.0200
-0.0032
-0.0035
Variance
0.0010
0.0010
0.0010
5758276P0
AA
10/29/2001
15
0.0000
0.0011
0.0019
0.0005
0.0005
0.0005
646039AQ0
AA
10/8/2001
10
-0.0023
-0.0021
-0.0019
0.0008
0.0008
0.0008
681712KB0
AAA
12/11/2000
20
0.0017
0.0012
0.0008
0.0008
0.0008
0.0008
631663AP6
AAA
10/16/2000
15
-0.0200
-0.0011
-0.0011
0.0004
0.0005
0.0005
88279KAA2
AAA
1/31/2000
30
0.0023
0.0023
0.0023
0.0005
0.0005
0.0005
452150VY8
AAA
1/24/2000
15
0.0100
0.0021
0.0021
0.0004
0.0004
0.0004
13062NCE5
AA
12/4/2000
30
0.0030
0.0030
0.0030
0.0004
0.0004
0.0004
442330K47
AA
11/27/2000
10
-0.0100
-0.0081
-0.0065
0.0003
0.0003
0.0003
575827K90
AA
10/23/2000
5
0.0000
-0.0028
-0.0029
0.0003
0.0003
0.0003
544644HF7
AA
7/17/2000
1
-0.0008
-0.0008
-0.0008
0.0003
0.0003
0.0003
Page 3
575827B41
AA
6/12/2000
5
0.0002
0.0005
0.0006
0.0003
0.0003
0.0003
20772FRD4
AA
11/5/2001
5
-0.0061
-0.0049
-0.0040
0.0008
0.0008
0.0008
4521502L8
AAA
10/29/2001
5
-0.0141
-0.0115
-0.0094
0.0006
0.0006
0.0006
5758272T6
AA
8/13/2001
1
0.0022
0.0017
0.0012
0.0014
0.0014
0.0014
452150T47
AAA
5/7/2001
10
-0.0099
-0.0082
-0.0068
0.0006
0.0006
0.0006
403755UA7
AAA
11/11/2002
10
0.0500
0.0154
0.0125
0.0010
0.0011
0.0011
917542KZ4
AAA
7/15/2002
10
0.0024
0.0020
0.0016
0.0002
0.0002
0.0002
603823ZY4
AAA
1/7/2002
15
0.0020
0.0017
0.0014
0.0002
0.0002
0.0002
594610A49
AAA
6/17/2002
5
-0.0027
-0.0022
-0.0017
0.0002
0.0002
0.0002
442565JM0
AAA
2/11/2002
5
0.0068
0.0057
0.0048
0.0002
0.0002
0.0002
57582N6P5
AA
8/14/2006
5
-0.0052
-0.0042
-0.0034
0.0002
0.0002
0.0002
57582NJE6
AA
11/18/2002
5
-0.0029
-0.0029
-0.0029
0.0002
0.0002
0.0002
49474EMW0
AAA
8/11/2003
10
-0.0037
-0.0030
-0.0025
0.0003
0.0003
0.0003
Page 4
544644QQ3
AAA
3/3/2003
5
-0.0043
-0.0028
-0.0017
0.0002
0.0002
0.0002
49474EMM2
AAA
3/31/2003
1
-0.0107
-0.0088
-0.0072
0.0004
0.0004
0.0004
20775TAC1
AAA
6/7/2004
1
-0.0139
-0.0112
-0.0091
0.0011
0.0011
0.0011
6432724N4
AAA
3/8/2004
20
0.0100
-0.0027
-0.0024
0.0009
0.0009
0.0009
917542MG4
AAA
2/9/2004
10
-0.0111
-0.0092
-0.0076
0.0011
0.0011
0.0011
799038CN2
AA
4/10/2006
1
0.0100
-0.0022
-0.0020
0.0009
0.0009
0.0009
677520JD1
AA
2/27/2006
1
0.0000
0.0007
0.0004
0.0004
0.0004
0.0004
631663AP6
AAA
10/16/2000
15
-0.0002
-0.0001
0.0000
0.0002
0.0002
0.0002
5758276P0
AA
10/29/2001
15
0.0014
0.0014
0.0013
0.0002
0.0002
0.0002
2760
118565RU6
AA
9/12/2005
1
0.0023
0.0023
0.0023
0.0005
0.0005
0.0005
57582N6P5
AA
8/14/2006
5
-0.0100
-0.0025
-0.0021
0.0023
0.0006
0.0006
452151ZF3
AA
6/19/2006
5
-0.0100
-0.0057
-0.0044
0.0002
0.0002
0.0002
068746FF8
AA
5/22/2006
5
-0.0200
0.0008
Page 5
-0.0134
-0.0100
0.0008
0.0008
20772GNW4
AA
2/20/2006
5
-0.0100
-0.0027
-0.0020
0.0004
0.0004
0.0004
08871PAF0
AA
12/5/2005
5
-0.0200
-0.0033
-0.0024
0.0004
0.0004
0.0004
613579RX1
AAA
6/5/2006
25
0.0200
0.0060
0.0042
0.0002
0.0002
0.0002
167560KJ9
AAA
4/24/2006
25
-0.0046
-0.0041
-0.0037
0.0001
0.0001
0.0001
Page 6
Table 4 Total gains or loss from a strategy based on yield changes
Gain/Loss
value
adjusted
for risk
HP YTM
at Issue
Issue
date
HP
YTM
Strategy
13067JAQ4
3.144
day t
3.144
4.704
