2000 Year-end Forecasts DJ Midyear S&P 500 (SP) Dow Jones. Nasdaq Ln( S&P 4cast future)

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Earl Fisher
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1 Optional - Additional Judgemental Volatility Information: Forecast Variability vs. Market-based Expectation S&P /31/ /31/2000 Spot Futures Risk Premium 5% 5% 1 Year Rate 4.524% 5.957% E(S)=Expected S&P % Expected vs. Spot 8.657% 9.567% E(S) = Futures*(1+Rate+Risk Premium)/(1+Rate) (as one year time horizon) 2000 Year-end Forecasts DJ Midyear Dow Jones Nasdaq S&P 500 (SP) Ln( S&P 4cast future) Calculate Average of 59 observations % Calculate Standard Deviation % JOHN J. REGAN Josephthal & Co % JOHN J. REGAN Josephthal & Co % BERNIE SCHAEFFER Schaeffer's Investment Research % STUART T. FREEMAN A.G. Edwards & Sons % PHIL ORLANDO Value Line Asset Management % PHILIP J. ORLANDO Value Line Asset Management % LASZLO BIRINYI JR. Deutsche Bank Securities % THOMAS M. GALVIN Donaldson, Lufkin & Jenrette % TOM GALVIN Donaldson Lufkin & Jenrette % ALLAN S. RONESS JW Genesis Securities % GREG A. SMITH Prudential Securities % GREG A. SMITH Prudential Securities % ROBERT S. ROBBINS Robinson-Humphrey % CLARE W. ZEMPEL Robert W. Baird & Co % JAY FERRARA Ziegler Asset Management % BARRY HYMAN Ehrenkrantz King Nussbaum % JAMES MEYER Janney Montgomery Scott % JOHN K. LYNCH Interstate Johnson Lane % JOSEPH BATTIPAGLIA Gruntal & Co % CHARLES J. PRADILLA SG Cowan Securities % EDWARD KERSCHNER PaineWebber % ELAINE GARZARELLI Garzarelli Capital % EUGENIA M. SIMPSON Kirkpatrick Pettis % EUGENIA M. SIMPSON Kirkpatrick Pettis % J. THOMAS MADDEN Federated Investors % JERRY DOMBCIK McDonald Investments % PETER J. CANELO Morgan Stanley Dean Witter % ROBERT GOODMAN Putnam Investments % TOM MCMANUS The Strategy Connection % JACK SHAUGHNESSY Advest % JOSEPH H. BARTHEL Fahnestock % JOSEPH H. BARTHEL Fahnestock % DAVID KATZ Matrix Asset Advisors % JAMES M. WEISS State Street Research % JEFFREY M. APPLEGATE Lehman Brothers % RICHARD I. SICHEL The Philadelphia Trust Co % RICK JANDRAIN Banc One Investment Adv % ROBERT MORRIS Lord, Abbett & Co % RICHARD CRIPPS Legg Mason Wood Walker % MARSHALL ACUFF Salomon Smith Barney % MARSHALL ACUFF Salomon Smith Barney % GEORGE W. EGAN Spencer Trask % HUGH JOHNSON First Albany % ABBY JOSEPH COHEN Goldman Sachs & Co % DAVID A. HENWOOD Raymond James & Assoc % CHARLES CRANE Key Asset Management % CHARLES G. CRANE Key Asset Management % DEBRA McNEILL Fremont Funds % EDWARD NICOSKI Piper Jaffray % RAO CHALASANI EVEREN Securities % SUBODH KUMAR CIBC World Markets % CHRISTINE A. CALLIES Credit Suisse First Boston % ROBERT H. STOVALL Stovall/Twenty-First Adv % G. ELLIFFE, K. MILLS & K. PERRY Jurika & Voyles % ROGER DEBARD Hotchkis & Wiley % DOUGLAS CLIGGOTT J.P. Morgan % DOUGLAS CLIGGOTT J.P. Morgan Securities % STEVEN M. FRENKEL Ladenburg Thalmann % GEORGE JACOBSEN Trevor Stewart