Professional Documents
Culture Documents
6HFWLRQ
; P
3 ; dZKHQP 3 d 3=d 3=d
V Q
7KHSUREDELOLW\RIUHMHFWLQJWKHQXOOK\SRWKHVLVZKHQLWLVWUXHLV
; P
EE 3DFFHSW+ ZKHQP 3 ; !
ZKHQ P 3
V Q
!
;P
DD 3 ; dZKHQP 3 d 3=d 3=d
V Q
7KHSUREDELOLW\RIUHMHFWLQJWKHQXOOZKHQWKHQXOOLVWUXHLVZLWKDVDPSOHVL]HRI
; P
EE 3 ; !ZKHQP 3 ! 3=! 3=d
V Q
7KHSUREDELOLW\RIDFFHSWLQJWKHQXOOK\SRWKHVLVZKHQLWLVIDOVHLV
F
3 = d
:KDW=YDOXHZLOOJLYHDSUREDELOLW\RI"8VLQJ7DEOHLQWKHDSSHQGL[=YDOXHLV
F
7KXV F
DD 3 ; d3 ; !
; ;
3 d 3 !
3=d3=!
3=d3=d
EE 3d ; dZKHQP
;
3 d d
3d=d
3=d3=d
3=d3=d
FE 3d ; dZKHQP
;
3 d d
3d=d
3=d3=d
3=d3=d
7KHSUREDELOLW\RIDFFHSWLQJWKHQXOOK\SRWKHVLVZKHQLWLVDFWXDOO\IDOVHLVVPDOOHULQSDUWFVLQFHWKHWUXH
PHDQP LVIXUWKHUIURPWKHDFFHSWDQFHUHJLRQ$ODUJHUGLIIHUHQFHH[LVWV
DD 3 ; !ZKHQP
;
3 !
3=!
3=d
EE 3 ; dZKHQP
;
3 d
3=d
3=d
D5HMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKDWWKHPHDQIRDPKHLJKWLVJUHDWHUWKDQPP
E3 ; !ZKHQP
;
3 !
3=! 3=d
7KHSUREDELOLW\WKDWDYDOXHRIDWOHDVWPPZRXOGEHREVHUYHGLIWKHWUXHPHDQKHLJKWLVPPLV
RQO\7KXVWKHVDPSOHYDOXHRI [ PPZRXOGEHDQXQXVXDOUHVXOW
F
D 3 ; ! F ZKHQ P 3 = !
3=t
F
7KXV DQGF
E,IWKHWUXHPHDQIRDPKHLJKWLVPPWKHQ
E 3 ; d ZKHQP
3 = d
3=d
3=d
F)RUWKHVDPHOHYHORIDZLWKWKHLQFUHDVHGVDPSOHVL]HELVUHGXFHG
DD 3 ; dZKHQP 3 ; !ZKHQP
; ;
3 d 3 !
3=d3=!
3=d3=d
E3RZHU E
E 3d ; dZKHQP
;
3 d d
3d=d
3=d3=d
3=d3=d
E
D 3 ; d F / 3 ; ! F +
3 ; d F / 3 ; ! F +
F F/
3 / WKXV F /
F F+
3 + WKXV F +
3 d ; d
2SHUDWLQJFKDUDFWHULVWLFFXUYH
[
[P P
E 3 = d 3 = d
P
P 3 = d E E
3=d
3=d
3=d
3=d
3=d
3=d
3=d
3=d
2SHUDWLQJ&KDUDFWHULVWLF&XUYH
E
P
3RZHU)XQFWLRQ&XUYH
E
P
7KHSUREOHPVWDWHPHQWLPSOLHV+ S + S!DQGGHILQHVDQDFFHSWDQFHUHJLRQDV S d
DQGUHMHFWLRQUHJLRQDV S !
DD 3 3 t ZKHQ S 3 = t
3 = t 3 =
EE 3 3 dZKHQS 3=d
Q
$FFHSWUHJLRQ S !
5HMHFWUHJLRQ S d
8VHWKHQRUPDODSSUR[LPDWLRQIRUSDUWVDEDQGF
D:KHQS D 3 S 3 = d
3 = d
E:KHQS E 3 S ! 3 = !
3 = !
3 =
F3RZHU E
8VHWKHQRUPDODSSUR[LPDWLRQIRUSDUWVDDQGE
E:KHQS E 3 S d 3 =d
3 = d
3 = d 3 =
6HFWLRQ
D7KHSDUDPHWHURILQWHUHVWLVWKHWUXHPHDQEUHDNLQJVWUHQJWK P
+ P
+ P!
[ V
]
6LQFHGRQRWUHMHFW+ DQGFRQFOXGHWKDWWKHILEHUZRXOGQRWEHMXGJHGDFFHSWDEOHDW
D
E3YDOXH 3=t )
F)RUD DFFHSW+ LI ;
3 ; d
ZKHQ P
3 = d
3 = d ) #
7KHSUREDELOLW\LVRIDFFHSWLQJWKHQXOOK\SRWKHVLVLIWKHWUXHPHDQEUHDNLQJVWUHQJWKLVSVLZLWKD
OHYHORIVLJQLILFDQFHRID
G]D ]
V V
[ ] dP d []
Q
Q
d P d
dPd
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHPHDQEUHDNLQJVWUHQJWKLVEHWZHHQSVLDQGSVL
D7KHSDUDPHWHURILQWHUHVWLVWKHWUXHPHDQ\LHOGP
+ P
+ Pz
DWD
E3YDOXH > )@ > @
]D
FQ
]E V
]
]
G
Q#
G E ) ] ) ]
))
))
))
H)RUD ]D ]
V V
[ ] dP d []
Q
Q
d P d
dPd
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHPHDQ\LHOGRIWKHFKHPLFDOSURFHVVLVEHWZHHQDQG
D7KHSDUDPHWHURILQWHUHVWLVWKHWUXHPHDQKROHGLDPHWHUP
+ P
+ Pz
[
V
]
6LQFHGRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHWUXHPHDQKROH
GLDPHWHULVQRWVLJQLILFDQWO\GLIIHUHQWIURPLQDWD
E3YDOXH > ) @#>@
F6HWE
]D ]E V
] V #
Q ]
G
Q#
G E ) ] ) ]
#))
))
E#
H)RUD ]D ]
V V
[ ] dP d []
Q
Q
d P d
dPd
7KHFRQILGHQFHLQWHUYDOFRQVWUXFWHGFRQWDLQVWKHYDOXHWKXVWKHWUXHPHDQKROHGLDPHWHUFRXOG
SRVVLEO\EHLQXVLQJDOHYHORIFRQILGHQFH6LQFHDWZRVLGHGFRQILGHQFHLQWHUYDOLV
HTXLYDOHQWWRDWZRVLGHGK\SRWKHVLVWHVWDWD WKHFRQFOXVLRQVQHFHVVDULO\PXVWEHFRQVLVWHQW
D7KHSDUDPHWHURILQWHUHVWLVWKHWUXHPHDQSLVWRQULQJGLDPHWHUP
+ P
+ Pz
6LQFH!UHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHWUXHPHDQSLVWRQULQJGLDPHWHULVQRW
PP
E3YDOXH > ) @ >@
$JDLQVLQFHWKH3YDOXHLVOHVVWKDQWKHOHYHORIVLJQLILFDQFHDZHZRXOGUHMHFWWKHQXOOK\SRWKHVLV
F)RUD ]D ]
V V
[ ]
dP d []
Q
Q
d P d
dPd
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHPHDQSLVWRQULQJGLDPHWHULVEHWZHHQDQGPP
V
[]
dP
Q
dP
dP
:LWKFRQILGHQFHWKHWUXHPHDQSLVWRQULQJGLDPHWHULVDWOHDVWPP
D7KHSDUDPHWHURILQWHUHVWLVWKHWUXHPHDQEXOEOLIHP
+ P
+ P!
]D ]E V
GQ
]
]
V
G
Q#
H)RUD ]D ]
V V
[ ]
dP d []
Q
Q
d P d
dPd
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHPHDQEXOEOLIHLVEHWZHHQKUVDQGKUV
V
I [ ]
dP
Q
dP
dP
:LWKFRQILGHQFHWKHWUXHPHDQEXOEOLIHLVDWOHDVWKUV
D7KHSDUDPHWHURILQWHUHVWLVWKHWUXHPHDQFRPSUHVVLYHVWUHQJWKP
+ P
+ Pz
6LQFHUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHWUXHPHDQFRPSUHVVLYHVWUHQJWKLV
VLJQLILFDQWO\GLIIHUHQWIURPDWD
F]D ]
V V
[ ] dP d []
Q
Q
d P d
dPd
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHPHDQFRPSUHVVLYHVWUHQJWKLVEHWZHHQSVLDQG
SVL
G]D ]
V V
[ ] dP d []
Q
Q
d P d
dPd
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHPHDQFRPSUHVVLYHVWUHQJWKLVEHWZHHQSVLDQG
SVL
7KHFRQILGHQFHLQWHUYDOLVZLGHUWKDQWKHFRQILGHQFHLQWHUYDO7KHFRQILGHQFHLQWHUYDOZLWKWKH
ODUJHUOHYHORIFRQILGHQFHZLOODOZD\VUHVXOWLQDZLGHUFRQILGHQFHLQWHUYDOZKHQ [ V DQGQDUHKHOG
FRQVWDQW
]D ]
(
]D ] ( VLQFHWKHGHVLUHGZLGWKLVVHW(
]D ]
(
6HFWLRQ
D7KHSDUDPHWHURILQWHUHVWLVWKHWUXHPHDQOLIHP
+ P
+ P!