0.000
5758276P0
4.573
day t+1
4.563
11.175
0.123
646039AQ0
3.999
day t
3.999
8.436
0.000
681712KB0
5.231
day t
5.231
12.861
0.000
631663AP6
5.271
day t
5.271
10.729
0.000
88279KAA2
5.274
day t
5.274
15.363
0.000
452150VY8
5.826
day t
5.826
10.396
0.000
13062NCE5
5.481
day t
5.481
15.363
0.000
442330K47
4.899
day t+1
4.856
8.140
0.359
575827K90
4.577
day t
4.577
4.581
0.000
544644HF7
4.179
day t+1
4.179
1.000
0.000
575827B41
4.935
day t
4.935
4.551
0.000
20772FRD4
3.138
day t
3.138
4.705
0.000
4521502L8
3.351
day t
3.351
4.686
0.000
5758272T6
2.7
day t
2.7
1.000
0.000
452150T47
4.552
day t+1
4.448
8.252
0.903
403755UA7
2.952
day t
2.952
8.804
0.000
917542KZ4
4.019
day t
4.019
8.429
0.000
603823ZY4
6.542
day t
6.542
9.991
0.000
594610A49
3.348
day t
3.348
4.686
0.000
442565JM0
3.543
day t
3.543
4.669
0.000
167560JG7
3.888
day t+1
3.868
8.473
0.184
57582NJE6
2.628
day t
2.628
4.750
0.000
49474EMW0
3.789
day t
3.789
8.507
0.000
544644QQ3
2.426
day t
2.426
4.769
0.000
49474EMM2
1.163
day t+1
1.146
1.000
0.017
20775TAC1
1.916
day t
1.916
1.000
0.000
6432724N4
4.369
day t
4.369
13.732
0.000
917542MG4
3.486
day t+1
3.476
8.613
0.097
799038CN2
3.527
day t
3.527
1.000
0.000
677520JD1
3.397
day t
3.397
1.000
0.000
005158SG6
3.002
day t+1
3.027
1.000
-0.025
-1.2421
118565RU6
2.942
day t+1
2.947
1.000
-0.005
-0.2482
57582N6P5
3.745
day t
3.745
4.652
0.000
452151ZF3
3.992
day t+1
3.856
4.631
0.658
068746FF8
3.781
day t
3.781
4.649
0.000
20772GNW4
3.633
day t
3.633
4.662
0.000
08871PAF0
3.523
day t+1
3.459
4.671
0.316
CUSIP
Duration
Gain/Loss
on $100
2.2364
11.6511
14.3028
8.4604
0.4167
0.7810
7.8731
14.9458
Page 7
613579RX1
4.767
day t
4.767
15.117
0.000
167560KJ9
4.787
day t
4.787
15.089
0.000
Page 8
Table 5 Total gains or loss based on a strategy with longer window
Gains or loss from a strategy based on yield changes and strategy ARMA-GARCH-B (Daily data)
CUSIP
13067JAQ4
5758276P0
646039AQ0
681712KB0
631663AP6
88279KAA2
452150VY8
13062NCE5
442330K47
575827K90
544644HF7
575827B41
20772FRD4
4521502L8
5758272T6
452150T47
403755UA7
917542KZ4
603823ZY4
594610A49
442565JM0
167560JG7
57582NJE6
49474EMW0
544644QQ3
49474EMM2
20775TAC1
6432724N4
917542MG4
799038CN2
677520JD1
005158SG6
118565RU6
57582N6P5
452151ZF3
068746FF8
20772GNW4
08871PAF0
613579RX1
167560KJ9
YTM at
Issue
3.144
4.573
3.999
5.231
5.271
5.274
5.826
5.481
4.899
4.577
4.179
4.935
3.138
3.351
2.7
4.552
2.952
4.019
6.542
3.348
3.543
3.888
2.628
3.789
2.426
1.163
1.916
4.369
3.486
3.527
3.397
3.002
2.942
3.745
3.992
3.781
3.633
3.523
4.767
4.787
Issue date
day t
day t+1
day t
day t
day t+1
day t
day t+1
day t+1
day t+1
day t
day t+2
day t+1
day t+2
day t+1
day t
day t+1
day t+2
day t+1
day t+1
day t+2
day t+1
day t+1
day t
day t+1
day t+1
day t+1
day t
day t+1
day t+1
day t
day t+2
day t+1
day t+2
day t+1
day t+1
day t+1
day t
day t+1
day t+1
day t+1
HP YTM
(strategy)
Duration
Gain/ Loss per
$100
3.144
4.573
3.999
5.231
5.249
5.274
5.825
5.481
4.829
4.577
4.182
4.935
3.136
3.311
2.7
4.543
3.005
3.968
6.513
3.326
3.532
3.868
2.628
3.789
2.436
1.165
1.916
4.369
3.476
