201-046
Exhibit 1
Cost of Capital at Ameritrade
Consolidated Annual Income Statements for the Fiscal Year Ending in September 1997
Net Revenues Transaction Income Net Interest Other Total Net Revenues
1996
1995
51,936,902.00 18,193,946 7,107,492 77,238,340
36 36,469,561.00 11,477,878 6,391,314 54,338,753
23 23,977,481.00 8,434,584 2,607,538 35,019,603
Expenses Excluding Interest Employee Compensation Commissions and Clearance Communications Occupancy and Equipment Cost Advertising and Promotion Provision for Losses Amortization of Goodwill Other Total Expenses Excluding Interest
19,290,808 3,320,262 5,623,468 5,422,839 13,970,834 59,000 363,002 7,763,014 55,813,227
14,049,642 2,530,642 3,685,535 2,889,654 7,537,265 148,014 363,002 4,717,406 35,921,160
8,481,977 2,516,796 2, 2 ,352,590 1,626,725 4,842,392 1,428,663 94,152 2,846,280 24,189,575
Income Before Income Taxes
21,425,113
18,417,593
10,830,028
7,602,964
7,259,248
3,798,881
13,822,149
11 11,158,345
7,031,147
$1.00
$0.87
$0.55
13,768,889
12,813,823
12,813,823
Taxes Net Income EPS Shares Outstanding Source: Ameritrade Annual Report, 1997.
Cost of Capital at Ameritrade
Exhibit 2
201-046
Consolidated Annual Balance Sheets for the Fiscal Year Ending in September 1997
ASSETS Cash & Gash Equivalents Cash Cash & Invest Investmen ments ts Segreg Segregated ated in Compli Complianc ance e with with Federa Federall Regula Regulati ti Recei eceiva vabl ble e from from Broker okers, s, Deal ealers, ers, & Cleari earing ng Orga Organi niza zati tion ons s Receivable from Customers & Correspondents Furniture, Equipment, & Leasehold Improvements Goodwill Equity Investments Other Investments Deferred Income Taxes Other Assets
1996
53,522,447.00 319,763, 319,763,921 921 17,8 17,823 23,,640 640 325,407,147 8,709,923 6,346,763 7,597,972 5,000,000 39,314 13,145,616
15,767,170.00 175,668 175,668,49 ,497 7 15,0 15,096 96,,862 862 166,075,055 3,746,178 6,709,765 7,157,783 5,000,000 44 4 44,378 6,013,544
757,356,743
401,679,232
Payable to Brokers, Dealers, & Clearing Organizations Payable to Customers & Correspondents Accounts Payable and Accrued Liabilities Notes Payable to Bank Income Taxes Payable
1,404,999 666,279,440 19,252,931 3,430,279
1,193,479 356,942,970 7,221,008 4,853,000 806,711
Total Liabilities
690,367,649
371,017,168
Class A Common Stock Class B Common Stock Additional Paid in Capital Retained Earnings
131,534 13,644 23,297,506 43,546,410
114,494 13,644 809,665 29,724,261
Total Stockholder’s Equity
66,989,094
30,662,064
757,356,743
401,679,232
Total Assets LIABILITIES & STOCKHOLDERS EQUITY Liabilities:
Stockholder’s Equity:
Total Liabilities & Stockholders Equity
Source: Ameritrade Annual Report, 1997.
Cost of Capital at Ameritrade
Exhibit 2
201-046
Consolidated Annual Balance Sheets for the Fiscal Year Ending in September 1997
ASSETS Cash & Gash Equivalents Cash Cash & Invest Investmen ments ts Segreg Segregated ated in Compli Complianc ance e with with Federa Federall Regula Regulati ti Recei eceiva vabl ble e from from Broker okers, s, Deal ealers, ers, & Cleari earing ng Orga Organi niza zati tion ons s Receivable from Customers & Correspondents Furniture, Equipment, & Leasehold Improvements Goodwill Equity Investments Other Investments Deferred Income Taxes Other Assets
1996
53,522,447.00 319,763, 319,763,921 921 17,8 17,823 23,,640 640 325,407,147 8,709,923 6,346,763 7,597,972 5,000,000 39,314 13,145,616
15,767,170.00 175,668 175,668,49 ,497 7 15,0 15,096 96,,862 862 166,075,055 3,746,178 6,709,765 7,157,783 5,000,000 44 4 44,378 6,013,544
757,356,743
401,679,232
Payable to Brokers, Dealers, & Clearing Organizations Payable to Customers & Correspondents Accounts Payable and Accrued Liabilities Notes Payable to Bank Income Taxes Payable
1,404,999 666,279,440 19,252,931 3,430,279
1,193,479 356,942,970 7,221,008 4,853,000 806,711
Total Liabilities
690,367,649
371,017,168
Class A Common Stock Class B Common Stock Additional Paid in Capital Retained Earnings
131,534 13,644 23,297,506 43,546,410
114,494 13,644 809,665 29,724,261
Total Stockholder’s Equity
66,989,094
30,662,064
757,356,743
401,679,232
Total Assets LIABILITIES & STOCKHOLDERS EQUITY Liabilities:
Stockholder’s Equity:
Total Liabilities & Stockholders Equity
Source: Ameritrade Annual Report, 1997.
201-046 Exhibit 3
Cost of Capital at Ameritrade
Capital Market Return Data (Historical and Current)
Prevailing Yields on US Government Securities (August 31, 1997) Annualized Yield to Maturity
3-Month T-BiIls 1-Year Bonds 5-Year Bonds 10-Year Bonds 20-Year Bonds 30-Year Bonds
5.24% 5.59% 6.22% 6.34% 6.69% 6.61%
Historic Average Total Annual Returns on US Government Securities and Common Stocks (195 0 -1996 Average Annual Return Standard Deviation
T-Bills Intermediate Bonds a Long Term Bonds b Large Company Stocks c Small Company Stocks d
5.2% 6.4% 6.0% 14.0% 17.8%
3.0% 6.6% 10.8% 16.8% 25.6%
Historic Average Total Annual Returns on US Government Securities and Common Stocks (192 9 - 199 Average Annual Return Standard Deviation
T-Bills Intermediate Bonds a Long Term Bonds b Large Company Stocks c Small Company Stocks d
3.8% 5.4% 5.5% 12.7% 17.7%
3.3% 5.8% 9.2% 20.3% 34.1%
Source: Yields are from Datastream, historical data are from lbbotson Associates, SBBI 2000 Yearbook. a Portfolio of US Government bonds with maturity near 5 years. b Portfolio of US Government bonds with maturity near 20 years. c Standard and Poor’s 500 Stock Price Index. d A subset of small cap stocks traded on the NYSE (1926-1981); Dimensional Fund Advisor’s Small Company Fund (1982-1997)
)
)
.
