For Exercises 13.9 and 13.10, see pages 660–661; for 13.11, see page 663.

Question 13.11

13.11 Computing returns.

On August 7, 2014, the S&P 500 closed at 1909.57. On August 8, 2014, the S&P closed at 1931.51.

  1. Compute the percentage change in the S&P from August 7 to August 8—that is, the daily return as a percentage.
  2. Approximate the daily return using logs. Compare your answer with part (a).

13.11

(a) 0.011489. (b) 0.011424. The values are quite close.