3.527
3.385
3.027
2.96
3.735
3.992
3.781
3.633
3.523
4.783
4.787
4.704
11.175
8.436
12.861
10.729
15.643
10.396
15.363
8.140
4.581
1.000
4.551
4.705
4.686
1.000
8.252
8.804
8.429
9.991
4.686
4.669
8.473
4.750
8.507
4.769
1.000
1.000
13.732
8.613
1.000
1.000
1.000
1.000
4.652
4.631
4.649
4.662
4.671
15.117
15.089
0.000
0.000
0.000
0.000
0.244
0.000
0.011
0.000
0.585
0.000
-0.003
0.000
0.009
0.187
0.000
0.078
-0.519
0.480
0.289
0.113
0.051
0.184
0.000
0.000
-0.051
-0.002
0.000
0.000
0.097
0.000
0.012
-0.025
-0.018
0.047
0.000
0.000
0.000
0.000
-0.252
0.000
Gain/Loss value
adjusted for risk
5.8909
0.2158
14.24
-0.0372
0.1501
6.2448
2.4709
-2.9159
7.1688
2.0684
0.8626
0.51
8.4605
-2.3698
-0.0981
4.2956
0.1091
-0.2760
-0.0812
0.5160
0.00
0.00
-7.53
Page 9
Table 6 ARMA-LOGIT Strategy with 0.5 Threshold (Daily data)
CUSIP
HP YTM
at Issue
Issue date
HP YTM
(strategy)
Duration
Gain/Loss
Gain/Loss
adjusted
for risk
13067JAQ4
3.144
day t
3.144
4.704
0.000
0
5758276P0
4.573
day t
4.573
11.175
0.000
0
646039AQ0
3.999
day t+2
3.980
8.436
0.177
8.85
681712KB0
5.231
day t+1
5.221
12.861
0.155
7.75
631663AP6
5.271
day t+2
5.236
10.729
0.389
19.45
88279KAA2
5.274
day t
5.274
15.643
0.000
0
452150VY8
5.826
day t
5.826
10.396
0.000
0
13062NCE5
5.481
day t+1
5.481
15.363
0.000
0
442330K47
4.899
day t+2
4.815
8.140
0.702
35.1
575827K90
4.577
day t+1
4.577
4.581
0.000
0
544644HF7
4.179
day t+1
4.179
1.000
0.000
0
575827B41
4.935
day t+1
4.935
4.551
0.000
0
20772FRD4
3.138
day t
3.138
4.705
0.000
0
4521502L8
3.351
day t+1
3.311
4.686
0.187
9.35
5758272T6
2.7
day t+1
2.689
1.000
0.011
0.55
452150T47
4.552
day t+1
4.543
8.252
0.078
3.9
403755UA7
2.952
day t+1
3.007
8.804
-0.539
-26.95
917542KZ4
4.019
day t+1
3.968
8.429
0.480
24
603823ZY4
6.542
day t+1
6.513
9.991
0.289
14.45
594610A49
3.348
day t+1
3.338
4.686
0.051
2.55
442565JM0
3.543
day t+1
3.532
4.669
0.051
2.55
167560JG7
3.888
day t+1
3.868
8.473
0.184
9.2
57582NJE6
2.628
day t
2.628
4.750
0.000
0
49474EMW0
3.789
day t+2
3.659
8.507
1.210
60.5
544644QQ3
2.426
day t+1
2.436
4.769
-0.051
-2.55
49474EMM2
1.163
day t+2
1.167
1.000
-0.004
-0.2
20775TAC1
1.916
day t
1.916
1.000
0.000
0
6432724N4
4.369
day t+1
4.369
13.732
0.000
0
917542MG4
3.486
day t+1
3.476
8.613
0.097
4.85
799038CN2
3.527
day t+2
3.425
1.000
0.103
5.15
677520JD1
3.397
day t
3.397
1.000
0.000
0
005158SG6
3.002
day t+1
3.027
1.000
-0.025
-1.25
118565RU6
2.942
day t+2
2.96
1.000
-0.018
-0.9
57582N6P5
3.745
day t+1
3.735
4.652
0.047
2.35
452151ZF3
3.992
day t+2
3.886
4.631
0.513
25.65
068746FF8
3.781
day t+1
3.781
4.649
0.000
0
20772GNW4
3.633
day t
3.633
4.662
0.000
0
08871PAF0
3.523
day t
3.523
4.671
0.000
0
613579RX1
4.767
day t+1
4.783
15.117
-0.252
-12.6
167560KJ9
4.787
day t+1
4.787
15.089
0.000
0
Page 10
Table 7
ARMA-LOGIT Strategy with 0.6 Threshold (daily data)
The Logit model specification is: Pr( yi  1 x i ,  ) 1  (e x  /(1  e x  ))  e x  /(1  e x  )
where x i 's are the independent variables in the mean equation in Table 2 and  ’s are the coefficient estimates
'
i
'
i
'
i
'
i
from the mean equation.