V Q
5HMHFW+ LIW !WD ZKHUHW
Q
G PP
EG
V V
V V
[ W dPd [W
Q
Q
d P d
dPd
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHPHDQWLUHOLIHLVEHWZHHQNPDQGNP
,QRUGHUWRXVHWVWDWLVWLFVLQK\SRWKHVLVWHVWLQJZHQHHGWRDVVXPHWKDWWKHXQGHUO\LQJGLVWULEXWLRQLVQRUPDO
7KHSDUDPHWHURILQWHUHVWLVWKHWUXH,]RGLPSDFWVWUHQJWKP
+ P
+ P!
D
[P
W
V Q
5HMHFW+ LIW !WD ZKHUHW
Q
6LQFH!UHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHUHLVVXIILFLHQWHYLGHQFHWRLQGLFDWHWKDWWKH
WUXH,]RGLPSDFWVWUHQJWKLVJUHDWHUWKDQIWOELQDWD
,QRUGHUWRXVHWVWDWLVWLFVLQK\SRWKHVLVWHVWLQJZHQHHGWRDVVXPHWKDWWKHXQGHUO\LQJGLVWULEXWLRQLVQRUPDO
D7KHSDUDPHWHURILQWHUHVWLVWKHWUXHPHDQDPRXQWRIFXUUHQWP
+ P
+ Pz
V Q
5HMHFW+ LIW WD
ZKHUHW
RUW!WD
Q
ZKHUHW
Q
6LQFH!UHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHUHLVVXIILFLHQWHYLGHQFHWRLQGLFDWHWKDW
WKHDPRXQWRIFXUUHQWQHFHVVDU\LVQRWPLFURDPSVDWD
1RUPDO 3UREDELOLW\ 3ORW
FXPXODWLYH SHUFHQW
)DWW\ $FLG
7KHQRUPDOLW\DVVXPSWLRQDSSHDUVWREHVDWLVILHG7KLVLVHYLGHQWE\WKHIDFWWKDWWKHGDWDIDOODORQJD
VWUDLJKWOLQH
D7KHSDUDPHWHURILQWHUHVWLVWKHWUXHPHDQOHYHORISRO\XQVDWXUDWHGIDWW\DFLGP
+ P
+ Pz
V Q
5HMHFW+ LIW WD
ZKHUHW
Q
RUW!WD ZKHUHW
Q
F8VLQJWKH2&FXUYHVRQ&KDUW9,EZLWKG Q ZKHQE#7KHUHIRUHWKHFXUUHQW
VDPSOHVL]HRILVLQDGHTXDWH
V V
[ W
dPd [W
Q
Q
d P d
dPd
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHPHDQOHYHORISRO\XQVDWXUDWHGIDWW\DFLGLVEHWZHHQ
DQG
D$FFRUGLQJWRWKHQRUPDOSUREDELOLW\SORWWKHGDWDDSSHDUWRIROORZDQRUPDOGLVWULEXWLRQ7KLVLVHYLGHQW
E\WKHIDFWWKDWWKHGDWDIDOODORQJDVWUDLJKWOLQH
1RUPDO 3UREDELOLW\ 3ORW
&XPXODWLYH SHUFHQW
&RPSUHVVLYH 6WUHQJWK
E7KHSDUDPHWHURILQWHUHVWLVWKHWUXHPHDQFRPSUHVVLYHVWUHQJWKP
+ P
+ Pz
V Q
5HMHFW+ LIW WD
Q
ZKHUHW RUW!WD ZKHUHW
Q
V V
[ W
dP d [W
Q
Q
d P d
dPd
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHPHDQFRPSUHVVLYHVWUHQJWKLVEHWZHHQSVLDQG
SVL
D$FFRUGLQJWRWKHQRUPDOSUREDELOLW\SORWWKHUHGRHVQRWVHHPWREHDVHYHUHGHYLDWLRQIURPQRUPDOLW\IRU
WKLVGDWD7KLVLVHYLGHQWE\WKHIDFWWKDWWKHGDWDDSSHDUVWRIDOODORQJDVWUDLJKWOLQH
1RUPDO 3UREDELOLW\ 3ORW
&XPXODWLYH SHUFHQW
E7KHSDUDPHWHURILQWHUHVWLVWKHWUXHPHDQURGGLDPHWHUP
+ P
+ P!
V Q
5HMHFW+ LIW !WD ZKHUHW
Q
V V
[ W
dP d [W
Q
Q
d P d
dPd
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHPHDQURGGLDPHWHULVEHWZHHQPPDQGPP
D7KHSDUDPHWHURILQWHUHVWLVWKHWUXHPHDQZDOOWKLFNQHVVP
+ P
+ P!
V Q
5HMHFW+ LIW !WD ZKHUHW
Q
3YDOXH 3W!3YDOXH
EWD Q
W
V V
[ W dP d [W
Q
Q
d P d
dPd
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHPHDQZDOOWKLFNQHVVLVEHWZHHQPPDQGPP
D
FXPXODWLYH SHUFHQW
3HUFHQW (QULFKPHQW
7KHQRUPDOLW\DVVXPSWLRQDSSHDUVWREHUHDVRQDEOH7KLVLVHYLGHQWE\WKHIDFWWKDWWKHGDWDDSSHDUWR
IDOODORQJDVWUDLJKWOLQH
E7KHSDUDPHWHURILQWHUHVWLVWKHWUXHPHDQSHUFHQWHQULFKPHQWP
+ P
+ Pz
V Q
5HMHFW+ LIW WD
ZKHUHW
Q
RUW!WD ZKHUHW
Q
6LQFHDFFHSWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHUHLVQRVWURQJHYLGHQFH
WRLQGLFDWHWKDWWKHWUXHPHDQSHUFHQWHQULFKPHQWLVVLJQLILFDQWO\GLIIHUHQWIURPDWD
F)RUD DQGQ WD W
Q
V V
[ W
dP d [W
Q
Q
d P d
dPd
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHPHDQSHUFHQWHQULFKPHQWLVEHWZHHQDQG
6LQFHWKHLQWHUYDOFRQWDLQVWKHYDOXHZLWKDODUJHOHYHORIFRQILGHQFHZHFRQFOXGHWKDWWKHPHDQ
SHUFHQWHQULFKPHQWLVQRWVLJQLILFDQWO\GLIIHUHQW
D7KHSDUDPHWHURILQWHUHVWLVWKHWUXHPHDQTXDQWLW\RIV\UXSP
+ P
+ Pz
V Q
5HMHFW+ LIW WD
ZKHUHW
Q
RUW!WD
ZKHUHW
Q
E+ P
+ P!