Exhibit 4
Selected Data for Comparable Firms
Firm Name (Industry)
A G Edwards (Investment Services) a Bear Stearns (Investment Services) Charles Schwab Corp (Discount Brokerage) E*Trade (Discount Brokerage) Lehman Brothers (Investment Services) Mecklermedia (Internet) Merrill Lynch & Co (Investment Services) Morgan Stanley Dean Witter (Investment Servic Netscape (Internet) Paine Webber (Investment Service) Quick & Reilly Group (Discount Brokerage) Raymond James Financial (Investment Service Waterhouse Investor Srvcs (Discount Brokerag Yahoo (Internet)
Debt/Value (Market Values) Current vg 1992-1996
0.00 0.60 0.05 0.00 0.79 0.00 0.57 0.57 0.00 0.51 0.00 0.05 NA 0.00
0.00 0.50 0.08 NA NA 0.00 b 0.52 0.53 NA 0.53 0.00 0.04 0.38 NA
Source: Compustat; Standard & Poor’s; company public filings a lnvestment Services includes brokerage, asset management, investment banking, and trading. b Indicates average over 1993-1996. c indicates average over 1992-1995
Debt/Value (Book Values) Current vg 1992-1996
0.00 0.69 0.25 0.00 0.80 0.00 0.77 0.70 0.00 0.63 0.00 0.07 NA 0.00
0.00 0.60 0.30 NA 0.79 b 0.00 b 0.65 0.63 NA 0.58 0.00 0.06 0.70 c NA
201-046
- 7 -
Brokerage evenues (%)
57 35 82 95 13 0 37 12 0 46 81 51 99 0
These companies are similar to Ameritrade
201-046
Exhibit 5
Cost of Capital at Ameritrade
Stock Price Data for Discount Brokers
Ameritrade
Date 31-Mar-97 30-Apr-97 30-May-97 30-Jun-97 31-Jul-97 29-Aug-97
Shares 13,153 13,153 13,153 14,518 14,518 14,518
Price
Dividend
Stock Split
15.625 12.500 14.000 15.750 15.375 18.813
-0.200 0.120 0.125 -0.024 0.224
Charles Schwab
Date Shares Price Dividend 30-Sep-87 29,121 15.875 30-Oct-87 29,121 7.875 30-Nov-87 29,121 6.625 31-Dec-87 25,388 6.000 29-Jan-88 25,388 6.500 29-Feb-88 25,388 9.000 31 -Mar-88 25,388 7.375 29-Apr-88 25,388 7.625 31-May-88 25,388 6.875 30-Jun-88 25,294 7.250 29-Jul-88 25,294 7.500 31-Aug-88 25,294 6.750 30-Sep-88 25,328 6.750 31-Oct-88 25,328 7.500 30-Nov-88 25,328 6.750 30-Dec-88 25,354 6.750 29-Jan-89 25,354 10.250 29-Feb-89 25,354 8.625 32 -Mar-88 25,354 8.875 29-Apr-89 25,354 10.125 31-May-89 25,354 11.750 0.030 30-Jun-89 25,352 11.000 29-Jul-89 25,352 16.500 0.030 31-Aug-89 25,352 15.750 30-Sep-89 25,386 14.000 31-Oct-89 25,386 13.000 0.030 30-Nov-89 25,386 12.500 30-Dec-89 25,332 13.875 29-Jan-90 25,332 13.500 0.030 29-Feb-90 25,332 15.250
Stock Split -0.504 -0.159 -0.094 0.083 0.385 -0.181 0.034 -0.098 0.055 0.034 -0.100 0.000 0.111 -0.100 0.000 0.519 -0.159 0.029 0.1408 0.1635 -0.0638 0.5027 -0.0455 -0.1111 -0.0693 -0.0385 0.1100 -0.0249 0.1296
33 -Mar-88 29-Apr-90 31-May-90 30-Jun-90 29-Jul-90 31-Aug-90 30-Sep-90 31-Oct-90 30-Nov-90 30-Dec-90 29-Jan-91 29-Feb-91 34 -Mar-88 29-Apr-91 31-May-91 30-Jun-91 29-Jul-91 31-Aug-91 30-Sep-91 31-Oct-91 30-Nov-91 30-Dec-91 29-Jan-92 29-Feb-92 35 -Mar-88 29-Apr-92 31-May-92 30-Jun-92 29-Jul-92 31-Aug-92 30-Sep-92 31-Oct-92 30-Nov-92 30-Dec-92 29-Jan-93 29-Feb-93 36 -Mar-88 29-Apr-93 31-May-93 30-Jun-93 29-Jul-93 31-Aug-93 30-Sep-93 31-Oct-93 30-Nov-93 30-Dec-93 29-Jan-94 29-Feb-94 37 -Mar-88 29-Apr-94 31-May-94 30-Jun-94 29-Jul-94
25,332 25,332 25,332 25,099 25,099 25,099 25,255 25,255 25,255 24,464 24,464 24,464 24,464 24,464 24,464 24,435 24,435 24,435 25,596 25,596 25,596 38,394 38,394 38,394 38,479 38,479 38,479 38,626 38,626 38,626 38,149 38,149 38,149 37,741 37,741 37,741 37,741 37,741 37,741 56,612 56,612 56,612 57,625 57,625 57,815 57,815 57,815 57,815 57,815 57,815 57,815 57,114 57,114
17.000 15.125 15.750 15.250 13.625 12.625 11.375 12.625 11.875 11.375 16.000 18.250 20.250 18.125 22.500 24.750 27.500 28.375 31.125 37.750 32.750 30.375 31.875 33.250 34.625 28.500 28.875 23.500 24.625 22.500 18.000 20.250 24.875 26.125 30.250 32.375 36.500 32.750 35.250 28.500 29.000 32.875 34.500 34.625 31.875 32.375 29.500 27.500 26.875 28.375 30.250 24.750 26.750
0.030
0.030
0.040
0.040
0.040
0.050
0.060 3 for 2 0.040
0.060
0.060
0.060
0.060
0.075 3 for 2 0.050
0.050
0.070
0.070
0.070
0.1148 -0.1085 0.0413 -0.0317 -0.1046 -0.0734 -0.0990 0.1134 -0.0594 -0.0421 0.4101 0.1406 0.1096 -0.103 0.241 0.100 0.113 0.032 0.097 0.215 -0.132 0.391 0.051 0.043 0.041 -0.175 0.013 -0.186 0.050 -0.086 -0.200 0.128 0.228 0.050 0.160 0.070 0.127 -0.101 0.076 0.213 0.019 0.134 0.049 0.005 -0.079 0.016 -0.087 -0.068 -0.023 0.058 0.066 -0.182 0.084
Split adjust 3
2
3
2
31-Aug-94 30-Sep-94 31-Oct-94 30-Nov-94 30-Dec-94 29-Jan-95 29-Feb-95 38 -Mar-88 29-Apr-95 31-May-95 30-Jun-95 29-Jul-95 31-Aug-95 30-Sep-95 31-Oct-95 30-Nov-95 30-Dec-95 29-Jan-96 29-Feb-96 39 -Mar-88 29-Apr-96 31-May-96 30-Jun-96 29-Jul-96 31-Aug-96 30-Sep-96 31-Oct-96 30-Nov-96 30-Dec-96 29-Jan-97 29-Feb-97 40 -Mar-88 29-Apr-97 31-May-97 30-Jun-97 29-Jul-97 31-Aug-97
57,114 56,829 56,829 57,325 57,325 57,325 57,325 85,988 85,988 85,988 85,896 85,896 87,061 174,122 174,122 174,678 174,678 174,678 174,678 174,678 174,032 174,032 174,989 174,989 174,989 175,166 175,166 175,166 175,173 175,173 175,173 175,173 175,068 175,068 175,813 176,422 176,422
30.750 29.625 35.375 31.875 34.875 40.000 44.375 32.250 34.250 35.000 43.875 46.125 46.625 29.000 22.875 24.250 20.125 25.125 25.500 25.875 24.500 24.250 24.500 24.125 25.000 23.000 25.000 30.250 32.000 37.500 37.500 32.000 36.625 40.625 40.500 47.000 42.750
0.070
0.090 3 for 2 0.060
0.080 2 for 1 0.040
0.040
0.040
0.050
0.050
0.050
0.050
0.050
0.150 -0.037 0.196 -0.099 0.094 0.150 0.109 0.090 0.064 0.022 0.254 0.053 0.011 0.244 -0.210 0.060 -0.170 0.250 0.015 0.015 -0.052 -0.010 0.010 -0.013 0.036 -0.080 0.089 0.210 0.058 0.172 0.001 -0.147 0.145 0.111 -0.003 0.160 -0.089 0.036 0.148
E*Trade
Date 30-Aug-96 30-Sep-96 31-Oct-96 29-Nov-96 31-Dec-96 31-Jan-97 28-Feb-97 31-Mar-97 30-Apr-97
Shares 29,393 29,539 29,539 29,539 29,545 29,545 29,545 30,440 30,440
Price 10.500 13.188 11.125 10.938 11.500 17.625 24.000 18.000 15.000
Dividend
Stock Split
0.256 -0.156 -0.017 0.051 0.533 0.362 -0.250 -0.167