Duration
Gain/Loss
value per
$100
Gain/Loss
adjusted
for risk
3.144
4.704
0.000
0
day t
4.573
11.175
0.000
0
day t+2
3.961
8.436
0.355
17.75
5.231
day t+2
5.102
12.861
2.002
10.1
631663AP6
5.271
day t+2
5.249
10.729
0.244
12.2
452150VY8
5.826
day t
5.826
10.396
0.000
0
13062NCE5
5.481
day t+2
5.481
15.363
0.000
0
442330K47
4.899
day t+2
4.829
8.140
0.585
29.25
575827K90
4.577
day t+2
4.577
4.581
0.000
0
544644HF7
4.179
day t+2
4.159
1.000
0.020
1
575827B41
4.935
day t+2
4.915
4.551
0.091
4.55
20772FRD4
3.138
day t
3.138
4.705
0.000
0
4521502L8
3.351
day t+2
3.311
4.686
0.187
9.35
5758272T6
2.7
day t+1
2.654
1.000
0.046
2.3
452150T47
4.552
day t+2
4.573
8.252
-0.182
-9.1
403755UA7
2.952
day t+2
3.021
8.804
-0.676
-33.8
917542KZ4
4.019
day t+2
3.957
8.429
0.583
29.15
603823ZY4
6.542
day t+2
6.484
9.991
0.578
28.9
594610A49
3.348
day t+2
3.341
4.686
0.036
1.8
442565JM0
3.543
day t+2
3.512
4.669
0.145
7.25
167560JG7
3.888
day t+2
3.868
8.473
0.184
9.2
57582NJE6
2.628
day t
2.628
4.750
0.000
0
49474EMW0
3.789
day t+2
3.812
8.507
-0.214
-10.7
544644QQ3
2.426
day t+2
2.416
4.769
0.051
2.55
49474EMM2
1.163
day t+2
1.167
1.000
-0.004
-0.2
20775TAC1
1.916
day t+1
1.907
1.000
0.009
0.45
6432724N4
4.369
day t+2
4.378
13.732
-0.121
-6.05
917542MG4
3.486
day t+2
3.445
8.613
0.399
19.95
799038CN2
3.527
day t
3.527
1.000
0.000
0
677520JD1
3.397
day t
3.397
1.000
0.000
0
005158SG6
3.002
day t+1
3.027
1.000
-0.025
-1.25
118565RU6
2.942
day t+2
2.960
1.000
-0.018
-0.9
57582N6P5
3.745
day t+2
3.725
4.652
0.094
4.7
452151ZF3
3.992
day t
3.992
4.631
0.000
0
HP YTM
Issue
date
HP YTM
(strategy)
13067JAQ4
3.144
day t
5758276P0
4.573
646039AQ0
3.999
681712KB0
CUSIP
Page 11
068746FF8
3.781
day t+2
3.762
4.649
0.093
4.65
20772GNW4
3.633
day t
3.633
4.662
0.000
0
08871PAF0
3.523
day t
3.523
4.671
0.000
0
613579RX1
4.767
day t+2
4.791
15.117
-0.378
-18.9
167560KJ9
4.787
day t+2
4.779
15.089
0.124
6.2
Page 12
Table 8. Strategy Performance from CD model using EWMA volatility forecast using daily data
From the perspective of the end of day t-1 where index yt-1 is observed, this table presents the gains/losses from
the following strategy: Issue early on day t, at the closing yield of day t-1, if the probability of an increase (or
no change) in yield at the close of day t is more than or equal to 0.5; that is, when Prob[(yt –yt-1) ≥ 0] ≥0.5. In
other words, issue the bonds before the expected increase in yields for close of day t.
On the other hand, defer issuance until early day t+1 at the expected closing yield of day t (E(yt)) if the
probability of an increase (or no change) in yield at the close of day t is less than 0.5; that is, when Prob[(yt –yt-1)
≥ 0] <0.5. This strategy takes advantage of a potential decline in yields.
We use the average yield change and the forecast volatility from the exponential weighted moving average using
information in the last 20 days to predict the sign of the yield change for day t. The probabilities are calculated
from a model outlined in Christofffersen and Diebold (2006).
Let ∆yt+h be the yield change on day t+h, and define the “positive yield change” indicator as It+h=1 if ∆yt+h >0
and It+h =0 otherwise. It+h is forecast using a model of the form:

I t  h  F    et  h
 t 
where F(.) is a monotone function with a left limit of zero and a right limit of one, µ is the h-day expected yield
change, and σt is a forecast of h-day yield change volatility. F(.) is determined by the formula:
F ( x) 
exp( x)
1  exp( x)
which produces the popular logistic regression (logit) model. In this table, σ t is forecast using the exponential
weighted moving average method.