V Q
5HMHFW+ LIW!WD ZKHUHW
Q
W
6LQFH!UHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHUHLVVXIILFLHQWHYLGHQFHWRVXSSRUWWKH
FODLPWKDWWKHPHDQTXDQWLW\RIV\UXSGLVSHQVHGH[FHHGVIOR]DW D
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHPHDQTXDQWLW\LVEHWZHHQIOR]DQGIOR]
7KHSDUDPHWHURILQWHUHVWLVWKHWUXHPHDQQDWXUDOIUHTXHQF\P
)RUD DQGQ WD W
Q
V V
[W
dPd [W
Q
Q
d P d
dPd
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHPHDQIUHTXHQF\LVEHWZHHQ+]DQG+]
7KHFODLPWKDWWKHPHDQQDWXUDOIUHTXHQF\LV+]FDQQRWEHVXSSRUWHGZLWKDOHYHORIFRQILGHQFHRI
VLQFHWKLVLQWHUYDOGLGQRWFRQWDLQWKHYDOXH
6HFWLRQ
WKDWWKHXQGHUO\LQJGLVWULEXWLRQLVQRUPDO
7KHSDUDPHWHURILQWHUHVWLVWKHWUXHVWDQGDUGGHYLDWLRQRIWKHGLDPHWHUV+RZHYHUWKHDQVZHUFDQ
EHIRXQGE\SHUIRUPLQJDK\SRWKHVLVWHVWRQV
F
V
Q V
F
V
VWDQGDUGGHYLDWLRQRIWKHGLDPHWHUH[FHHGVDWD
E3YDOXH 3F !IRUGHJUHHVRIIUHHGRP3YDOXH
FORZHUFRQILGHQFHLQWHUYDORQV
V
V
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHYDULDQFHRIWKHKROHGLDPHWHULVPRUHWKDQPP
WKDWWKHXQGHUO\LQJGLVWULEXWLRQLVQRUPDO
7KHSDUDPHWHURILQWHUHVWLVWKHWUXHYDULDQFHRIWKHVXJDUFRQWHQWV
F
V
Q V
F
V
3YDOXH
FFRQILGHQFHLQWHUYDOIRUV
)LUVWILQGDFRQILGHQFHLQWHUYDOIRUV
dV d
dV d
7DNHWKHVTXDUHURRWRIWKHHQGSRLQWVRIWKLVLQWHUYDOWRILQGWKHFRQILGHQFHLQWHUYDOIRUV
dVd
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHVWDQGDUGGHYLDWLRQRIWKHVXJDUFRQWHQWLVEHWZHHQPJDQG
PJ
D,QRUGHUWRXVHF VWDWLVWLFLQK\SRWKHVLVWHVWLQJDQGFRQILGHQFHLQWHUYDOFRQVWUXFWLRQZHQHHGWRDVVXPH
WKDWWKHXQGHUO\LQJGLVWULEXWLRQLVQRUPDO
7KHSDUDPHWHURILQWHUHVWLVWKHVWDQGDUGGHYLDWLRQRIWLUHOLIHV+RZHYHUWKHDQVZHUFDQEHIRXQG
E\SHUIRUPLQJDK\SRWKHVLVWHVWRQV
F
V
Q V
F
V
GHYLDWLRQRIWLUHOLIHH[FHHGVNPDWD
E3YDOXH 3F !IRUGHJUHHVRIIUHHGRP3YDOXH
FORZHUFRQILGHQFHLQWHUYDOIRUV
V
V
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHYDULDQFHRIWLUHOLIHLVPRUHWKDQNP
WKDWWKHXQGHUO\LQJGLVWULEXWLRQLVQRUPDO
7KHSDUDPHWHURILQWHUHVWLVWKHWUXHVWDQGDUGGHYLDWLRQRI,]RGVWUHQJWKV+RZHYHUWKHDQVZHUFDQ
EHIRXQGE\SHUIRUPLQJDK\SRWKHVLVWHVWRQV
F
V
F
V
VLJQLILFDQWO\GLIIHUHQWIURPIWOELQDWD
E3YDOXH 3F !IRUGHJUHHVRIIUHHGRP
3F !
3YDOXH
FFRQILGHQFHLQWHUYDOIRUV
dV d
dV d
IWOELQ
D,QRUGHUWRXVHF VWDWLVWLFLQK\SRWKHVLVWHVWLQJDQGFRQILGHQFHLQWHUYDOFRQVWUXFWLRQZHQHHGWRDVVXPH
WKDWWKHXQGHUO\LQJGLVWULEXWLRQLVQRUPDO
7KHSDUDPHWHURILQWHUHVWLVWKHWUXHVWDQGDUGGHYLDWLRQRIWLWDQLXPSHUFHQWDJHV+RZHYHUWKH
DQVZHUFDQEHIRXQGE\SHUIRUPLQJDK\SRWKHVLVWHVWRQV
F
V
F
V
VWDQGDUGGHYLDWLRQRIWLWDQLXPSHUFHQWDJHLVVLJQLILFDQWO\GLIIHUHQWIURPDWD
EFRQILGHQFHLQWHUYDOIRUV
)LUVWILQGWKHFRQILGHQFHLQWHUYDOIRUV
dV d
dV d
7DNLQJWKHVTXDUHURRWRIWKHHQGSRLQWVRIWKLVLQWHUYDOZHREWDLQ
V
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHVWDQGDUGGHYLDWLRQRIWLWDQLXPSHUFHQWDJHLVEHWZHHQDQG
8VLQJWKHDSSURSULDWHFKDUWLQWKH$SSHQGL[ZLWK O DQGE ZHILQGQ
6HFWLRQ
S Q )RUD ]D ]
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHSURSRUWLRQRIGHDWKVUHVXOWLQJIURPFDQFHULVEHWZHHQDQG
(
Q#
Q [ S D ]D ]
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHSURSRUWLRQRIKHOPHWVGDPDJHGOLHVZLWKLQDQG
]D
(
]D
F Q S S
Q#
(
Q S S
Q#
(
S Q D ]D ]
7KHSDUDPHWHURILQWHUHVWLVWKHWUXHIUDFWLRQGHIHFWLYHS
Q S S
Q#
(
D7KHSDUDPHWHURILQWHUHVWLVWKHWUXHIUDFWLRQRIGHIHFWLYHLQWHJUDWHGFLUFXLWVS
+ S
+ Sz
QS S S S
Q
5HMHFW+ LI] ]D ZKHUH]D ]
RU] !]D ZKHUH]D ]
[ Q S
[ QS
]
QS S
6LQFHDFFHSWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHWUXHIUDFWLRQRIGHIHFWLYH
LQWHJUDWHGFLUFXLWVLVQRWVLJQLILFDQWO\GLIIHUHQWIURPDWD
E3YDOXH ) )
$JDLQVLQFHWKH3YDOXHLVJUHDWHUWKDQWKHOHYHORIVLJQLILFDQFHZHZRXOGQRWUHMHFWWKHQXOOK\SRWKHVLV
D8VLQJWKHLQIRUPDWLRQIURP([HUFLVHWHVW
+ S
+ S
QS S S S
Q
5HMHFW+ LI] ]DZKHUH]D ]
[ Q S
[ QS
]
QS S
6LQFH!DFFHSWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHWUXHIUDFWLRQRIGHIHFWLYHLQWHJUDWHG
FLUFXLWVLVQRWVLJQLILFDQWO\OHVVWKDQDWD
E3YDOXH )
D7KHSDUDPHWHURILQWHUHVWLVWKHWUXHSURSRUWLRQRIHQJLQHHUVZKRFRQWLQXHWKHLUHGXFDWLRQS
+ S
+ Sz
QS S S S
Q
5HMHFW+ LI] ]D ZKHUH]D ]
RU] !]D ZKHUH]D ]
[ Q S
S S
]
S S
Q
6LQFHUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHGDWDIURP(QJLQHHULQJ+RUL]RQV
\LHOGUHVXOWVVLJQLILFDQWO\GLIIHUHQWIURPWKHFODLPUHSRUWHGE\)RUWXQHDWD
E3YDOXH )
D7KHSDUDPHWHURILQWHUHVWLVWKHWUXHSHUFHQWDJHRISROLVKHGOHQVHVWKDWFRQWDLQVXUIDFHGHIHFWVS
+ S
+ S
QS S S S
Q
5HMHFW+ LI] ]DZKHUH]D ]
[ Q S
S S
]
S S
Q
6LQFH!DFFHSWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHPDFKLQHFDQQRWEHTXDOLILHGDWWKH
OHYHORIVLJQLILFDQFH
E3YDOXH )
D7KHSDUDPHWHURILQWHUHVWLVWKHWUXHSHUFHQWDJHRIIRRWEDOOKHOPHWVWKDWKDYHIODZVS
+ S
+ S!
QS S S S
Q
5HMHFW+ LI] !]DZKHUH]D ]
[ Q S
[ QS
]
QS S
6LQFHDFFHSWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHUHLVLQVXIILFLHQWHYLGHQFHWRVXSSRUW
WKHFODLPWKDWDWOHDVWRIDOOIRRWEDOOKHOPHWVKDYHPDQXIDFWXULQJIODZVWKDWFRXOGSRWHQWLDOO\
FDXVHLQMXU\WRWKHZHDUHUDWD
E3YDOXH ) )
7KHSUREOHPVWDWHPHQWLPSOLHV+ S + S!DQGGHILQHVDQDFFHSWDQFHUHJLRQDV S d
DQGUHMHFWLRQUHJLRQDV S !
