Consider the daily stock returns of Alcoa (aa), American Express (axp), Walt Disney (dis), Chicago Tribune (trb), and Tyco International (tyc) from January 1990 to December 1999 for 2528 observations. You may obtain the data directly from CRSP or from files on the Web. The original data are the holding period returns from CRSP. Those on files have been transformed into log returns and are in percentages. Stock tick symbols are used to create file names (e.g., “daa9099.dat” contains the daily log returns of Alcoa stock from 1990 to 1999).

• Compute the sample mean, variance, skewness, excess kurtosis, minimum, and maximum of the daily log returns.
• Transform the log returns into simple returns. Compute the sample mean, variance, skewness, excess kurtosis, and minimum and maximum of the daily simple returns.
• Are the sample means of log returns statistically different from zero? Use the 5% significance level to draw your conclusion and discuss their practical implications.