3
2
2
1
Jan 92-Dec 96 0.03345 0.11513
30-May-97 30-Jun-97 31-Jul-97 29-Aug-97
30,440 30,958 30,958 30,958
17.625 19.625 30.500 32.125
0.175 0.113 0.554 0.053
Quick & Reilly
Date 31-Jan-84 29-Feb-84 30-Mar-84 30-Apr-84 31-May-84 29-Jun-84 31-Jul-84 31-Aug-84 28-Sep-84 31-Oct-84 30-Nov-84 31-Dec-84 31-Jan-85 29-Feb-85 30-Mar-85 30-Apr-85 31-May-85 29-Jun-85 31-Jul-85 31-Aug-85 28-Sep-85 31-Oct-85 30-Nov-85 31-Dec-85 31-Jan-86 29-Feb-86 30-Mar-86 30-Apr-86 31-May-86 29-Jun-86 31-Jul-86 31-Aug-86 28-Sep-86 31-Oct-86 30-Nov-86 31-Dec-86 31-Jan-87 29-Feb-87 30-Mar-87 30-Apr-87 31-May-87 29-Jun-87
Shares 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 6,318 11,149 11,149 11,149 11,149 11,149 11,149 11,149 11,149 11,149 11,149 11,149 16,724 16,724 9,477
Price 17.625 15.000 14.875 17.125 17.375 18.000 14.750 18.000 17.000 17.875 15.250 15.500 23.375 23.750 23.125 20.625 22.625 24.000 24.125 22.875 20.125 22.250 25.500 32.500 36.375 39.125 39.000 30.375 33.375 35.500 29.000 28.750 23.875 32.125 29.500 26.750 36.125 36.875 36.000 21.375 21.500 19.250
Dividend
Stock Split
0.050
0.050 0.050
0.050
0.110
0.060
0.060
0.060
0.170
0.070
0.070
0.070
0.200 3 for 2 0.055
-0.146 -0.008 0.151 0.015 0.039 -0.181 0.224 -0.056 0.051 -0.144 0.016 0.508 0.021 -0.026 -0.108 0.100 0.061 0.005 -0.049 -0.120 0.106 0.149 0.275 0.119 0.080 -0.003 -0.221 0.101 0.064 -0.183 -0.006 -0.170 0.346 -0.080 -0.093 0.350 0.026 -0.024 x -0.109 0.008 -0.105
y 3
2
31-Jul-87 31-Aug-87 28-Sep-87 31-Oct-87 30-Nov-87 31-Dec-87 31-Jan-88 29-Feb-88 30-Mar-88 30-Apr-88 31-May-88 29-Jun-88 31-Jul-88 31-Aug-88 28-Sep-88 31-Oct-88 30-Nov-88 31-Dec-88 31-Jan-89 29-Feb-89 30-Mar-89 30-Apr-89 31-May-89 29-Jun-89 31-Jul-89 31-Aug-89 28-Sep-89 31-Oct-89 30-Nov-89 31-Dec-89 31-Jan-90 29-Feb-90 30-Mar-90 30-Apr-90 31-May-90 29-Jun-90 31-Jul-90 31-Aug-90 28-Sep-90 31-Oct-90 30-Nov-90 31-Dec-90 31-Jan-91 29-Feb-91 30-Mar-91 30-Apr-91 31-May-91 29-Jun-91 31-Jul-91 31-Aug-91 28-Sep-91 31-Oct-91 30-Nov-91
9,477 9,477 9,477 9,477 9,477 9,477 9,477 9,477 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,452 9,437 9,437 9,437 9,210 9,210 9,210 9,452 9,452 9,452 9,210 9,210 9,210
20.250 24.625 23.000 12.125 11.625 12.500 12.625 13.500 12.250 12.625 11.500 11.875 11.500 11.250 11.750 11.750 11.500 10.875 15.000 13.750 13.250 13.000 16.125 14.000 16.500 17.000 16.750 15.750 14.875 13.625 12.000 13.625 13.250 13.000 15.250 14.000 13.500 11.375 10.375 9.750 10.125 10.250 13.125 16.125 18.875 17.500 17.750 17.000 19.625 20.625 19.250 20.375 20.000
0.055
0.055
0.180
0.060
0.060
0.060
0.060
0.060
0.060
0.060
0.130
0.070
0.070
0.070
0.070
0.070
0.070
0.070
0.052 0.219 -0.066 -0.473 -0.037 0.075 0.010 0.084 -0.093 0.031 -0.084 0.033 -0.032 -0.017 0.044 0.000 -0.016 -0.054 0.379 -0.079 -0.036 -0.019 0.245 -0.132 0.179 0.034 -0.015 -0.060 -0.052 -0.084 -0.119 0.146 -0.028 -0.019 0.178 -0.082 -0.036 -0.152 -0.088 -0.060 0.046 0.012 0.280 0.234 0.171 -0.073 0.018 -0.042 0.154 0.055 -0.067 0.058 -0.015
31-Dec-91 31-Jan-92 29-Feb-92 30-Mar-92 30-Apr-92 31-May-92 29-Jun-92 31-Jul-92 31-Aug-92 28-Sep-92 31-Oct-92 30-Nov-92 31-Dec-92 31-Jan-93 29-Feb-93 30-Mar-93 30-Apr-93 31-May-93 29-Jun-93 31-Jul-93 31-Aug-93 28-Sep-93 31-Oct-93 30-Nov-93 31-Dec-93 31-Jan-94 29-Feb-94 30-Mar-94 30-Apr-94 31-May-94 29-Jun-94 31-Jul-94 31-Aug-94 28-Sep-94 31-Oct-94 30-Nov-94 31-Dec-94 31-Jan-95 29-Feb-95 30-Mar-95 30-Apr-95 31-May-95 29-Jun-95 31-Jul-95 31-Aug-95 28-Sep-95 31-Oct-95 30-Nov-95 31-Dec-95 31-Jan-96 29-Feb-96 30-Mar-96 30-Apr-96
9,220 9,220 9,220 9,292 9,292 9,292 9,292 9,292 9,292 9,884 9,884 9,884 9,884 9,884 9,884 9,824 9,824 9,824 10,315 10,623 10,623 10,643 10,643 10,678 11,212 10,678 11,238 11,238 11,238 11,238 11,168 11,168 11,121 11,121 11,111 11,111 11,111 11,075 11,075 11,075 11,075 11,075 16,613 16,613 16,613 16,613 24,920 24,952 24,952 25,056 25,056 25,056 25,056
27.750 27.500 28.500 28.625 21.500 21.500 21.000 20.125 19.625 20.125 21.000 25.375 24.750 27.000 26.000 27.125 25.125 26.125 28.875 30.750 35.000 36.250 35.875 34.250 35.750 35.375 28.375 25.625 26.375 26.875 25.375 24.750 29.250 25.875 25.750 24.750 28.375 30.875 35.000 35.500 40.625 47.000 36.625 38.500 37.375 45.875 23.750 25.375 20.500 23.250 26.250 29.500 30.500
0.180
0.080
0.080
0.080
0.220
0.100 1.443 0.100
0.100 1.788 0.270
0.120
0.120
0.120
0.290
0.150
3for2
0.100 3 for 2 0.070
0.080
0.388 -0.009 0.043 0.004 -0.249 0.004 -0.023 -0.042 -0.021 0.025 0.043 0.212 -0.025 0.091 -0.029 0.043 -0.074 0.044 0.160 0.065 0.141 0.036 -0.010 -0.043 0.096 -0.010 -0.190 -0.097 0.029 0.024 -0.056 -0.025 0.187 -0.115 -0.005 -0.034 0.146 0.088 0.143 0.014 0.144 0.157 0.174 0.051 -0.027 0.227 -0.223 0.071 -0.192 0.134 0.132 0.124 0.034
3
2
3
2
31-May-96 29-Jun-96 31-Jul-96 31-Aug-96 28-Sep-96 31-Oct-96 30-Nov-96 31-Dec-96 31-Jan-97 29-Feb-97 30-Mar-97 30-Apr-97 31-May-97 29-Jun-97 31-Jul-97 31-Aug-97
25,056 25,056 25,178 25,178 25,178 25,178 25,178 25,178 25,173 25,173 37,760 37,760 37,760 38,606 38,664 38,664
33.875 32.500 28.375 29.250 26.500 26.250 28.375 29.875 36.625 35.000 20.875 22.125 23.000 23.250 26.250 34.250
0.070
0.080
0.080
0.190 3 for 2 0.060
0.060
0.113 -0.041 -0.127 0.034 -0.094 -0.009 0.084 0.053 0.226 -0.039 -0.105 0.060 0.042 0.011 0.129 0.307
Waterhouse Investor Services
Date Shares Price Dividend 29-May-87 2,572 6.938 30-Jun-87 2,572 8.000 31-Jul-87 2,572 8.250 31-Aug-87 2,572 7.500 30-Sep-87 2,572 8.000 30-Oct-87 2,572 6.250 30-Nov-87 2,572 6.000 31-Dec-87 2,572 5.250 29-Jan-88 2,572 4.500 29-Feb-88 2,482 4.750 31-Mar-88 2,482 6.000 29-Apr-88 2,482 5.875 31-May-88 2,482 6.250 30-Jun-88 2,482 5.000 29-Jul-88 2,482 3.500 31-Aug-88 2,482 3.250 30-Sep-88 2,482 4.000 31-Oct-88 2,482 3.375 30-Nov-88 2,482 3.500 30-Dec-88 2,482 2.750 31-Jan-89 2,482 3.750 28-Feb-89 2,472 3.750 31 -Mar-89 2,472 4.750 28-Apr-89 2,472 4.250 31-May-89 2,420 5.000 30-Jun-89 2,420 6.000 31 -Jul-89 2,420 6.000 31-Aug-89 2,419 5.750 0.120 29-Sep-89 2,419 5.625 31-Oct-89 2,419 5.375 30-Nov-89 2,417 5.000