DD 3 3 t ZKHQ S 3 = t
3 = t 3 =
EE 3 3 dZKHQS 3=d
7KHSDUDPHWHURILQWHUHVWLVWKHWUXHSHUFHQWDJHRIEDWWHULHVWKDWZLOOIDLOGXULQJWKHZDUUDQW\SHULRGS
+ S
+ S
D
[ QS S S
] RU ]
(LWKHUDSSURDFKZLOO\LHOGWKHVDPHFRQFOXVLRQ
QS S S S
Q
5HMHFW+ LI] ]DZKHUH]D ]
[ Q S
[ QS
]
QS S
6LQFH!GRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHUHLVLQVXIILFLHQWHYLGHQFHWR
VXSSRUWWKHFODLPWKDWOHVVWKDQSHUFHQWRIWKHFRPSDQ\VEDWWHULHVZLOOIDLOGXULQJWKHZDUUDQW\
SHULRGZLWKSURSHUFKDUJLQJSURFHGXUHVDWD
6HFWLRQ
9DOXH
2EVHUYHG)UHTXHQF\
([SHFWHG)UHTXHQF\
6LQFHYDOXHKDVDQH[SHFWHGIUHTXHQF\OHVVWKDQFRPELQHWKLVFDWHJRU\ZLWKWKHSUHYLRXVFDWHJRU\
9DOXH
2EVHUYHG)UHTXHQF\
([SHFWHG)UHTXHQF\
7KHGHJUHHVRIIUHHGRPDUHNS
D7KHYDULDEOHRILQWHUHVWLVWKHIRUPRIWKHGLVWULEXWLRQIRU;
+ 7KHIRUPRIWKHGLVWULEXWLRQLV3RLVVRQ
+ 7KHIRUPRIWKHGLVWULEXWLRQLVQRW3RLVVRQ
F
L
(
L
L L
F
;LV3RLVVRQ
E3YDOXH IRXQGXVLQJ0LQLWDE
9DOXH
2EVHUYHG)UHTXHQF\
([SHFWHG)UHTXHQF\
6LQFHWKHILUVWFDWHJRU\KDVDQH[SHFWHGIUHTXHQF\OHVVWKDQFRPELQHLWZLWKWKHQH[WFDWHJRU\
9DOXH
2EVHUYHG)UHTXHQF\
([SHFWHG)UHTXHQF\
7KHGHJUHHVRIIUHHGRPDUHNS
D7KHYDULDEOHRILQWHUHVWLVWKHIRUPRIWKHGLVWULEXWLRQIRUWKHQXPEHURIIODZV
+ 7KHIRUPRIWKHGLVWULEXWLRQLV3RLVVRQ
+ 7KHIRUPRIWKHGLVWULEXWLRQLVQRW3RLVVRQ
F
L
(
L
L L
F
RIWKHQXPEHURIIODZVLV3RLVVRQ
9DOXH
5HO)UHT
2EVHUYHG
'D\V
([SHFWHG
'D\V
6LQFHWKHUHDUHVHYHUDOFHOOVZLWKH[SHFWHGIUHTXHQFLHVOHVVWKDQWKHUHYLVHGWDEOHZRXOGEH
7KHGHJUHHVRIIUHHGRPDUHNS
D7KHYDULDEOHRILQWHUHVWLVWKHIRUPRIWKHGLVWULEXWLRQIRUWKHQXPEHURIFDOOVDUULYLQJWRDVZLWFKERDUG
IURPQRRQWRSPGXULQJEXVLQHVVGD\V
+ 7KHIRUPRIWKHGLVWULEXWLRQLV3RLVVRQ
+ 7KHIRUPRIWKHGLVWULEXWLRQLVQRW3RLVVRQ
F
L
(
L
L L
F
IRUWKHQXPEHURIFDOOVLV3RLVVRQ
E3YDOXH IRXQGXVLQJ0LQLWDE
9DOXH
2EVHUYHG
([SHFWHG
7KHH[SHFWHGIUHTXHQF\IRUYDOXHLVOHVVWKDQ&RPELQHWKLVFHOOZLWKYDOXH
9DOXH
2EVHUYHG
([SHFWHG
7KHGHJUHHVRIIUHHGRPDUHNS
D7KHYDULDEOHRILQWHUHVWLVWKHIRUPRIWKHGLVWULEXWLRQIRUWKHUDQGRPYDULDEOH;
+ 7KHIRUPRIWKHGLVWULEXWLRQLVELQRPLDOZLWKQ DQGS
F
L
(
L
L L
F
DWD
E3YDOXH IRXQGXVLQJ0LQLWDE
VDPSOHPHDQ
VDPSOH PHDQ
S
Q
VDPSOH
9DOXH
2EVHUYHG
([SHFWHG
6LQFHYDOXHKDVDQH[SHFWHGIUHTXHQF\OHVVWKDQFRPELQHWKLVFDWHJRU\ZLWKWKDWRIYDOXH
9DOXH
2EVHUYHG
([SHFWHG
7KHGHJUHHVRIIUHHGRPDUHNS
D7KHYDULDEOHRILQWHUHVWLVWKHIRUPRIWKHGLVWULEXWLRQIRUWKHQXPEHURIXQGHUILOOHGFDUWRQV;
+7KHIRUPRIWKHGLVWULEXWLRQLVELQRPLDO
+7KHIRUPRIWKHGLVWULEXWLRQLVQRWELQRPLDO
D
7KHWHVWVWDWLVWLFLV
N
2 (
F
L
(
L
L L
5HMHFW+LI F ! F
R
F
6LQFHGRQRWUHMHFW+:HDUHXQDEOHWRUHMHFWWKHQXOOK\SRWKHVLVWKDWWKHGLVWULEXWLRQ
RIWKHQXPEHURIXQGHUILOOHGFDUWRQVLVELQRPLDODWD
(VWLPDWHGPHDQ
$OOH[SHFWHGIUHTXHQFLHVDUHJUHDWHUWKDQ
7KHGHJUHHVRIIUHHGRPDUHNS
D7KHYDULDEOHRILQWHUHVWLVWKHIRUPRIWKHGLVWULEXWLRQIRUWKHQXPEHURIFDUVSDVVLQJWKURXJKWKH
LQWHUVHFWLRQ
+7KHIRUPRIWKHGLVWULEXWLRQLV3RLVVRQ
+7KHIRUPRIWKHGLVWULEXWLRQLVQRW3RLVVRQ
D
7KHWHVWVWDWLVWLFLV
N
2 (
F
L
(
L
L L
5HMHFW+LI F ! F
R
(VWLPDWHGPHDQ
F
6LQFH!!!UHMHFW+:HFDQFRQFOXGHWKDWWKHGLVWULEXWLRQLVQRW3RLVVRQDWD
E3YDOXH IRXQGXVLQJ0LQLWDE
6HFWLRQ
7KHYDULDEOHRILQWHUHVWLVEUHDNGRZQVDPRQJVKLIW
+%UHDNGRZQVDUHLQGHSHQGHQWRIVKLIW
+%UHDNGRZQVDUHQRWLQGHSHQGHQWRIVKLIW
D
7KHWHVWVWDWLVWLFLV
U F RLM (LM
F
L M (LM
7KHFDOFXODWHGWHVWVWDWLVWLFLV F
F ! F GRQRWUHMHFW+ DQGFRQFOXGHWKDWWKHGDWDSURYLGHLQVXIILFLHQWHYLGHQFHWRFODLPWKDW
PDFKLQHEUHDNGRZQDQGVKLIWDUHGHSHQGHQWDWD
3YDOXH XVLQJ0LQLWDE
7KHYDULDEOHRILQWHUHVWLVFDOOVE\VXUJLFDOPHGLFDOSDWLHQWV
+ &DOOVE\VXUJLFDOPHGLFDOSDWLHQWVDUHLQGHSHQGHQWRI0HGLFDUHVWDWXV
+ &DOOVE\VXUJLFDOPHGLFDOSDWLHQWVDUHQRWLQGHSHQGHQWRI0HGLFDUHVWDWXV
D
7KHWHVWVWDWLVWLFLV
U F RLM (LM
F
L M
(LM
7KHFULWLFDOYDOXHLV F
7KHFDOFXODWHGWHVWVWDWLVWLFLV F
F ! F
GRQRWUHMHFW+ DQGFRQFOXGHHYLGHQFHLVQRWVXIILFLHQWWRFODLPWKDWVXUJLFDOPHGLFDO
SDWLHQWVDQG0HGLFDUHVWDWXVDUHGHSHQGHQW
3YDOXH
7KHYDULDEOHRILQWHUHVWLVVWDWLVWLFVJUDGHVDQG25JUDGHV
+ 6WDWLVWLFVJUDGHVDUHLQGHSHQGHQWRI25JUDGHV
+ 6WDWLVWLFVDQG25JUDGHVDUHQRWLQGHSHQGHQW
D
7KHWHVWVWDWLVWLFLV
U F RLM (LM
F
L M
(LM
3YDOXH
7KHYDULDEOHRILQWHUHVWLVFKDUDFWHULVWLFDPRQJGHIOHFWLRQVDQGUDQJHV
+ 'HIOHFWLRQDQGUDQJHDUHLQGHSHQGHQW
+ 'HIOHFWLRQDQGUDQJHDUHQRWLQGHSHQGHQW