CUSIP
HP YTM
at Issue
Issue date
HP YTM
(strategy)
Duration
Gain/Loss
Gain/Loss
adjusted
for risk
13067JAQ4
3.144
day t
3.144
4.704
0.000
0.000
5758276P0
4.573
day t+1
4.575
11.175
-0.265
-1.325
646039AQ0
3.999
day t+1
3.980
8.436
-0.005
-0.025
681712KB0
5.231
day t
5.221
12.861
0.000
0.000
631663AP6
5.271
day t
5.236
10.729
0.000
0.000
88279KAA2
5.274
day t+1
5.272
15.643
0.772
3.86
452150VY8
5.826
day t+1
5.825
10.396
0.586
2.93
13062NCE5
5.481
day t
5.481
15.363
0.000
0.000
442330K47
4.899
day t
4.899
8.140
0.000
0.000
575827K90
4.577
day t+1
4.573
4.581
0.639
3.195
544644HF7
4.179
day t
4.179
1.000
0.000
0.000
575827B41
4.935
day t+1
4.933
4.551
0.332
1.66
20772FRD4
3.138
day t
3.138
4.705
0.000
0.000
4521502L8
3.351
day t
3.351
4.686
0.000
0.000
5758272T6
2.7
day t+1
2.689
1.000
0.447
2.235
452150T47
4.552
day t
4.552
8.252
0.000
0.000
403755UA7
2.952
day t
2.952
8.804
0.000
0.000
917542KZ4
4.019
day t+1
3.968
8.429
0.963
4.815
603823ZY4
6.542
day t+1
6.513
9.991
0.228
1.14
594610A49
3.348
day t
3.348
4.686
0.000
0.000
Page 13
442565JM0
3.543
day t
3.543
4.669
0.000
0.000
167560JG7
3.888
day t+1
3.868
8.473
0.115
0.575
57582NJE6
2.628
day t+1
2.623
4.750
0.998
4.99
49474EMW0
3.789
day t+1
3.659
8.507
0.332
1.66
544644QQ3
2.426
day t
2.426
4.769
0.000
0.000
49474EMM2
1.163
day t
1.163
1.000
0.000
0.000
20775TAC1
1.916
day t
1.916
1.000
0.000
0.000
6432724N4
4.369
day t+1
4.375
13.732
-0.529
-2.645
917542MG4
3.486
day t
3.486
8.613
0.000
0.000
799038CN2
3.527
day t+1
3.625
1.000
-0.221
-1.105
677520JD1
3.397
day t+1
3.399
1.000
-0.449
-2.245
005158SG6
3.002
day t
3.002
1.000
0.000
0.000
118565RU6
2.942
day t+1
2.96
1.000
-0.963
-4.815
57582N6P5
3.745
day t+1
3.835
4.652
-0.226
-1.13
452151ZF3
3.992
day t+1
3.996
4.631
-0.337
-1.685
068746FF8
3.781
day t
3.781
4.649
0.000
0.000
20772GNW4
3.633
day t+1
3.533
4.662
0.698
3.49
08871PAF0
3.523
day t+1
3.462
4.671
0.873
4.365
613579RX1
4.767
day t
4.767
15.117
0.000
0.000
167560KJ9
4.787
day t+1
4.796
15.089
-0.115
-0.575
Page 14
Table 9 Strategy Performance from CD model using GARCH estimations (daily data)
From the perspective of the end of day t-1 where index yt-1 is observed, this table presents the gains/losses from
the following strategy: Issue early on day t, at the closing yield of day t-1, if the probability of an increase (or
no change) in yield at the close of day t is more than or equal to 0.5; that is, when Prob[(yt –yt-1) ≥ 0] ≥0.5. In
other words, issue the bonds before the expected increase in yields for close of day t.
On the other hand, defer issuance until early day t+1 at the expected closing yield of day t (E(yt)) if the
probability of an increase (or no change) in yield at the close of day t is less than 0.5; that is, when Prob[(yt –yt-1)
≥ 0] <0.5. This strategy takes advantage of a potential decline in yields. The probabilities are calculated from a
model outlined in Christofffersen and Diebold (2006).
Let ∆yt+h be the yield change on day t+h, and define the “positive yield change” indicator as I t+h=1 if ∆yt+h >0
and It+h =0 otherwise. It+h is forecast using a model of the form:

I t  h  F    et  h
 t 
where F(.) is a monotone function with a left limit of zero and a right limit of one, µ is the h-day expected yield
change, and σt is a forecast of h-day yield change volatility. F(.) is determined by the formula:
F ( x) 
exp( x)
1  exp( x)
which produces the popular logistic regression (logit) model.
In this table, σt is forecast using the estimation results from the GARCH (1,1) in Table 3 .