Stock Split 0.153 0.031 -0.091 0.067 -0.219 -0.040 -0.125 -0.143 0.056 0.263 -0.021 0.064 -0.200 -0.300 -0.071 0.231 -0.156 0.037 -0.214 0.364 0.000 0.267 -0.105 0.176 0.200 0.000 -0.022 -0.022 -0.044 -0.070
3
2
29-Dec-89 31-Jan-90 28-Feb-90 30-Mar-90 30-Apr-90 31-May-90 29-Jun-90 31-Jul-90 31-Aug-90 28-Sep-90 31-Oct-90 30-Nov-90 31-Dec-90 31 -Jan-91 28-Feb-91 28-Mar-91 30-Apr-91 31-May-91 28-Jun-91 31-Jul-91 30-Aug-91 30-Sep-91 31-Oct-91 29-Nov-91 31 -Dec-91 31 -Jan-92 28-Feb-92 31-Mar-92 30-Apr-92 29-May-92 30-Jun-92 31 -Jul-92 31-Aug-92 30-Sep-92 30-Oct-92 30-Nov-92 31-Dec-92 29-Jan-93 26-Feb-93 31-Mar-93 30-Apr-93 28-May-93 30-Jun-93 30-Jul-93 31 -Aug-93 30-Sep-93 29-Oct-93 30-Nov-93 31-Dec-93 31-Jan-94 28-Feb-94 31-Mar-94 29-Apr-94
2,417 2,417 2,420 2,420 2,420 2,572 2,572 2,572 2,377 2,377 2,377 2,370 2,370 2,370 2,320 2,320 2,320 2,320 2,900 2,900 2,943 2,943 2,943 2,943 2,943 2,943 4,415 4,466 4,466 4,466 4,466 4,466 4,466 4,847 4,847 4,847 4,847 4,847 4,847 6,071 6,071 6,071 6,072 6,072 6,072 6,072 6,072 9,108 9,150 9,150 9,150 9,150 9,150
4.500 4.375 3.750 4.250 4.375 4.250 4.750 4.625 4.375 4.250 4.000 3.750 3.625 3.750 4.500 6.125 7.000 8.250 8.000 10.375 10.750 14.250 14.000 15.500 27.500 26.500 21.750 25.375 20.625 21.750 17.125 17.625 13.750 14.375 15.625 20.750 20.500 25.250 24.375 20.500 18.500 27.250 33.500 33.000 42.625 50.125 47.250 25.750 21.250 21.250 20.500 17.625 16.000
0.150
5 for 4 0.160
3 for 2
0.200
5 for 4
0.250
3 for 2
-0.100 -0.028 -0.143 0.133 0.029 -0.029 0.118 -0.026 -0.022 -0.029 -0.059 -0.063 -0.033 0.034 0.200 0.361 0.143 0.179 0.212 0.297 0.052 0.326 -0.018 0.107 0.774 -0.036 0.231 0.167 -0.187 0.055 -0.213 0.029 -0.209 0.045 0.087 0.328 -0.012 0.232 -0.035 0.051 -0.098 0.473 0.229 -0.015 0.299 0.176 -0.057 -0.183 -0.175 0.000 -0.035 -0.140 -0.092
5
4
3
2
5
4
3
2
31-May-94 30-Jun-94 29-Jul-94 31-Aug-94 30-Sep-94 31-Oct-94 30-Nov-94 30-Dec-94 31-Jan-95 28-Feb-95 31-Mar-95 28-Apr-95 31-May-95 30-Jun-95 31-Jul-95 31-Aug-95 29-Sep-95 31-Oct-95 30-Nov-95 29- Dec-95 31-Jan-96 29- Feb-96 29-Mar-96 30-Apr-96 31-May-96 28-Jun-96 31-Jul-96 30-Aug-96 30-Sep-96
9,150 9,150 9,150 9,150 9,150 9,150 9,150 9,154 9,154 9,154 9,154 9,154 9.154 9,154 9,154 9,154 11,442 11,442 11,442 11,452 11,452 11,452 11,452 11,452 11,458 11,458 11,501 11,501 11,501
15.250 13.375 13.000 17.000 14.125 16.125 14.250 12.250 14.500 17.375 16.125 16.125 17.500 23.000 27.625 28.625 25.500 19.750 19.750 24.750 23.625 24.625 33.375 36.250 36.625 37.125 37.625 37.375 37.875
0.200
0.250 5 for 4
0.220
Source: Center for Research on Security Prices, University of Chicago.
-0.047 -0.123 -0.028 0.323 -0.169 0.142 -0.116 -0.140 0.184 0.198 -0.072 0.000 0.085 0.314 0.201 0.045 0.114 -0.225 0.000 0.253 -0.045 0.042 0.355 0.086 0.010 0.014 0.013 -0.001 0.013
5
4
ment
Exhibit 6
Stock Return Data for Investment Service Firms, Internet Firms, and the Aggregate Stock Market
Date
31-Jan-84 29-Feb-84 30-Mar-84 30-Apr-84 31-May-84 29-Jun-84 31-Jul-84 31-Aug-84 28-Sep-84 31-Oct-84 30-Nov-84 31-Dec-84 31-Jan-85 28-Feb-85 29-Mar-85 30-Apr-85 31-May-85 28-Jun-85 31-Jul-85 30-Aug-85 30-Sep-85 31-Oct-85 29-Nov-85 31-Dec-85 31-Jan-86 28-Feb-86 31-Mar-86 30-Apr-86 30-May-86 30-Jun-86 31-Jul-86 29-Aug-86 30-Sep-86 31-Oct-86 28-Nov-86 31-Dec-86 30-Jan-87 27-Feb-87 31-Mar-87 30-Apr-87 29-May-87 30-Jun-87 31-Jul-87 31-Aug-87 30-Sep-87 30-Oct-87
A G Edwards Bear Stearns Lehman Bros
0.026040 -0.111680 -0.042290 0.012050 -0.017860 0.100610 0.016670 0.178140 -0.032710 0.024150 -0.066040 -0.017170 0.331610 -0.007780 -0.036860 -0.094260 0.085970 0.102500 -0.064640 -0.036590 -0.132490 0.088240 0.099100 0.141800 0.039710 0.149310 0.083990 -0.086830 0.026070 -0.066370 -0.067630 0.104660 -0.094340 0.151040 -0.022620 -0.040740 0.334950 0.000000 0.044950 -0.122380 -0.023900 -0.104650 0.073390 0.027180 -0.071130 -0.337840
-0.103450 0.193590 0.156760 0.130840 0.128720 0.065640 0.003620 -0.168520 -0.141920 0.160310 -0.145530 0.217050 -0.057320 -0.102160 0.318180 -0.022990 -0.024650 -0.121020 -0.028990 0.022090 -0.007350 0.103700 0.080270 -0.400000
Morgan Meckler- Merrill Lynch Stanley Dean Netscape media Witter -0.013280 -0.167330 -0.019140 -0.011710 -0.044780 0.119790 -0.076280 0.304570 -0.077820 0.023630 -0.091290 -0.013700 0.277780 -0.023190 -0.085820 -0.034290 0.089360 0.011720 0.040930 -0.052240 -0.141730 0.100920 0.127500 0.022300 0.152730 0.036590 0.012230 -0.102720 -0.008080 -0.054610 -0.039710 0.145110 -0.052810 0.195120 -0.074050 -0.075950 0.198630 -0.015430 -0.002920 -0.152050 -0.041380 0.010870 0.100360 0.032570 -0.031750 -0.357380
0.051150 0.013420 -0.062910 -0.070670 0.149050 -0.119400 0.160830 -0.030890 -0.129190 0.112910 -0.048610 0.036500 0.005280 0.020320 -0.003440 0.023490 0.069370 0.023730 -0.337560
30-Nov-87 31-Dec-87 29-Jan-88 29-Feb-88 31-Mar-88 29-Apr-88 31-May-88 30-Jun-88 29-Jul-88 31-Aug-88 30-Sep-88 31-Oct-88 30-Nov-88 30-Dec-88 31-Jan-89 28-Feb-89 31-Mar-89 28-Apr-89 31-May-89 30-Jun-89 31-Jul-89 31-Aug-89 29-Sep-89 31-Oct-89 30-Nov-89 29-Dec-89 31-Jan-90 28-Feb-90 30-Mar-90 30-Apr-90 31-May-90 29-Jun-90 31-Jul-90 31-Aug-90 28-Sep-90 31-Oct-90 30-Nov-90 31-Dec-90 31-Jan-91 28-Feb-91 28-Mar-91 30-Apr-91 31-May-91 28-Jun-91 31-Jul-91 30-Aug-91 30-Sep-91 31-Oct-91 29-Nov-91 31-Dec-91 31-Jan-92 28-Feb-92 31-Mar-92
-0.174420 0.033330 0.080650 0.062390 -0.035460 0.029410 -0.042860 0.159400 -0.006490 -0.039220 0.084080 -0.006330 -0.057320 0.042970 0.169930 -0.044690 -0.038830 -0.006130 0.154320 -0.003420 0.178380 0.087160 0.008270 -0.148150 0.103260 -0.096750 -0.115380 0.055900 0.137410 -0.104170 0.203490 -0.007920 -0.058820 -0.081460 -0.268570 0.046880 0.119400 0.095730 0.202450 0.168370 0.136940 0.019310 0.075760 -0.099720 0.198820 0.025220 0.202900 0.076310 -0.126870 0.299660 -0.056110 -0.066430 -0.088760