D
7KHWHVWVWDWLVWLFLV
U F RLM (LM
F
L M
(LM
7KHFDOFXODWHGWHVWVWDWLVWLFLV F
F ! F GRQRWUHMHFW+ DQGFRQFOXGHHYLGHQFHLVQRWVXIILFLHQWWRFODLPWKDWWKHGDWDDUHQRW
LQGHSHQGHQWDWD
3YDOXH
7KHYDULDEOHRILQWHUHVWLVIDLOXUHVRIDQHOHFWURQLFFRPSRQHQW
+ 7\SHRIIDLOXUHLVLQGHSHQGHQWRIPRXQWLQJSRVLWLRQ
+ 7\SHRIIDLOXUHLVQRWLQGHSHQGHQWRIPRXQWLQJSRVLWLRQ
D
7KHWHVWVWDWLVWLFLV
U F RLM (LM
F
L M
(LM
7KHFULWLFDOYDOXHLV F
7KHFDOFXODWHGWHVWVWDWLVWLFLV F
F ! F GRQRWUHMHFW+ DQGFRQFOXGHHYLGHQFHLVQRWVXIILFLHQWWRFODLPWKDWWKHW\SHRIIDLOXUHLV
QRWLQGHSHQGHQWRIWKHPRXQWLQJSRVLWLRQDWD
3YDOXH
7KHYDULDEOHRILQWHUHVWLVRSLQLRQRQFRUHFXUULFXOXPFKDQJH
+ 2SLQLRQRIWKHFKDQJHLVLQGHSHQGHQWRIWKHFODVVVWDQGLQJ
+ 2SLQLRQRIWKHFKDQJHLVQRWLQGHSHQGHQWRIWKHFODVVVWDQGLQJ
D
7KHWHVWVWDWLVWLFLV
U F RLM (LM
F
L M
(LM
7KHFULWLFDOYDOXHLV F
7KHFDOFXODWHGWHVWVWDWLVWLFLV F
F !!! F UHMHFW+ DQGFRQFOXGHWKDWWKHRSLQLRQVRQWKHFKDQJHDUHQRWLQGHSHQGHQWRIFODVV
VWDQGLQJ
3YDOXH|
6XSSOHPHQWDO([HUFLVHV
V V
6\PPHWULFFRQILGHQFHLQWHUYDO [ d P d [
VLQFH]
Q Q
V V
7KHOHQJWKRIWKLVLQWHUYDOLV
Q Q
V V
$V\PPHWULFFRQILGHQFHLQWHUYDO [ d P d [ VLQFH]
DQG]
Q Q
V V
7KHOHQJWKRIWKLVLQWHUYDOLV
Q Q
7KHV\PPHWULFFRQILGHQFHLQWHUYDOLVWKHVKRUWHURIWKHWZRWKHDGYDQWDJHWRDV\PPHWULFFRQILGHQFH
LQWHUYDOLVWKHIDFWWKDWLQJHQHUDOWKH\DUHVKRUWHUWKDQDQDV\PPHWULFFRQILGHQFHLQWHUYDO
P VXQNQRZQ
DQ [ V
W R
7KH3YDOXHIRUW GHJUHHVRIIUHHGRP LVEHWZHHQDQG7KXVZHZRXOGFRQFOXGHWKDWWKH
UHVXOWVDUHQRWYHU\XQXVXDO
EQ
W R
7KH3YDOXHIRUW GHJUHHVRIIUHHGRP LVEHWZHHQDQG7KXVZHZRXOGFRQFOXGHWKDW
WKHUHVXOWVDUHVRPHZKDWXQXVXDO
FQ ZLWKQ!WKHVWDQGDUGQRUPDOWDEOHFDQEHXVHGIRUWKLVSUREOHP
]R
7KH3YDOXHIRU] LV7KXVZHZRXOGFRQFOXGHWKDWWKHUHVXOWVDUHYHU\XQXVXDO
G)RUFRQVWDQWYDOXHVRI [ DQGVLQFUHDVLQJRQO\WKHVDPSOHVL]HZHVHHWKDWWKHVWDQGDUGHUURURI
; GHFUHDVHVDQGFRQVHTXHQWO\DVDPSOHPHDQYDOXHRIZKHQWKHWUXHPHDQLVLVPRUHXQXVXDOIRU
WKHODUJHUVDPSOHVL]HV
P V
)LQG 3 V t DQG 3 V d
DQ
Q V
3
V
t
3 F t |
Q V
3
V
d
3 F d
3 F t
3 F d
EQ
Q V
3
V
t
3 F t
3 F t
Q V
3
V
d
3 F d
3 F t 3 F d
FQ
Q V
3
V
t
3 F t
3 F t |
Q V
3
V
d
3 F d
3 F t 3 F d
G$VWKHVDPSOHVL]HLQFUHDVHVZLWKDOORWKHUYDOXHVKHOGFRQVWDQWWKHSUREDELOLW\ 3 V t GHFUHDVHV
EHFDXVHWKHULJKWWDLORIWKHF GLVWULEXWLRQEHFRPHVUHODWLYHO\VKRUWHU
H$VWKHVDPSOHVL]HLQFUHDVHVZLWKDOORWKHUYDOXHVKHOGFRQVWDQWWKHSUREDELOLW\ 3 V d GHFUHDVHV
EHFDXVHWKHOHIWWDLORIWKHF GLVWULEXWLRQEHFRPHVUHODWLYHO\VKRUWHU
D7KHGDWDDSSHDUWRIROORZDQRUPDOGLVWULEXWLRQEDVHGRQWKHQRUPDOSUREDELOLW\SORWVLQFHWKHGDWDIDOO
DORQJDVWUDLJKWOLQH
E,WLVLPSRUWDQWWRFKHFNIRUQRUPDOLW\RIWKHGLVWULEXWLRQXQGHUO\LQJWKHVDPSOHGDWDVLQFHWKHFRQILGHQFH
LQWHUYDOVWREHFRQVWUXFWHGVKRXOGKDYHWKHDVVXPSWLRQRIQRUPDOLW\IRUWKHUHVXOWVWREHUHOLDEOH
HVSHFLDOO\VLQFHWKHVDPSOHVL]HLVOHVVWKDQDQGWKHFHQWUDOOLPLWWKHRUHPGRHVQRWDSSO\
F1RZLWKFRQILGHQFHZHFDQQRWLQIHUWKDWWKHWUXHPHDQFRXOGEHVLQFHWKLVYDOXHLVQRW
FRQWDLQHGZLWKLQWKHJLYHQFRQILGHQFHLQWHUYDO
G$VZLWKSDUWEWRFRQVWUXFWDFRQILGHQFHLQWHUYDORQWKHYDULDQFHWKHQRUPDOLW\DVVXPSWLRQPXVWKROGIRU
WKHUHVXOWVWREHUHOLDEOH
H<HVLWLVUHDVRQDEOHWRLQIHUWKDWWKHYDULDQFHFRXOGEHVLQFHWKHFRQILGHQFHLQWHUYDORQWKH
YDULDQFHFRQWDLQVWKLVYDOXH
IL LL1RGRFWRUVDQGFKLOGUHQZRXOGUHSUHVHQWWZRFRPSOHWHO\GLIIHUHQWSRSXODWLRQVQRWUHSUHVHQWHGE\
WKHSRSXODWLRQRI&DQDGLDQ2O\PSLFKRFNH\SOD\HUV6LQFHGRFWRUVQRUFKLOGUHQZHUHWKHWDUJHWRIWKLV
VWXG\RUSDUWRIWKHVDPSOHWDNHQWKHUHVXOWVVKRXOGQRWEHH[WHQGHGWRWKHVHJURXSV
D7KHGDWDDSSHDUWRIROORZDQRUPDOGLVWULEXWLRQEDVHGRQWKHQRUPDOSUREDELOLW\SORWVLQFHWKHGDWDIDOO
DORQJDVWUDLJKWOLQH
E [ V Q 8VHWKHWGLVWULEXWLRQWRFRQVWUXFWWKHFRQILGHQFHLQWHUYDOVD
W D Q W
V
[ W D Q dP
Q
dP
d P
ZLWKFRQILGHQFHZHEHOLHYHWKHWUXHPHDQFRPSUHVVLYHVWUHQJWKLVDWOHDVW0SD
F W D Q W
V V
[ W D Q d P d [ W D Q
Q Q
d P d
d P d
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHPHDQFRPSUHVVLYHVWUHQJWKLVEHWZHHQDQG0SD
7KHORZHUHQGSRLQWRIWKHRQHVLGHGFRQILGHQFHLQWHUYDOLVWKHVDPHDVWKDWRIWKHWZRVLGHGFRQILGHQFH
LQWHUYDOGXHWRWKHOHYHORIFRQILGHQFHXVHG,QERWKFDVHVWKHSUREDELOLW\LQWKHOHIWWDLOLV
G F D Q F
Q V
V d
F D Q
V d
V d
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHYDULDQFHRIFRPSUHVVLYHVWUHQJWKLVDWPRVW0SD