CUSIP
HP YTM
at Issue
Issue date
HP YTM
(strategy)
Probability
of
yield
increase
Gain/Loss
value per
$100
Gain/Loss
adjusted
for risk
13067JAQ4
3.144
t
3.144
0.6311
0.0000
0.0000
5758276P0
4.573
t
4.573
0.6308
0.0000
0.0000
646039AQ0
3.999
t
3.999
0.5867
0.0000
0.0000
681712KB0
5.231
t
5.231
0.5682
0.0000
0.0000
631663AP6
5.271
t
5.271
0.6305
0.0000
0.0000
88279KAA2
5.274
t+1
5.276
0.4975
-0.3125
-1.1406
452150VY8
5.826
t+1
5.825
0.4001
0.5669
2.0692
13062NCE5
5.481
t+1
5.480
0.4707
0.3226
1.1775
442330K47
4.899
t
4.899
0.6244
0.0000
0.0000
575827K90
4.577
t
4.577
0.5989
0.0000
0.0000
544644HF7
4.179
t
4.179
0.6109
0.0000
0.0000
575827B41
4.935
t+1
4.938
0.4006
-0.3998
-1.4593
20772FRD4
3.138
t+1
3.129
0.4565
0.2669
0.9742
4521502L8
3.351
t
3.351
0.5049
0.0000
0.0000
5758272T6
2.7
t+1
2.689
0.4653
0.7756
2.8309
452150T47
4.552
t
4.552
0.6040
0.0000
0.0000
403755UA7
2.952
t
2.952
0.5867
0.0000
0.0000
917542KZ4
4.019
t+1
4.023
0.4000
-0.8866
-3.2361
603823ZY4
6.542
t
6.542
0.5527
0.0000
0.0000
594610A49
3.348
t
3.348
0.5300
0.0000
0.0000
442565JM0
3.543
t+1
3.541
0.5112
-0.1126
-0.4110
167560JG7
3.888
t+1
3.897
0.4953
-0.8896
-3.2470
57582NJE6
2.628
t+1
2.623
0.4000
0.8756
3.1959
Page 15
49474EMW0
3.789
t+1
3.659
0.4579
0.5554
2.0272
544644QQ3
2.426
t
2.426
0.6305
0.0000
0.0000
49474EMM2
1.163
t
1.163
0.6310
0.0000
0.0000
20775TAC1
1.916
t+1
1.919
0.4035
-0.1366
-1.4968
6432724N4
4.369
t+1
4.365
0.4249
0.6698
2.4448
917542MG4
3.486
t
3.486
0.5977
0.0000
0.0000
799038CN2
3.527
t+1
3.625
0.4000
-0.4356
-1.5899
677520JD1
3.397
t
3.397
0.5783
0.0000
0.0000
005158SG6
3.002
t+1
3.001
0.4027
0.0896
2.5270
118565RU6
2.942
t
2.942
0.5974
0.0000
0.0000
57582N6P5
3.745
t
3.745
0.6311
0.0000
0.0000
452151ZF3
3.992
t
3.992
0.5554
0.0000
0.0000
068746FF8
3.781
t
3.781
0.5131
0.2167
1.7910
20772GNW4
3.633
t+1
3.759
0.4557
-0.2132
-2.8872
08871PAF0
3.523
t+1
3.525
0.4596
-0.7853
-2.8660
613579RX1
4.767
t
4.767
0.6304
0.0000
0.0000
167560KJ9
4.787
t+1
4.746
0.4986
0.2165
0.7902
Page 16
Table 10.A Strategy Performance from CD model using GARCH estimations (weekly data)
From the perspective of the end of week t-1 where index yt-1 is observed, this table presents the gains/losses from
the following strategy: Issue early on week t, at the closing yield of week t-1, if the probability of an increase
(or no change) in yield at the close of week t is more than or equal to 0.5; that is, when Prob[(yt –yt-1) ≥ 0] ≥0.5.
In other words, issue the bonds before the expected increase in yields for close of week t.
On the other hand, defer issuance until early week t+1 at the expected closing yield of week t (E(yt)) if the
probability of an increase (or no change) in yield at the close of week t is less than 0.5; that is, when Prob[(yt –yt1) ≥ 0] <0.5. This strategy takes advantage of a potential decline in yields. The probabilities are calculated from
a model outlined in Christofffersen and Diebold (2006).
Let ∆yt+1 be the yield change on week t+1, and define the “positive yield change” indicator as I t+1=1 if ∆yt+1>0
and It+1 =0 otherwise. It+h is forecast using a model of the form:

I t 1  F    et 1
t 
where F(.) is a monotone function with a left limit of zero and a right limit of one, µ is the h- week expected
yield change, and σt is a forecast of h- week yield change volatility. F(.) is determined by the formula:
F ( x) 
exp( x)
1  exp( x)
which produces the popular logistic regression (logit) model.