-0.145830 0.023900 0.144580 0.157890 -0.054550 0.019420 -0.085710 0.093750 -0.067310 -0.041240 0.028670 0.084210 0.029130 -0.038100 0.178220 0.001010 0.025420 -0.041320 0.068710 0.034190 0.107440 0.034850 -0.083970 -0.075000 -0.034950 0.009430 -0.028040 0.060770 -0.038460 -0.020000 0.179290 -0.009170 -0.083330 -0.097780 -0.142860 -0.097220 0.124920 0.125000 0.135800 0.142610 0.125000 0.034190 0.094630 -0.128000 0.110090 -0.014880 0.016950 0.058330 -0.039760 0.182610 0.066180 0.080000 -0.077420
-0.153060 0.091460 0.072630 0.062500 -0.064360 0.000000 0.031750 0.113990 0.013950 -0.050460 0.039020 0.051640 -0.049550 -0.090050 0.270830 -0.037190 -0.047210 0.040540 0.060610 -0.061730 0.232460 -0.039430 -0.108210 -0.025100 -0.086580 -0.004740 -0.133330 0.000000 -0.033330 -0.034480 0.138550 -0.047620 0.061110 -0.132280 -0.091460 -0.046980 0.107140 0.070970 0.186750 0.172590 0.218340 0.089610 0.086090 -0.064020 0.081430 0.018180 0.148810 0.072540 -0.067630 0.231770 -0.031710 -0.019650 -0.015660
-0.163930 0.148460 -0.019510 0.168660 0.055560 0.106880 -0.086240 0.275100 0.004720 -0.015720 -0.003190 0.051280 -0.036700 0.053970 0.078310 0.032400 0.006110 -0.055060 0.137630 -0.017010 0.110000 0.062610 -0.063830 -0.069580 0.050940 -0.071810 -0.077370 0.029540 0.008200 0.028460 0.129220 0.024650 -0.163230 -0.068180 -0.121950 -0.012630 0.092780 0.025940 0.101150 0.184870 0.177300 -0.015060 0.087560 -0.103110 0.161200 0.029970 0.063490 0.081290 -0.016170 0.197180 -0.110040 -0.008850 -0.013390
30-Apr-92 29-May-92 30-Jun-92 31-Jul-92 31-Aug-92 30-Sep-92 30-Oct-92 30-Nov-92 31-Dec-92 29-Jan-93 26-Feb-93 31-Mar-93 30-Apr-93 28-May-93 30-Jun-93 30-Jul-93 31-Aug-93 30-Sep-93 29-Oct-93 30-Nov-93 31-Dec-93 31-Jan-94 28-Feb-94 31-Mar-94 29-Apr-94 31-May-94 30-Jun-94 29-Jul-94 31-Aug-94 30-Sep-94 31-Oct-94 30-Nov-94 30-Dec-94 31-Jan-95 28-Feb-95 31-Mar-95 28-Apr-95 31-May-95 30-Jun-95 31-Jul-95 31-Aug-95 29-Sep-95 31-Oct-95 30-Nov-95 29-Dec-95 31-Jan-96 29-Feb-96 29-Mar-96 30-Apr-96 31-May-96 28-Jun-96 31-Jul-96 30-Aug-96
-0.163220 0.098770 -0.078430 -0.006130 0.043460 -0.071430 0.115380 0.166670 -0.063840 0.089950 -0.019420 0.080200 -0.050690 -0.052430 0.051550 0.063730 0.010140 0.082570 0.046610 -0.032390 -0.032970 0.016300 -0.048130 -0.190340 -0.013990 0.071770 -0.080000 0.014490 0.150000 -0.086210 0.013700 -0.060000 0.043480 0.020830 0.224490 -0.016000 0.039770 -0.010930 0.000660 0.088890 -0.005100 0.098050 -0.042250 0.065100 -0.115740 0.052360 -0.034830 0.032370 -0.055280 0.090430 0.064780 0.009220 0.022830
-0.006990 0.006690 -0.022220 -0.045450 -0.014290 0.016260 0.024000 0.100390 0.045110 -0.014390 -0.005840 0.081480 0.089040 0.133330 0.050280 0.026600 0.039900 0.042110 -0.111110 0.018180 -0.016850 0.114290 -0.106670 -0.098270 0.083330 0.019820 -0.165640 -0.051470 0.141090 -0.123290 0.015630 -0.029230 -0.016000 0.081300 0.136840 -0.013330 0.114860 0.038180 0.055560 0.035090 -0.061020 0.042420 -0.075580 0.101890 -0.086210 0.157230 0.060870 0.020620 0.015150 0.014180 -0.020730 -0.047620 0.045560
-0.166670 0.050000 0.039680 -0.092310 0.050850 -0.037100 -0.008400 0.152540 0.069120 -0.006900 0.083330 0.015380 0.107590 0.017140 0.064040 -0.015870 -0.064520 0.042530 -0.060770 0.205880 -0.032200 0.080810 -0.051400 -0.032510 0.010200 -0.065660 -0.084320
-0.045050 0.000000 0.905660 -0.128710 -0.011360 -0.275860 -0.031750 -0.311480 -0.071430 0.410260 -0.181820 0.155560 0.730770 0.566670 0.517730 0.411210 -0.006620 0.126670 -0.112430 -0.373330 0.510640 -0.098590 -0.185550 -0.155880 0.090910 0.333330 0.156250 0.094590 -0.172840 0.044780
-0.109090 -0.004080 0.041240 0.019800 -0.030580 0.020150 0.093830 0.095710 -0.014490 0.098740 0.046650 0.045870 -0.010530 0.079430 0.069310 0.074070 0.118970 0.010310 -0.007400 -0.063230 -0.074380 0.073210 -0.094710 -0.083080 -0.010070 0.063860 -0.102560 0.046430 0.115490 -0.147690 0.143830 -0.034920 -0.059210 0.030910 0.119450 0.036590 0.070590 0.038680 0.117020 0.057140 0.042970 0.084600 -0.112000 0.004680 -0.081080 0.120290 0.013190 0.054230 -0.006170 0.077430 0.005790 -0.068330 0.014490
-0.110860 0.050690 -0.024330 0.097260 -0.075180 -0.051850 0.031250 0.075560 0.051890 0.015700 0.022080 0.110500 -0.064450 0.102300 0.051440 0.019890 0.179360 0.049770 -0.096260 -0.084010 -0.013940 0.121910 -0.156850 -0.039400 -0.037110 -0.025560 -0.048120 0.065930 0.155460 -0.109320 0.052310 -0.091010 -0.002110 0.019070 0.120580 0.004750 0.031540 0.095320 0.077180 0.023720 0.038860 0.116550 -0.099790 -0.008620 -0.065220 0.185740 -0.015750 0.109330 -0.030290 -0.014930 -0.007580 -0.004070 -0.020510
0.262630 0.408000 0.571020 0.005420 0.181650 -0.379000 -0.186270 0.469880 0.115780 -0.085400 -0.365460 -0.104430
30-Sep-96 31-Oct-96 29-Nov-96 31-Dec-96 31-Jan-97 28-Feb-97 31-Mar-97 30-Apr-97 30-May-97 30-Jun-97 31-Jul-97 29-Aug-97
0.045890 0.025750 0.046030 0.081120 0.011150 0.044120 -0.128730 0.138210 0.060710 0.156360 -0.011700 -0.059170
-0.005350 0.016130 0.170370 0.013640 0.076230 0.055000 -0.125000 0.161900 0.070490 0.051920 0.199270 -0.031400
0.224850 -0.028990 0.161190 0.077250 0.007970 0.065140 -0.130110 0.162390 0.207650 -0.012200 0.231480 -0.121600
0.028570 -0.034720 0.165470 -0.024690 0.050630 0.337350 -0.135140 0.062500 -0.245100 -0.012990 0.065790 -0.006170
0.075510 0.066410 0.146620 0.015580 0.032210 0.144730 -0.105470 0.110920 0.115790 0.125000 0.181340 -0.124050
0.041880 0.013570 0.196520 -0.049900 0.003500 0.105030 -0.069310 0.077870 0.075250 0.046820 0.220960 -0.082240
0.310950 -0.045820 0.262710 0.017900 -0.334070 -0.231020 0.032190 -0.099790 0.092380 0.084570 0.144250 0.085180
Source: Center for Research on Security Prices, University of Chicago. aVW (EW) NYSE, AMEX, & Nasdaq” represents the value-weighted (equal-weighted) index of all US publicly