H FD
F D
ZLWKD
Q V Q V
d V d
FD
F D
d V d
d V d
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHYDULDQFHRIFRPSUHVVLYHVWUHQJWKLVEHWZHHQDQG
0SD 7KHXSSHUHQGSRLQWRIWKHRQHVLGHGFRQILGHQFHLQWHUYDOLVWKHVDPHDVWKDWRIWKHWZRVLGHG
FRQILGHQFHLQWHUYDOGXHWRWKHOHYHORIFRQILGHQFH,QERWKFDVHVWKHSUREDELOLW\LQWKHULJKWWDLOLV
I&KDQJHWR
[ DQGV
FRQILGHQFHRQP
d P d
d P d
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHPHDQFRPSUHVVLYHVWUHQJWKLVEHWZHHQDQG0SD
FRQILGHQFHLQWHUYDORQV
d V d
d V d
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHYDULDQFHRIFRPSUHVVLYHVWUHQJWKLVEHWZHHQDQG
0SD
&RPSDULVRQRILQWHUYDOV
&RQILGHQFHLQWHUYDORQP7KHFRQILGHQFHLQWHUYDOQRZFRYHUVDUHJLRQVOLJKWO\OHVVWKDQWKHRULJLQDO
LQWHUYDOWKDWLVWKHOHQJWKRIWKHVHFRQGLQWHUYDOLVVKRUWHUWKDQWKHRULJLQDO
&RQILGHQFHLQWHUYDORQV 7KHFRQILGHQFHLQWHUYDOFRYHUVDUHJLRQVOLJKWO\OHVVWKDQWKHRULJLQDOWKH
OHQJWKRIWKHVHFRQGLQWHUYDOLVVKRUWHUWKDQWKHRULJLQDO
(IIHFWV:HVHHE\FRUUHFWLQJWKHYDOXHWKHOHQJWKRIWKHLQWHUYDOVKDYHEHFRPHVKRUWHUDQGWKHPHDQ
DQGYDULDQFHKDYHGHFUHDVHG,QSDUWLFXODUWKHVDPSOHVWDQGDUGGHYLDWLRQDVGHFUHDVHGE\DERXW
FDXVLQJWKHFRQILGHQFHLQWHUYDOVWRGHFUHDVHVXEVWDQWLDOO\
J&KDQJHWR
[ DQGV
FRQILGHQFHRQP
d P d
d P d
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHPHDQFRPSUHVVLYHVWUHQJWKLVEHWZHHQDQG
FRQILGHQFHLQWHUYDORQV
d V d
d V d
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHYDULDQFHRIFRPSUHVVLYHVWUHQJWKLVEHWZHHQDQG
0SD
&RPSDULVRQRILQWHUYDOVSDUWVIDQGJ
&RQILGHQFHLQWHUYDORQP7KHUHLVYHU\OLWWOHGLIIHUHQFHZKHQWKHGDWDYDOXHLVFKDQJHGRQO\VOLJKWO\
&RQILGHQFHLQWHUYDORQV 7KHFRQILGHQFHLQWHUYDOKDVFKDQJHGYHU\OLWWOHZLWKDVOLJKWFKDQJHLQRQH
GDWDYDOXH
(IIHFWV7KHVDPSOHPHDQVDPSOHYDULDQFHDQGFRQILGHQFHLQWHUYDOVKDYHFKDQJHGYHU\OLWWOH
K7KHUHDUHWZRFDVHVWKDWWKHDERYHH[HUFLVHVLOOXVWUDWHZKHQDYDOXHLVFKDQJHGDQGWKHQHZYDOXHOLHV
IDUIURPWKHVDPSOHPHDQDQGZKHQDYDOXHLVFKDQJHGDQGWKHQHZYDOXHOLHVQHDUWKHVDPSOHPHDQ :KHQ
WKHVLWXDWLRQLVFDVHWKHYDULDQFHKDVFKDQJHGGUDPDWLFDOO\UHVXOWLQJLQDVPDOOHUFRQILGHQFH
LQWHUYDO7KHPHDQLVOHVVVHQVLWLYHWRWKLVFKDQJH:KHQWKHVLWXDWLRQLVFDVHWKHPHDQDQGYDULDQFH
KDYHFKDQJHGOHVVWKDQLQFDVH1RWLFHWKHZLGWKVRIWKHFRQILGHQFHLQWHUYDOVIRUWKHRULJLQDOGDWDFDVH DQG
FDVHLQWKHWDEOHEHORZ
:LGWKRI&RQILGHQFH,QWHUYDO
3DUDPHWHURI,QWHUHVW 2ULJLQDO'DWD &DVH &DVH
0HDQP
9DULDQFHV
$VWKHVWDQGDUGGHYLDWLRQGHFUHDVHVZLWKDOORWKHUYDOXHVKHOGFRQVWDQWWKHVDPSOHVL]HQHFHVVDU\WR
PDLQWDLQWKHDFFHSWDEOHOHYHORIVLJQLILFDQFHDQGWKHOHQJWKRIWKHLQWHUYDOGHFUHDVHV
F:HZRXOGZDQWWRKDYHDUHODWLYHO\ODUJHVDPSOHVL]HQt:LWKDVDPSOHVL]HRIDWOHDVWWKH
FHQWUDOOLPLWWKHRUHPFDQDSSO\
S S
6DPSOH0HDQ S 6DPSOH9DULDQFH
Q
6DPSOH6L]HQ 6DPSOLQJ'LVWULEXWLRQ 6DPSOH0HDQ 6DPSOH9DULDQFH
D 1RUPDO S S S
E 1RUPDO S S S
F 1RUPDO S S S
G$VWKHVDPSOHVL]HLQFUHDVHVWKHYDULDQFHRIWKHVDPSOLQJGLVWULEXWLRQGHFUHDVHV
S S
]D ( ]D
Q
Q
(
Q
(
Q
(
$VWKHVDPSOHVL]HLQFUHDVHDQGDOORWKHUYDOXHVKHOGFRQVWDQWWKHHUURUGHFUHDVHV
I:KHQWKHFRQILGHQFHOHYHOLVLQFUHDVHGWKHHUURULQHVWLPDWLQJWKHWUXHYDOXHRISZLOODOVRLQFUHDVH
7KLVFDQEHVHHQE\FRPSDULQJYDOXHVEHWZHHQSDUWVGDQGH)RUQ ZHVHHWKDW( ZLWKD
OHYHORIFRQILGHQFHZKLOH( ZLWKDOHYHORIFRQILGHQFHIRUWKHVDPHVDPSOHVL]H
D
V G ]
DQ E )
)
EQ E )
) )
FQ E )
) )
GEZKLFKLVWKHSUREDELOLW\RID7\SH,,HUURUGHFUHDVHVDVWKHVDPSOHVL]HLQFUHDVHVEHFDXVHWKHYDULDQFH
RIWKHVDPSOHPHDQGHFUHDVHV&RQVHTXHQWO\WKHSUREDELOLW\RIREVHUYLQJDVDPSOHPHDQLQWKH
DFFHSWDQFHUHJLRQFHQWHUHGDERXWWKHLQFRUUHFWYDOXHRIPOKGHFUHDVHVZLWKODUJHUQ
D
V G ]
DQ E ) )
EQ E ) ) )
FQ E )
) )
G7KHSUREDELOLW\RID7\SH,,HUURULQFUHDVHVZLWKDQLQFUHDVHRIWKHVWDQGDUGGHYLDWLRQ
D
V G ]
DQ E ) ) )
7KHUHIRUHSRZHU E
EQ E ) ) )
7KHUHIRUHSRZHU E
FQ E )
) )
7KHUHIRUHSRZHU E
G$VVDPSOHVL]HLQFUHDVHVDQGDOORWKHUYDOXHVDUHKHOGFRQVWDQWWKHSRZHULQFUHDVHVEHFDXVHWKH
YDULDQFHRIWKHVDPSOHPHDQGHFUHDVHV&RQVHTXHQWO\WKHSUREDELOLW\RID7\SH,,HUURUGHFUHDVHV ZKLFK
LPSOLHVWKHSRZHULQFUHDVHV
D5HMHFWLQJDQXOOK\SRWKHVLVSURYLGHVVWURQJHUHYLGHQFHWKDQQRWUHMHFWLQJDQXOOK\SRWKHVLV7KHUHIRUH
SODFHZKDWZHDUHWU\LQJWRSURYHLQWKHDOWHUQDWLYHK\SRWKHVLV
$VVXPHWKHGDWDIROORZDQRUPDOGLVWULEXWLRQ
EWKHSDUDPHWHURILQWHUHVWLVWKHPHDQZHOGVWUHQJWKP
+ P
+ P!