Burton & Jacobsen % 1999 Year-end Forecasts DJ Midyear Dow Nasdaq S&P Ln( S&P Jones cast future) Calculate Average of 48 observations Id til t l t (SP) % Calculate Standard Deviation % ALLAN S. RONESS JW Genesis Securities % RICK JANDRAIN Banc One Investment Adv % ELAINE GARZARELLI Garzarelli Capital % LASZLO BIRINYI JR. Deutsche Bank Securities % PHIL ORLANDO Value Line Asset Management % TOM MCMANUS The Strategy Connection % JOHN K. LYNCH Interstate Johnson Lane % PETER J. CANELO Morgan Stanley Dean Witter % ROBERT S. ROBBINS Robinson-Humphrey % CLARE W. ZEMPEL Robert W. Baird & Co % ROBERT H. STOVALL Stovall/Twenty-First Adv % TOM GALVIN Donaldson Lufkin & Jenrette % JOSEPH BATTIPAGLIA Gruntal & Co % HUGH JOHNSON First Albany % ALFRED GOLDMAN A.G. Edwards & Sons % EDWARD G. RILEY JR BankBoston % BARRY HYMAN Ehrenkrantz King Nussbaum % JAMES V. PIZZO CIBC Oppenheimer % ABBY JOSEPH COHEN Goldman Sachs & Co % JACK SHAUGHNESSY Advest % ELIZABETH J. MACKAY Bear Stearns & Co % JOHN J. REGAN Josephthal & Co % JEFFREY M. APPLEGATE Lehman Brothers % RICHARD CRIPPS Legg Mason Wood Walker % EDWARD KERSCHNER PaineWebber % J. THOMAS MADDEN Federated Investors % CHARLES J. PRADILLA SG Cowan Securities % JERRY DOMBCIK McDonald Investments % JOSEPH H. BARTHEL Fahnestock % GREG A. SMITH Prudential Securities % CHARLES G. CRANE Key Asset Management % DOUGLAS CLIGGOTT J.P. Morgan % EUGENIA M. SIMPSON Kirkpatrick Pettis % JOHN R. WILLIAMS Bankers Trust % RICHARD G. UNRUH JR. Delaware Investmts % PETER ANDERSON Amer. Express Fin. Adv % DAVID A. HENWOOD Raymond James & Assoc % MARSHALL ACUFF Salomon Smith Barney % ANTHONY F. DWYER Ladenburg Thalmann % ROGER DEBARD Hotchkis & Wiley % MARC DION Ziegler Asset Management % G. ELLIFFE, K. MILLS & K. PERRY Jurika & Voyles % EDWARD NICOSKI Piper Jaffray % ROB BROWN Ferris Baker Watts % DON HAYS Wheat First Union % BILL MEEHAN Cantor Fitzgerald % ROBERT F. DICKEY Dain Rauscher Wessels % GEORGE JACOBSEN Trevor Stewart Burton & Jacobsen % Volatility, Page 11

2 Historical Volatility Calculation 10 Day HV covers 13 calendar days (5/14/2008-5/1/2008) 30 Day HV covers 41 calendar days (5/14/2008-4/3/2008) Source: Volatility_Mod_SP1_n_SPM8_ xlsx Volatility, Page 12

3 Volatility, Page 13

4 Volatility, Page 14

5 Exponentially-Weighted Volatility Calculation Source: Volatility_Mod_SP1_n_SPM8_ xlsx Volatility, Page 15

6 Alternative Likely Range (LR) Estimates Expected Spot = Futures *(1+(RP+R)*T) / (1+R*T) market S T Source: Volatility_Mod_SP1_n_SPM8_ xlsx Volatility, Page 16

7 Optional Estimating and Forecasting Volatility Volatility, Page 17

8 Optional GARCH Volatility Volatility, Page 18

Appendix B Underwriter Name Adjustments Related to Mergers & Acquisitions

Appendix B Underwriter Name Adjustments Related to Mergers & Acquisitions The table lists merger and acquisition events involving sample underwriters and associated name adjustments applied in the data.