Paine Webber -0.042860 -0.175370 0.073300 0.080510 -0.113730 0.084960 -0.090160 0.189190 -0.105300 0.029790 -0.041320 -0.046550 0.431820 -0.022220 0.026620 -0.123810 0.065220 -0.040140 -0.092530 -0.038430 -0.049180 0.008620 0.197440 0.003580 0.107140 0.068390 0.036360 -0.137430 0.051530 -0.116500 -0.010990 0.175930 -0.015590 0.172690 -0.075210 -0.063200 0.178570 -0.033540 -0.003500 -0.084210 -0.061150 0.020490 0.052210 0.023050 -0.029960 -0.474900
Raymond James 0.040000 -0.102560 -0.050000 -0.067670 -0.072580 -0.043480 0.018180 0.214290 -0.029410 0.015150 -0.179100 -0.054550 0.430770 0.027030 0.013160 -0.025970 0.013330 0.039470 0.017720 0.025000 -0.048780 0.000000 0.256410 0.015920 0.288890 0.103450 0.171880 -0.100000 -0.007410 -0.040600 -0.187500 0.038460 -0.092590 0.081630 -0.056600 -0.026800 0.319590 0.289060 0.261940 -0.116400 -0.101800 -0.031200 -0.062070 0.169120 -0.142640 -0.352940
Yahoo
VW NYSE, AMEX, & Nasdaq a -0.012910 -0.039170 0.013450 0.002730 -0.052350 0.023590 -0.020350 0.112570 0.000390 0.000130 -0.010620 0.023790 0.085730 0.017000 -0.001930 -0.002180 0.055870 0.017190 -0.000540 -0.004800 -0.039650 0.044570 0.069270 0.043060 0.009860 0.072840 0.053880 -0.008060 0.050810 0.014300 -0.059690 0.066390 -0.079140 0.049440 0.015170 -0.026540 0.128370 0.047630 0.023240 -0.017130 0.005220 0.043830 0.044050 0.037230 -0.020740 -0.224870
EW NYSE, AMEX, & Nasdaq a 0.005760 -0.053810 0.007100 -0.019420 -0.050770 0.013800 -0.047450 0.089620 0.000270 -0.020890 -0.031410 0.005050 0.122760 0.047140 -0.008530 -0.011290 0.022930 0.003470 0.019510 -0.003410 -0.056140 0.018960 0.053270 0.029130 0.043400 0.062360 0.047720 0.015840 0.036630 0.008960 -0.073610 0.022110 -0.060490 0.024620 -0.006280 -0.034530 0.116820 0.074950 0.033090 -0.019610 0.000710 0.022010 0.034700 0.015590 -0.015510 -0.270850
-0.021760 -0.128790 0.113040 0.109690 -0.078010 -0.038460 0.032320 0.070310 -0.036500 0.038180 0.036760 -0.028370 -0.065400 0.015750 0.116280 0.028060 -0.047620 0.014290 0.070700 -0.026490 0.258500 0.016430 -0.160430 -0.121020 -0.014200 0.000000 -0.037040 0.038770 0.044780 -0.042860 0.119700 0.013420 -0.066230 -0.113190 -0.096770 -0.151790 0.126740 0.037740 0.054550 0.319310 0.197370 0.054950 -0.041460 -0.142080 0.095540 0.081630 0.118920 0.202900 -0.152610 0.335070 -0.016040 0.080430 -0.045450
-0.113640 -0.038460 0.137600 -0.035290 0.089270 -0.067420 -0.048190 -0.008610 0.025640 -0.050000 0.017370 0.157630 -0.069770 0.105000 0.193180 0.051430 -0.009090 0.018350 0.090090 0.069420 0.147290 -0.013510 0.009590 -0.122450 0.015500 -0.061070 -0.012360 0.148760 0.075400 -0.013420 0.118910 -0.036590 0.000000 -0.101270 -0.116340 -0.048000 0.084030 0.144500 0.074830 0.219240 0.270830 0.057380 0.063950 -0.041090 0.034290 0.038670 0.114260 0.105260 -0.125540 0.217820 0.165530 -0.003500 0.128840
-0.072900 0.070410 0.045340 0.051610 -0.017060 0.011000 0.000940 0.051390 -0.007180 -0.027940 0.037280 0.017650 -0.016400 0.020800 0.065940 -0.016360 0.021550 0.048530 0.039650 -0.004980 0.077720 0.022280 -0.001750 -0.029380 0.017850 0.018280 -0.070050 0.014980 0.024150 -0.028160 0.088870 -0.004300 -0.009380 -0.091730 -0.053870 -0.012420 0.065980 0.029540 0.049040 0.075690 0.028780 0.003350 0.040590 -0.044240 0.046830 0.026910 -0.011060 0.017720 -0.037270 0.107040 -0.001650 0.013290 -0.023680
-0.052300 0.027940 0.078110 0.062010 0.034370 0.015250 -0.017020 0.048480 0.000550 -0.023710 0.018700 -0.011780 -0.036700 0.019540 0.063130 0.002790 0.017030 0.030680 0.027370 -0.008330 0.031610 0.019290 0.004470 -0.050950 -0.008220 -0.012170 -0.045810 0.015750 0.022040 -0.026720 0.046650 0.005380 -0.027290 -0.109790 -0.080490 -0.056330 0.036650 -0.003870 0.085250 0.133650 0.077820 0.031020 0.030340 -0.034500 0.034920 0.028570 0.008670 0.023860 -0.025390 0.036450 0.149480 0.052010 -0.014120
-0.142860 0.049140 0.023670 0.069360 -0.135350 -0.106920 0.140850 0.197280 0.010360 0.035900 -0.054650 0.089470 -0.072460 0.136460 0.073730 0.034330 0.067220 0.019530 -0.099620 -0.088510 0.014080 0.097220 -0.097050 -0.047010 -0.007410 -0.007760 -0.053030 0.032000 0.015190 -0.115380 0.060870 -0.098690 0.100920 0.000000 0.166330 -0.071940 0.062020 0.160290 -0.044300 0.086090 -0.055120 0.025970 0.120250 0.011070 -0.101120 0.037500 -0.036390 0.106920 -0.051140 0.053650 0.085710 -0.115790 -0.012140
-0.135510 -0.086490 -0.014910 0.006020 -0.071860 -0.113030 0.116790 0.209150 -0.032430 0.137650 -0.137930 0.043660 0.005490 0.038250 0.003370 -0.057890 0.154410 0.087380 -0.035710 -0.027780 -0.050000 0.064960 -0.070920 -0.048550 -0.040320 -0.003030 -0.016950 -0.068970 0.185190 -0.026250 -0.032260 -0.041670 -0.026090 0.095710 0.163930 -0.023100 0.014490 0.050000 0.059320 0.122580 0.011490 -0.007270 -0.011490 0.052330 -0.056570 0.035290 0.005680 0.021240 0.005560 0.005520 -0.001320 -0.077350 0.119760
-0.058820 -0.250000 -0.142860 0.090280
0.013850 0.006520 -0.019240 0.039930 -0.020760 0.012420 0.010900 0.040190 0.017540 0.012330 0.005450 0.025010 -0.025510 0.029420 0.005130 -0.000760 0.039340 0.000610 0.018040 -0.017350 0.019450 0.031330 -0.024090 -0.045740 0.009830 0.009500 -0.027380 0.030410 0.042830 -0.018650 0.014870 -0.037070 0.012750 0.020550 0.039620 0.026970 0.024880 0.034160 0.030840 0.040670 0.009340 0.036390 -0.011150 0.042970 0.015400 0.028090 0.016050 0.011200 0.025130 0.026720 -0.007660 -0.053390 0.032220
-0.032890 0.005500 -0.039700 0.027280 -0.024440 0.011930 0.016320 0.067730 0.035650 0.066740 -0.007910 0.030880 -0.012760 0.037950 0.011970 0.014100 0.040400 0.025790 0.040090 -0.024370 0.016120 0.048920 -0.009490 -0.046020 -0.010820 -0.000270 -0.026570 0.015470 0.036790 0.004500 -0.002400 -0.040570 -0.012860 0.027710 0.027990 0.018740 0.025980 0.020500 0.048690 0.055180 0.030380 0.025990 -0.040580 0.017200 0.009780 0.033290 0.031540 0.024120 0.057330 0.061050 -0.030600 -0.078620 0.044770
0.018180 0.119050 0.154260 0.041290 0.280000 -0.089580 -0.134100 0.203540 0.048530 -0.014080 0.148210 -0.043550
raded firms.