1RWJLYHQ
7KHWHVWVWDWLVWLFLV
[ P
W
V Q
6LQFHQRFULWLFDOYDOXHLVJLYHQZHZLOOFDOFXODWHWKH3YDOXH
[
W
7KHUHLVVRPHZKDWVLJQLILFDQWHYLGHQFHWRVXSSRUWWKHFODLPWKDWWKHZHOGVWUHQJWKH[FHHGVSVL
,IZHXVHGD RUZHZRXOGQRWUHMHFWWKHQXOOK\SRWKHVLVWKXVWKHFODLPZRXOGQRWEH
VXSSRUWHG,IZHXVHGD ZHZRXOGUHMHFWWKHQXOOLQIDYRURIWKHDOWHUQDWLYHDQGFRQFOXGHWKH
ZHOGVWUHQJWKH[FHHGVSVL
D)LQGWKH3RZHU E IRUFRQILGHQFH
S S S S
S S ]D S S ]D
E ) Q ) Q
S S S S
Q Q
) Q ) Q
Q Q
3RZHULQFUHDVHVDVVDPSOHVL]HLQFUHDVHVZKHQDOORWKHUYDOXHVDUHKHOGFRQVWDQW
E)LQGWKH3RZHU E IRUFRQILGHQFH
Q E ) )
E
7KHSRZHURIWKHWHVWLVJUHDWHUIRUWKHODUJHUYDOXHVRIDVLQFHWKHODUJHUDYDOXHUHVXOWVLQDVPDOOHU
DFFHSWDQFHUHJLRQ
S S S S
S S ]D S S ]D
E ) Q ) Q
S S S S
Q Q
Q Q
) )
Q Q
) )
$VWKHGLIIHUHQFHEHWZHHQWKHK\SRWKHVL]HGYDOXHRISDQGWKHWUXHYDOXHRISLQFUHDVHVWKHPRUH
SRZHUIXOWKHWHVW
S
Q
Q
S
Q
Q
$VPDOOHUVDPSOHVL]HLVUHTXLUHGZKHQWKHWUXHSURSRUWLRQOLHVIXUWKHUIURPWKHK\SRWKHVL]HGYDOXH
VLQFHQRWDVODUJHRIDVDPSOHZLOOEHQHFHVVDU\WRGHWHFWWKLVGLIIHUHQFH
DWKHSDUDPHWHURILQWHUHVWLVWKHVWDQGDUGGHYLDWLRQV
+V
+V
1RWJLYHQ
Q V
7KHWHVWVWDWLVWLFLV F
V
6LQFHQRFULWLFDOYDOXHLVJLYHQZHZLOOFDOFXODWHWKHSYDOXH
Q V
F
3YDOXH 3 F
3 YDOXH
7KH3YDOXHLVJUHDWHUWKDQDQ\DFFHSWDEOHVLJQLILFDQFHOHYHODWKHUHIRUHZHGRQRWUHMHFWWKHQXOO
K\SRWKHVLV7KHUHLVLQVXIILFLHQWHYLGHQFHWRVXSSRUWWKHFODLPWKDWWKHVWDQGDUGGHYLDWLRQLVOHVVWKDQ
PLFURDPSV
EQ V
F
3YDOXH 3 F
3 YDOXH
7KH3YDOXHLVOHVVWKDQWKHUHIRUHZHUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKDWWKHVWDQGDUG
GHYLDWLRQLVVLJQLILFDQWO\OHVVWKDQPLFURDPSV
F,QFUHDVLQJWKHVDPSOHVL]HLQFUHDVHVWKHWHVWVWDWLVWLF F DQGWKHUHIRUHGHFUHDVHVWKH3YDOXHSURYLGLQJ
PRUHHYLGHQFHDJDLQVWWKHQXOOK\SRWKHVLV
Q
D7KHSDUDPHWHURILQWHUHVWLVWKHVWDQGDUGGHYLDWLRQV
+V
+Vz
D
Q V
7KHWHVWVWDWLVWLFLV F
V
5HMHFW+LI F F D
Q ZKHUH F
RU F ! F D
Q ZKHUH F
F
6LQFHDFFHSWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHWUXHYDULDQFHRIIDWW\DFLG
IRUGLHWPDUJDULQHLVQRWVLJQLILFDQWO\GLIIHUHQWIURPDWD
EQ
+V
+Vz
D
Q V
7KHWHVWVWDWLVWLFLV F
V
5HMHFW+LI F F D
Q ZKHUH F
RU F ! F D
Q ZKHUH F
F
6LQFHUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHWUXHYDULDQFHRIIDWW\DFLGIRUGLHW
PDUJDULQHLVVLJQLILFDQWO\GLIIHUHQWIURPDWD
F7KHLQFUHDVHGVDPSOHVL]HFKDQJHVWKHGHJUHHVRIIUHHGRPRIWKHWHVWVWDWLVWLFDQGWKHUHIRUHWKH
DFFHSWDQFHUHJLRQWKHODUJHUVDPSOHVL]HDFWXDOO\GHFUHDVHVWKHDFFHSWDEOHGLIIHUHQFHEHWZHHQWKH
VDPSOHYDULDQFHDQGDFWXDO
$VVXPHWKHGDWDIROORZDQRUPDOGLVWULEXWLRQ
D7KHSDUDPHWHURILQWHUHVWLVWKHVWDQGDUGGHYLDWLRQV
+V
+V
D
Q V
7KHWHVWVWDWLVWLFLV F
V
F
UHMHFW+LI F
F
!GRQRWUHMHFWWKHQXOOK\SRWKHVLVWKDWLVWKHUHLVLQVXIILFLHQWHYLGHQFHWRFRQFOXGHWKH
VWDQGDUGGHYLDWLRQLVDWPRVWPP
E$OWKRXJKWKHVDPSOHVWDQGDUGGHYLDWLRQLVOHVVWKDQWKHK\SRWKHVL]HGYDOXHRILWLVQRW
VLJQLILFDQWO\OHVVZKHQD WKDQWRFRQFOXGHWKHVWDQGDUGGHYLDWLRQLVDWPRVW
PP7KHYDOXHRIFRXOGKDYHRFFXUUHGDVDUHVXOWRIVDPSOLQJYDULDWLRQ
&XPXODWLYH SHUFHQW
;
&RQFHQWUDWLRQ
$FFRUGLQJWRWKHQRUPDOSUREDELOLW\SORWZHFDQDVVXPHWKHXQGHUO\LQJGLVWULEXWLRQLVQRUPDO
7KLVLVHYLGHQWE\WKHIDFWWKDWWKHGDWDIDOODORQJDVWUDLJKWOLQH7KHDVVXPSWLRQRIQRUPDOLW\VKRXOGEH
VDWLVILHGLQRUGHUWRSHUIRUPDK\SRWKHVLVWHVWXVLQJDFWHVWVWDWLVWLF
7KHSDUDPHWHURILQWHUHVWLVWKHVWDQGDUGGHYLDWLRQV
+V
+V
1RWJLYHQ
Q V
7KHWHVWVWDWLVWLFLV F
V
6LQFHQRFULWLFDOYDOXHLVJLYHQZHZLOOFDOFXODWHWKHSYDOXH
Q
V
F
3YDOXH 3 F d
3YDOXH
$3YDOXHRIOHVVWKDQLVKLJKO\VLJQLILFDQWHYLGHQFHWRFRQFOXGHWKHVWDQGDUGGHYLDWLRQLVOHVVWKDQ
JO
D7KHSDUDPHWHURILQWHUHVWLVWKHWUXHSURSRUWLRQS
+ S
+ S
S S
Q
] UHMHFW+ LI]
S
]
!GRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKDWWKHUHLVLQVXIILFLHQWHYLGHQFHWR
VXSSRUWWKHFODLPWKDWWKHWUXHSURSRUWLRQLVOHVVWKDQ
3YDOXH 3 ] d
E$OWKRXJKWKHVDPSOHSURSRUWLRQLVOHVVWKDQWKHK\SRWKHVL]HGYDOXHRILWLVQRWVLJQLILFDQWO\OHVV
WKDQWRFRQFOXGHWKDWWKHSURSRUWLRQLVDWOHVVWKDQ7KHYDOXHRIFRXOGKDYHRFFXUUHGDV
DUHVXOWRIVDPSOLQJYDULDWLRQ
S
DFRQILGHQFHLQWHUYDO ]D
S S S S
S ]D d S d S ]D
Q
Q
d S d
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHSURSRUWLRQRIDLUFUDIWWKDWKDYHZLULQJHUURUVOLHVEHWZHHQ
DQG
]D
(
Q
F8VH S
]D
(
Q
G3UHOLPLQDU\LQIRUPDWLRQFDQVLJQLILFDQWO\GHFUHDVHWKHFRPSXWHGQHHGHGVDPSOHVL]H:LWKRXWWKLV
LQIRUPDWLRQZHPXVWXVHS LQWKHFRPSXWDWLRQVUHVXOWLQJWKHZRUVWFDVHVL]H
S
DFRQILGHQFHLQWHUYDO ]D
S S S S
S ]D d S d S ]D
Q Q
d S d
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHSURSRUWLRQRIQHZHQJLQHHULQJJUDGXDWHVZKRZHUHSODQQLQJWR
FRQWLQXHVWXG\LQJIRUDQDGYDQFHGGHJUHHOLHVEHWZHHQDQG
EFRQILGHQFHLQWHUYDO ]D
S S S S
S ]D d S d S ]D
Q
Q
d S d
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHSURSRUWLRQRIQHZHQJLQHHULQJJUDGXDWHVZKRZHUHSODQQLQJWR
FRQWLQXHVWXG\LQJIRUDQDGYDQFHGGHJUHHOLHVEHWZHHQDQG
F&RPSDULVRQRISDUWVDDQGE
7KHFRQILGHQFHLQWHUYDOLVODUJHUWKDQWKHFRQILGHQFHLQWHUYDO+LJKHUFRQILGHQFHDOZD\V
