Monthly Excess Returns

SUMMARY:
       The acme data frame has 60 rows and 3 columns.

       The excess return for the Acme Cleveland  Corporation  are
       recorded along with those for all stocks listed on the New
       York and American Stock Exchanges  were  recorded  over  a
       five  year  period.   These excess returns are relative to
       the return on a risk-less investment such a U.S.  Treasury
       bills.

DATA DESCRIPTION:
       This data frame contains the following columns:

month:    A  character  string  representing  the  month  of  the
       observation.
market:   The excess return of the market as a whole.
acme:     The excess return for the Acme Cleveland Corporation.

SOURCE:
       The data were obtained from

       Simonoff, J.S. and Tsai,  C.-L.  (1994)  Use  of  modified
       profile  likelihood  for  improved  tests  of constancy of
       variance in regression. Applied Statistics, 43, 353-370.

OTHER REFERENCES:
       Davison, A.C. and Hinkley, D.V. (1997)  Bootstrap  Methods
       and Their Application. Cambridge University Press.