0.041500 0.005150 0.164100 0.065550 0.070540 0.034880 -0.050040 0.108700 0.176470 -0.001640 0.057080 0.002160
0.082800 -0.070590 -0.031650 -0.111110 0.992650 -0.107010 -0.070250 0.213330 -0.054950 0.093020 0.602840 0.053100
0.052990 0.013940 0.065730 -0.011350 0.053040 -0.000880 -0.044390 0.042460 0.071250 0.044200 0.076310 -0.036450
0.028970 -0.019970 0.024770 -0.001420 0.061720 -0.010430 -0.047880 -0.021390 0.085170 0.044240 0.048620 0.027020
Returns
Charles Schwa Quick & Reilly aterhouse Investor ServicesVWI 31-Jan-84 29-Feb-84 -0.146 30-Mar-84 -0.008 30-Apr-84 0.151 31-May-84 0.015 29-Jun-84 0.039 31-Jul-84 -0.181 31-Aug-84 0.224 28-Sep-84 -0.056 31-Oct-84 0.051 30-Nov-84 -0.144 31-Dec-84 0.016 31-Jan-85 0.508 28-Feb-85 0.021 29-Mar-85 -0.026 30-Apr-85 -0.108 31-May-85 0.100 28-Jun-85 0.061 31-Jul-85 0.005 30-Aug-85 -0.049 30-Sep-85 -0.120 31-Oct-85 0.106 29-Nov-85 0.149 31-Dec-85 0.275 31-Jan-86 0.119 28-Feb-86 0.080 31-Mar-86 -0.003 30-Apr-86 -0.221 30-May-86 0.101 30-Jun-86 0.064 31-Jul-86 -0.183 29-Aug-86 -0.006 30-Sep-86 -0.170 31-Oct-86 0.346 28-Nov-86 -0.080 31-Dec-86 -0.093 30-Jan-87 0.350 27-Feb-87 0.026 31-Mar-87 -0.024 30-Apr-87 -0.109 29-May-87 0.008 30-Jun-87 -0.105 0.153 31-Jul-87 0.052 0.031 31-Aug-87 0.219 -0.091 30-Sep-87 0.067 -0.066 30-Oct-8 -0.504 -0.219 -0.473 30-Nov-0.159 -0.040 -0.037 31-Dec-0.094 -0.125 0.075 29-Jan-8 0.083 -0.143 0.010 29-Feb-8 0.385 0.056 0.084 31 -Mar-0.181 0.263 -0.093 29-Apr-8 0.034 -0.021 0.031
-0.012910 -0.039170 0.013450 0.002730 -0.052350 0.023590 -0.020350 0.112570 0.000390 0.000130 -0.010620 0.023790 0.085730 0.017000 -0.001930 -0.002180 0.055870 0.017190 -0.000540 -0.004800 -0.039650 0.044570 0.069270 0.043060 0.009860 0.072840 0.053880 -0.008060 0.050810 0.014300 -0.059690 0.066390 -0.079140 0.049440 0.015170 -0.026540 0.128370 0.047630 0.023240 -0.017130 0.005220 0.043830 0.044050 0.037230 -0.020740 -0.225 -0.073 0.070 0.045 0.052 -0.017 0.011
31-May30-Jun-8 29-Jul-88 31-Aug30-Sep-8 31-Oct-8 30-Nov30-Dec29-Jan-8 29-Feb-8 32 -Mar29-Apr-8 31-May30-Jun-8 29-Jul-89 31-Aug30-Sep-8 31-Oct-8 30-Nov30-Dec29-Jan-9 29-Feb-9 33 -Mar29-Apr-9 31-May30-Jun-9 29-Jul-90 31-Aug30-Sep-9 31-Oct-9 30-Nov30-Dec29-Jan-9 29-Feb-9 34 -Mar29-Apr-9 31-May30-Jun-9 29-Jul-91 31-Aug30-Sep-9 31-Oct-9 30-Nov30-Dec29-Jan-9 29-Feb-9 35 -Mar29-Apr-9 31-May30-Jun-9 29-Jul-92 31-Aug30-Sep-9
-0.098 0.055 0.034 -0.100 0.000 0.111 -0.100 0.000 0.519 -0.159 0.029 0.141 0.163 -0.064 0.503 -0.045 -0.111 -0.069 -0.038 0.110 -0.025 0.130 0.115 -0.109 0.041 -0.032 -0.105 -0.073 -0.099 0.113 -0.059 -0.042 0.410 0.141 0.110 -0.103 0.241 0.100 0.113 0.032 0.097 0.215 -0.132 0.391 0.051 0.043 0.041 -0.175 0.013 -0.186 0.050 -0.086 -0.200
-0.084 0.033 -0.032 -0.017 0.044 0.000 -0.016 -0.054 0.379 -0.079 -0.036 -0.019 0.245 -0.132 0.179 0.034 -0.015 -0.060 -0.052 -0.084 -0.119 0.146 -0.028 -0.019 0.178 -0.082 -0.036 -0.152 -0.088 -0.060 0.046 0.012 0.280 0.234 0.171 -0.073 0.018 -0.042 0.154 0.055 -0.067 0.058 -0.015 0.388 -0.009 0.043 0.004 -0.249 0.004 -0.023 -0.042 -0.021 0.025
0.064 -0.200 -0.300 -0.071 0.231 -0.156 0.037 -0.214 0.364 0.000 0.267 -0.105 0.176 0.200 0.000 -0.022 -0.022 -0.044 -0.070 -0.100 -0.028 -0.143 0.133 0.029 -0.029 0.118 -0.026 -0.022 -0.029 -0.059 -0.063 -0.033 0.034 0.200 0.361 0.143 0.179 0.212 0.297 0.052 0.326 -0.018 0.107 0.774 -0.036 0.231 0.167 -0.187 0.055 -0.213 0.029 -0.209 0.045
0.001 0.051 -0.007 -0.028 0.037 0.018 -0.016 0.021 0.066 -0.016 0.022 0.049 0.040 -0.005 0.078 0.022 -0.002 -0.029 0.018 0.018 -0.070 0.015 0.024 -0.028 0.089 -0.004 -0.009 -0.092 -0.054 -0.012 0.066 0.030 0.049 0.076 0.029 0.003 0.041 -0.044 0.047 0.027 -0.011 0.018 -0.037 0.107 -0.002 0.013 -0.024 0.014 0.007 -0.019 0.040 -0.021 0.012
31-Oct-9 30-Nov30-Dec29-Jan-9 29-Feb-9 36 -Mar29-Apr-9 31-May30-Jun-9 29-Jul-93 31-Aug30-Sep-9 31-Oct-9 30-Nov30-Dec29-Jan-9 29-Feb-9 37 -Mar29-Apr-9 31-May30-Jun-9 29-Jul-94 31-Aug30-Sep-9 31-Oct-9 30-Nov30-Dec29-Jan-9 29-Feb-9 38 -Mar29-Apr-9 31-May30-Jun-9 29-Jul-95 31-Aug30-Sep-9 31-Oct-9 30-Nov30-Dec29-Jan-9 29-Feb-9 39 -Mar29-Apr-9 31-May30-Jun-9 29-Jul-96 31-Aug30-Sep-9 31-Oct-9 30-Nov30-Dec29-Jan-9 29-Feb-9
0.128 0.228 0.050 0.160 0.070 0.127 -0.101 0.076 0.213 0.019 0.134 0.049 0.005 -0.079 0.016 -0.087 -0.068 -0.023 0.058 0.066 -0.182 0.084 0.150 -0.037 0.196 -0.099 0.094 0.150 0.109 0.090 0.064 0.022 0.254 0.053 0.011 0.244 -0.210 0.060 -0.170 0.250 0.015 0.015 -0.052 -0.010 0.010 -0.013 0.036 -0.080 0.089 0.210 0.058 0.172 0.001
0.043 0.212 -0.025 0.091 -0.029 0.043 -0.074 0.044 0.160 0.065 0.141 0.036 -0.010 -0.043 0.096 -0.010 -0.190 -0.097 0.029 0.024 -0.056 -0.025 0.187 -0.115 -0.005 -0.034 0.146 0.088 0.143 0.014 0.144 0.157 0.174 0.051 -0.027 0.227 -0.223 0.071 -0.192 0.134 0.132 0.124 0.034 0.113 -0.041 -0.127 0.034 -0.094 -0.009 0.084 0.053 0.226 -0.039
