18.375 0.52 0.06 0.02 10.52 0.37 1.38 0.68 60 GBDC General Bldrs Corp 0.930 0.58 1.03 0.00 17.38 0.62 2.28 0.72 60 GNCMA General Communication Inc Class A 3.750 1.54 0.82 0.12 14.42 0.51 1.89 1.36 60 GCCC General Computer Corp 8.375 0.93 1.67 0.06 12.43 0.44 1.63 0.95 60 GDC General Datacomm Inds Inc 16.125 2.25 2.31 0.16 18.32 0.65 2.40 1.83 60 GD General Dynamics Corp 40.875 0.54 0.63 0.03 9.02 0.32 1.18 0.69 60 GE General Elec Co 46.625 1.21 0.39 0.61 3.53 0.13 0.46 1.14 60 JOB General Employment Enterpris 4.063 0.91 1.20 0.01 20.50 0.73 2.69 0.94 60 GMCC General Magnaplate Corp 4.500 0.97 0.00 0.04 14.18 0.50 1.86 0.98 60 GMW General Microwave Corp 8.000 0.95 0.16 0.12 8.83 0.31 1.16 0.97 60 GIS General MLS Inc 54.625 1.01 0.42 0.37 4.82 0.17 0.63 1.01 60 GM General MTRS Corp 50.250 0.80 0.14 0.11 7.78 0.28 1.02 0.87 60 GPU General Pub Utils Cp 26.250 0.52 0.20 0.20 3.69 0.13 0.48 0.68 60 GRN General RE Corp 108.875 1.07 0.42 0.31 5.75 0.20 0.75 1.05 60 GSX General SIGNAL Corp 33.000 0.86 0.01 0.22 5.85 0.21 0.77 0.91 60     Source: Modified from Security Risk Evaluation, 1994, Research Computer Services Department of Merrill Lynch, Pierce, Fenner and Smith, Inc., pp. 9 17. Based on S&P 500 index, using straight regression.   small and is apt to be swamped by the volatility of actual stock returns. But it is worth not- ing that for 1, the regression intercept in equation 10.10 will not equal the index model alpha as it does when excess returns are used as in equation 10.11. Another way the Merrill Lynch procedure departs from the index model is in its use of percentage changes in price instead of total rates of return. This means that the index model variant of Merrill Lynch ignores the dividend component of stock returns. Table 10.2 illustrates a page from the beta book which includes estimates for GM. The third column, Close Price, shows the stock price at the end of the sample period. The next two columns show the beta and alpha coefficients. Remember that Merrill Lynchs alpha is actually an estimate of rf (1 ). The next column, R-SQR, shows the square of the correlation between ri and rM. The R-square statistic, R 2, which is sometimes called the coefficient of