CUSIP
HP YTM
at Issue
Issuance
week
HP YTM
(strategy)
Gain/Loss
value per
$100
Gain/Loss
adjusted
for risk
13067JAQ4
3.144
t+1
3.142
0.4756
2.1169
5758276P0
4.573
t
4.573
0.0000
0.0000
646039AQ0
3.999
t
3.999
0.0000
0.0000
681712KB0
5.231
t
5.231
0.0000
0.0000
631663AP6
5.271
t
5.271
0.0000
0.0000
88279KAA2
5.274
t+1
5.279
-0.4449
-2.1908
452150VY8
5.826
t+1
5.828
-0.6993
-3.2576
13062NCE5
5.481
t+1
5.485
-0.2217
-1.5583
442330K47
4.899
t
4.899
0.0000
0.0000
575827K90
4.577
t
4.577
0.0000
0.0000
544644HF7
4.179
t
4.179
0.0000
0.0000
575827B41
4.935
t
4.935
0.0000
0.0000
20772FRD4
3.138
t+1
3.133
0.3692
1.5217
4521502L8
3.351
t
3.351
0.0000
0.0000
5758272T6
2.7
t
2.7
0.0000
0.0000
452150T47
4.552
t
4.552
0.0000
0.0000
403755UA7
2.952
t
2.952
0.0000
0.0000
917542KZ4
4.019
t+1
4.025
-0.9621
-3.5238
603823ZY4
6.542
t
6.542
0.0000
0.0000
594610A49
3.348
t
3.348
0.0000
0.0000
442565JM0
3.543
t+1
3.541
-0.4562
-0.2236
167560JG7
3.888
t
3.897
0.0000
0.0000
57582NJE6
2.628
t+1
2.621
0.5523
4.3251
49474EMW0
3.789
t+1
3.657
0.3228
4.2692
Page 17
544644QQ3
2.426
t
2.426
0.0000
0.0000
49474EMM2
1.163
t
1.163
0.0000
0.0000
20775TAC1
1.916
t+1
1.919
-0.2657
-1.2058
6432724N4
4.369
t+1
4.363
0.2258
2.0112
917542MG4
3.486
t
3.486
0.0000
0.0000
799038CN2
3.527
t+1
3.633
-0.5221
-3.2087
677520JD1
3.397
t
3.397
0.0000
0.0000
005158SG6
3.002
t+1
3.001
0.7752
3.2016
118565RU6
2.942
t
2.942
0.0000
0.0000
57582N6P5
3.745
t
3.745
0.0000
0.0000
452151ZF3
3.992
t
3.992
0.0000
0.0000
068746FF8
3.781
t
3.780
0.4167
1.6710
20772GNW4
3.633
t+1
3.756
-0.2312
-2.2878
08871PAF0
3.523
t+1
3.527
-0.5348
-2.8680
613579RX1
4.767
t
4.767
0.0000
0.0000
167560KJ9
4.787
t+1
4.749
0.6521
1.0279
Page 18
Table 10. B. Forecast performance from CD estimation using EWMA volatility forecast with (weekly)
This table reports the timing performance if our strategy is based on the model in Christoffersen and Diebold
(2006). Specifically, we use the average yield change and the forecast volatility from the exponential weighted
moving average using information in the last 20 periods to predict the sign of the yield change for period t. If the
probability of a decrease in yield for period t exceeds 0.5, we decide to delay the bond issuance until period t+1.
The logic is that rates start from a lower level and at t. Otherwise we decide to issue the bond on period t. The
first two columns present the summary if we use weekly data and the last two columns for monthly data.
Let ∆yt+h be the yield change on day t+h, and define the “positive yield change” indicator as It+h=1 if ∆yt+h >0
and It+h =0 otherwise. It+h is forecast using a model of the form:

I t  h  F    et  h
 t 
where F(.) is a monotone function with a left limit of zero and a right limit of one, µ is the h-day expected yield
change, and σt is a forecast of h-day yield change volatility. F(.) is determined by the formula:
F ( x) 
exp( x)
1  exp( x)
which produces the popular logistic regression (logit) model. In this table, σ t is forecast using the exponential
weighted moving average method.