0.087 0.328 -0.012 0.232 -0.035 0.051 -0.098 0.473 0.229 -0.015 0.299 0.176 -0.057 -0.183 -0.175 0.000 -0.035 -0.140 -0.092 -0.047 -0.123 -0.028 0.323 -0.169 0.142 -0.116 -0.140 0.184 0.198 -0.072 0.000 0.085 0.314 0.201 0.045 0.114 -0.225 0.000 0.253 -0.045 0.042 0.355 0.086 0.010 0.014 0.013 -0.001 0.013
0.011 0.040 0.018 0.012 0.005 0.025 -0.026 0.029 0.005 -0.001 0.039 0.001 0.018 -0.017 0.019 0.031 -0.024 -0.046 0.010 0.010 -0.027 0.030 0.043 -0.019 0.015 -0.037 0.013 0.021 0.040 0.027 0.025 0.034 0.031 0.041 0.009 0.036 -0.011 0.043 0.015 0.028 0.016 0.011 0.025 0.027 -0.008 -0.053 0.032 0.053 0.014 0.066 -0.011 0.053 -0.001
40 -Mar29-Apr-9 31-May30-Jun-9 29-Jul-97 31-Aug-
-0.147 0.145 0.111 -0.003 0.160 -0.089
-0.105 0.060 0.042 0.011 0.129 0.307
-0.044 0.042 0.071 0.044 0.076 -0.036
There are many different methods of calculating beta Different indices and different lengths of time This table shows betas for different indices and different lenghts Betas Levered
Charles Schwa Quick & Reilly aterhouse Investor Services full period VW 2.34 2.18 1.40 EW 1.74 1.90 1.35 5yr VW EW
92-96 2.30 1.36
2.20 1.43
3.18 2.17
5yr VW EW
most recent 2.24 1.49
1.79 1.88
3.22 2.84
2yr VW EW
most recent 2.04 1.09
1.13 1.89
0.63 0.94
We must remember that betas obtained from stocks correspond to EQUITY betas and thus We use leverage and the Hamada equation to unlever the betas Leverage d/v d/e
0.080 0.087
0.000 0.000
0.380 0.613
Unlevered Betas
Charles Schwa Quick & Reilly aterhouse Investor Services full period Assuming VW 2.21 2.18 1.00 35% tax ra EW 1.65 1.90 0.96 5yr VW EW
92-96 2.17 1.29
2.20 1.43
2.27 1.55
5yr VW EW
most recent 2.12 1.41
1.79 1.88
2.30 2.03
2yr VW EW
most recent 1.93 1.03
1.13 1.89
0.45 0.67
Using the CAPM model to get the cost of capital for the project Risk free rate Reasonable approach is to use the current yield on long term government bonds If we assume that the project will last for 10 years, we Market risk premium One possible approach to estimate the market risk premium: Historical average annual return of large stocks minus that of long term US go estimate = 12.7-5.5 From exhibit 3 0.072 Using this definition of Market premium the estimated cost for the project would
or
k = 0.0634 + 0.072* 2.2 k = 0.0634 + 0.072* 2.07
0.223 0.212
Cost of capital for the project would oscil depending on the specific value of Rf an Another possible approach to estimate the market risk premium Follow authors' idea that the market premium in the present day is between 4 Use 5% 0.050 Using this definition of Market premium the estimated cost for the project would
or
k = 0.0634 + 0.05*2.2 k = 0.0634 + 0.05* 2.07
0.174 0.167
Cost of capital for the project would oscil depending on the specific value of Rf an
Conclusion The cost of capital for the project is high. The estimated cost of capital represents the risk of real investments in the dis The discount brokerage business has very high systematic risk. All of the reve
If Ameritrade uses debt to finance the project, the cost of capital may fall but t
EWI
0.005760 -0.053810 0.007100 -0.019420 -0.050770 0.013800 -0.047450 0.089620 0.000270 -0.020890 -0.031410 0.005050 0.122760 0.047140 -0.008530 -0.011290 0.022930 0.003470 0.019510 -0.003410 -0.056140 0.018960 0.053270 0.029130 0.043400 0.062360 0.047720 0.015840 0.036630 0.008960 -0.073610 0.022110 -0.060490 0.024620 -0.006280 -0.034530 0.116820 0.074950 0.033090 -0.019610 0.000710 0.022010 0.034700 0.015590 -0.015510 -0.271 -0.052 0.028 0.078 0.062 0.034 0.015
-0.017 0.048 0.001 -0.024 0.019 -0.012 -0.037 0.020 0.063 0.003 0.017 0.031 0.027 -0.008 0.032 0.019 0.004 -0.051 -0.008 -0.012 -0.046 0.016 0.022 -0.027 0.047 0.005 -0.027 -0.110 -0.080 -0.056 0.037 -0.004 0.085 0.134 0.078 0.031 0.030 -0.035 0.035 0.029 0.009 0.024 -0.025 0.036 0.149 0.052 -0.014 -0.033 0.006 -0.040 0.027 -0.024 0.012
0.016 0.068 0.036 0.067 -0.008 0.031 -0.013 0.038 0.012 0.014 0.040 0.026 0.040 -0.024 0.016 0.049 -0.009 -0.046 -0.011 0.000 -0.027 0.015 0.037 0.005 -0.002 -0.041 -0.013 0.028 0.028 0.019 0.026 0.021 0.049 0.055 0.030 0.026 -0.041 0.017 0.010 0.033 0.032 0.024 0.057 0.061 -0.031 -0.079 0.045 0.029 -0.020 0.025 -0.001 0.062 -0.010
-0.048 -0.021 0.085 0.044 0.049 0.027
Beta obtained using 60 months as suggested in the book
Beta obtained using 60 months as suggested in the book
include financial risk from leverage
from Exhibit 4
Avg 1.80 1.50
2.22 1.42
Beta obtained using 60 months as suggested in the book
2.07 1.77
Beta obtained using 60 months as suggested in the book
1.17 1.20
se 10 yr yiel
0.06
From exhibit 3
ernment bonds over the longer period (29-96)
be
ate around 22% the method to get beta
and 6 percent
be
ate around 17% the method to get beta