10.a Weekly data
CUSIP
HP YTM
at Issue
Issuance
week
HP YTM
(strategy)
Gain/Loss
value per
$100
Gain/Loss
adjusted
for risk
13067JAQ4
3.144
t+1
3.147
-0.3365
2.5210
5758276P0
4.573
t+1
4.570
0.1896
2.3651
646039AQ0
3.999
t+1
3.996
0.4289
1.2785
681712KB0
5.231
t
5.231
0.0000
0.0000
631663AP6
5.271
t
5.271
0.0000
0.0000
88279KAA2
5.274
t
5.274
0.0000
0.0000
452150VY8
5.826
t+1
5.822
0.4782
3.1152
13062NCE5
5.481
t
5.481
0.0000
0.0000
442330K47
4.899
t+1
4.896
0.2258
3.2176
575827K90
4.577
t
4.577
0.0000
0.0000
544644HF7
4.179
t
4.179
0.0000
0.0000
575827B41
4.935
t+1
4.931
0.2285
3.6217
20772FRD4
3.138
t+1
3.140
-0.5239
3.8894
4521502L8
3.351
t
3.351
0.0000
0.0000
5758272T6
2.7
t
2.7
0.0000
0.0000
452150T47
4.552
t
4.552
0.0000
0.0000
403755UA7
2.952
t+1
2.955
-0.5136
-2.1289
917542KZ4
4.019
t+1
4.012
0.9612
4.1117
603823ZY4
6.542
t+1
6.548
-0.2365
-2.5598
594610A49
3.348
t
3.348
0.0000
0.0000
442565JM0
3.543
t
3.543
0.0000
0.0000
167560JG7
3.888
t+1
3.890
0.8892
4.2598
57582NJE6
2.628
t
2.628
0.0000
0.0000
49474EMW0
3.789
t
3.789
0.0000
0.0000
Page 19
544644QQ3
2.426
t
2.426
0.0000
0.0000
49474EMM2
1.163
t
1.163
0.0000
0.0000
20775TAC1
1.916
t+1
1.925
-0.9632
-4.2136
6432724N4
4.369
t+1
4.361
0.7712
3.1254
917542MG4
3.486
t+1
3.489
-0.5486
-2.4451
799038CN2
3.527
t
3.527
0.0000
0.0000
677520JD1
3.397
t+1
3.345
-0.4128
-2.3698
005158SG6
3.002
t+1
2.998
0.2351
1.4782
118565RU6
2.942
t
2.942
0.0000
0.0000
57582N6P5
3.745
t
3.745
0.0000
0.0000
452151ZF3
3.992
t+1
3.999
-0.1596
-3.6258
068746FF8
3.781
t
3.781
0.0000
0.0000
20772GNW4
3.633
t+1
3.700
-0.5623
-2.3416
08871PAF0
3.523
t+1
3.529
-0.4882
-3.1487
613579RX1
4.767
t+1
4.761
0.2174
2.1125
167560KJ9
4.787
t
4.787
0.0000
0.0000
Page 20
Table 11. Monthly Data
CUSIP
HP YTM
at Issue
Issuance
month
HP YTM
(strategy)
Gain/Loss
value per
$100
Gain/Loss
adjusted
for risk
13067JAQ4
3.144
t
3.144
0.0000
0.0000
5758276P0
4.573
t
4.573
0.0000
0.0000
646039AQ0
3.999
t
3.999
0.0000
0.0000
681712KB0
5.231
t+1
5.225
0.2851
1.5284
631663AP6
5.271
t+1
5.263
0.3962
2.1542
88279KAA2
5.274
t
5.274
0.0000
0.0000
452150VY8
5.826
t+1
5.818
0.5621
4.1120
13062NCE5
5.481
t+1
5.475
0.6322
3.9652
442330K47
4.899
t+1
4.892
0.6914
3.1925
575827K90
4.577
t+1
4.571
0.6523
2.1258
544644HF7
4.179
t
4.179
0.0000
0.0000
575827B41
4.935
t
4.935
0.0000
0.0000
20772FRD4
3.138
t+1
3.142
-0.6213
-2.5496
4521502L8
3.351
t+1
3.347
0.4269
3.2195
5758272T6
2.7
2.7
0.0000
0.0000
452150T47
4.552
t+1
4.558
-0.6924
-4.2963
403755UA7
2.952
t+1
2.957
-0.4259
-2.9821
917542KZ4
4.019
t
4.019
0.0000
0.0000
603823ZY4
6.542
t+1
6.549
-0.5632
-2.8595
594610A49
3.348
t+1
3.341
0.2174
2.5128
442565JM0
3.543
t+1
3.541
0.6921
2.5423
167560JG7
3.888
t+1
3.885
0.5218
3.6582
57582NJE6
2.628
t+1
2.623
0.4156
2.3452
49474EMW0
3.789
t
3.789
0.0000
0.0000
544644QQ3
2.426
t
2.426
0.0000
0.0000
49474EMM2
1.163
t+1
1.159
0.3142
2.1895
20775TAC1
1.916
t+1
1.905
0.9563
3.6321
6432724N4
4.369
t
4.369
0.0000
0.0000
917542MG4
3.486
t+1
3.491
-0.5864
-2.1544
799038CN2
3.527
t
3.527
0.0000
0.0000
677520JD1
3.397
t+1
3.404
-0.5123
-2.8963
005158SG6
3.002
t
3.002
0.0000
0.0000
118565RU6
2.942
t
2.942
0.0000
0.0000
57582N6P5
3.745
t+1
3.740
0.4256
1.2894
452151ZF3
3.992
t+1
3.999
-0.1695
-2.5826
068746FF8
3.781
t
3.781
0.0000
0.0000
20772GNW4
3.633
t
3.633
0.0000
0.0000
t
Page 21
08871PAF0
3.523
t
3.523
0.0000
0.0000
613579RX1
4.767
t+1
4.761
0.1247
2.2151
167560KJ9
4.787
t
4.787
0.0000
0.0000
Page 22