\LHOGVODUJHULQWHUYDOVDOORWKHUYDOXHVKHOGFRQVWDQW
G<HVVLQFHERWKLQWHUYDOVFRQWDLQWKHYDOXHWKXVWKHWUXHSURSRUWLRQFDQQRWEHFRQVLGHUHG
VLJQLILFDQWO\GLIIHUHQWIURP
9DOXH
2EV
7KHYDOXHRISPXVWEHHVWLPDWHG/HWWKHHVWLPDWHEHGHQRWHGE\ S VDPSOH
VDPSOHPHDQ
VDPSOH PHDQ
S
Q
VDPSOH
6LQFHVHYHUDORIWKHH[SHFWHGYDOXHVDUHOHVVWKDQVRPHFHOOVPXVWEHFRPELQHGUHVXOWLQJLQWKH
IROORZLQJWDEOH
7KHGHJUHHVRIIUHHGRPDUHNS
D7KHYDULDEOHRILQWHUHVWLVWKHIRUPRIWKHGLVWULEXWLRQIRUWKHQXPEHURIQRQFRQIRUPLQJFRLOVSULQJV
+ 7KHIRUPRIWKHGLVWULEXWLRQLVELQRPLDO
+ 7KHIRUPRIWKHGLVWULEXWLRQLVQRWELQRPLDO
F
L
(
L
L L
F
QRWELQRPLDODWD
E3YDOXH IRXQGXVLQJ0LQLWDE
9DOXH
2EV
7KHYDOXHRISPXVWEHHVWLPDWHG/HWWKHHVWLPDWHEHGHQRWHGE\ S VDPSOH
VDPSOHPHDQ
VDPSOH PHDQ
S
Q
VDPSOH
9DOXH
2EVHUYHG
([SHFWHG
6LQFHVHYHUDORIWKHH[SHFWHGYDOXHVDUHOHVVWKDQVRPHFHOOVPXVWEHFRPELQHGUHVXOWLQJLQWKH
IROORZLQJWDEOH
9DOXH t
2EVHUYHG
([SHFWHG
7KHGHJUHHVRIIUHHGRPDUHNS
D7KHYDULDEOHRILQWHUHVWLVWKHIRUPRIWKHGLVWULEXWLRQIRUWKHQXPEHURIHUURUVLQDVWULQJRIELWV
+ 7KHIRUPRIWKHGLVWULEXWLRQLVELQRPLDO
+ 7KHIRUPRIWKHGLVWULEXWLRQLVQRWELQRPLDO
F
L
(
L
L L
F
RIWKHQXPEHURIHUURUVLVELQRPLDODWD
E3YDOXH IRXQGXVLQJ0LQLWDE
0LQG([SDQGLQJ([HUFLVHV
D
7U ;
; ; ;
; ; ; ; ;
; ; ; ; ; ; U ; U
Q U ; ; ; ; ; ; U ; U
%HFDXVH;LVWKHPLQLPXPOLIHWLPHRIQLWHPV ( ;
QO
7KHQ;;LVWKHPLQLPXPOLIHWLPHRIQLWHPVIURPWKHPHPRU\OHVVSURSHUW\RIWKHH[SRQHQWLDODQG
( ; ;
Q O
6LPLODUO\ ( ; N ; N 7KHQ
Q N O
Q Q QU U 7
( 7U DQG ( U P
QO Q O Q U O O U O
E 3 F O7U F D
D U D U
F F
D U D U
3 O
7U 7U
7U 7U
7KHQDFRQILGHQFHLQWHUYDOIRU P LV
O F F
D U D U
]D
f [ [
D H G[ H G[
]D S f S
7KHUHIRUH D ) ] D
WRPLQLPL]H ) D ) D D
]
D
w
) D S H
wD
]
D D
w
) D D S H
wD
]
]
D D D
8SRQVHWWLQJWKHVXPRIWKHWZRGHULYDWLYHVHTXDOWR]HURZHREWDLQ H H 7KLVLVVROYHGE\
] D ] D D &RQVHTXHQWO\ D D D D D DQG D D D
(;Q ; ( ;Q ; ( ;Q ( ; ;;
;L
9 ;Q ; 9 ;Q 9 ; 9 ;Q 9
Q
V 9 ; ; ;Q
Q
V > 9 ; 9 ;
9 ;Q @
Q
Q
V
Q
>V V V @
V
Q
>QV @
V
V
Q
V
Q
;Q ;
7KHGLVWULEXWLRQRI LVDWGLVWULEXWLRQZLWKQGHJUHHVRIIUHHGRP
6
Q
$DSHUFHQWSUHGLFWLRQLQWHUYDORQ;QFDQEHGHYHORSHGDV
; ;
WD Q d Q d WD Q
6
Q
WD Q 6 d ;Q ; d WD Q 6
Q Q
; WD Q 6 d ;Q d ; WD Q 6
Q Q
SUHGLFWLRQLQWHUYDORQ;LV
; WD Q 6 d ;Q d ; WD Q 6
Q Q
d ; d
d ; d
7KHSUHGLFWLRQLQWHUYDOLVZLGHUEHFDXVHLWGHSHQGVRQERWKWKHHUURUIURPWKHILWWHGPRGHOHUURUIURPXVLQJ
; DVWKHHVWLPDWHDQGHUURUDVVRFLDWHGZLWKIXWXUHREVHUYDWLRQV
&+$37(5
6HFWLRQ
D7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQILOOYROXPH P P
+ P P
RU P
P
V
V
Q
Q
[ [
G
V
V
]
VLQFHGRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHUHLVQRHYLGHQFHWKDWWKH
WZRPDFKLQHILOOYROXPHVGLIIHUDWD
E3YDOXH )
F3RZHU E ZKHUH
'' ''
E ) ]D
) ]D
V V
V V
Q Q
Q Q
)
)
) )
) )
3RZHU
V V
V
V
G [ [ ]D
d P P d [ [ ]D
Q Q Q Q
:LWKFRQILGHQFHZHEHOLHYHWKHWUXHGLIIHUHQFHLQWKHPHDQILOOYROXPHVLVEHWZHHQDQG
6LQFHLVFRQWDLQHGLQWKLVLQWHUYDOZHFDQFRQFOXGHWKHUHLVQRVLJQLILFDQWGLIIHUHQFHEHWZHHQ
WKHPHDQV
H$VVXPHWKHVDPSOHVL]HVDUHWREHHTXDOXVHD E DQG'
]D V
]E V
Q # Q XVHQ Q
G
7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQEUHDNLQJVWUHQJWKV P P DQG'
+ P P
RU P
P
+ P P ! RU P ! P
D
7KHWHVWVWDWLVWLFLV
[ [ '
]
V
V
Q
Q
[ [
G
V
V
]
6LQFHGRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHUHLVLQVXIILFLHQWHYLGHQFHWRVXSSRUW
WKHXVHRISODVWLFDWD
E )
3RZHU
D7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQPHDQEXUQLQJUDWH P P
+ P P
RU P
P
V
V
Q
Q
[ [
G
V
V
]
6LQFHUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHPHDQEXUQLQJUDWHVGRQRWGLIIHU
VLJQLILFDQWO\DWD
E3YDOXH )
' ' ''
F E ) ]D
) ]D
V V
V
V
Q Q
Q
Q
) )
) ) ) )
V V
V V
G [ [ ]D
d P P d [ [ ]D
Q Q Q Q
:HDUHFRQILGHQWWKDWWKHPHDQEXUQLQJUDWHIRUVROLGIXHOSURSHOODQWH[FHHGVWKDWRISURSHOODQWE\
EHWZHHQDQGFPV
[
[
V
V
Q Q
DWZRVLGHGFRQILGHQFHLQWHUYDO
V V
V
V
[ [ ]D
d P P d [ [ ]D
Q Q Q Q
:HDUHFRQILGHQWWKDWWKHPHDQILOOYROXPHIRUPDFKLQHH[FHHGVWKDWRIPDFKLQHE\EHWZHHQ
DQGIOR]
EWZRVLGHGFRQILGHQFHLQWHUYDO
V V
V
V
[ [ ]D
d P P d [ [ ]D
Q Q Q Q
:HDUHFRQILGHQWWKDWWKHPHDQILOOYROXPHIRUPDFKLQHH[FHHGVWKDWRIPDFKLQHE\EHWZHHQ
DQGIOR]
&RPSDULVRQRISDUWVDDQGE
$VWKHOHYHORIFRQILGHQFHLQFUHDVHVWKHLQWHUYDOZLGWKDOVRLQFUHDVHVZLWKDOORWKHUYDOXHVKHOGFRQVWDQW
FXSSHUVLGHGFRQILGHQFHLQWHUYDO
V V
P P d [ [ ]D
Q Q
P P d
:LWKFRQILGHQFHZHEHOLHYHWKHILOOYROXPHIRUPDFKLQHH[FHHGVWKHILOOYROXPHRIPDFKLQHE\
QRPRUHWKDQIOR]
D7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQPHDQILOOYROXPH P P
+ P P
RU P
P
V V
Q Q
[ [
'
V
V
]
6LQFH!UHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHPHDQILOOYROXPHVRIPDFKLQHDQG
PDFKLQHGLIIHUVLJQLILFDQWO\DWD
]D V
]E V
Q # Q XVHQ Q
' '
[
[
V
V
Q Q
DFRQILGHQFHLQWHUYDO
V
V
V V
[ [ ]D
d P P d [ [ ]D
Q Q Q Q
d P P d
:LWKFRQILGHQFHZHEHOLHYHWKHPHDQURDGRFWDQHQXPEHUIRUIRUPXODWLRQH[FHHGVWKDWRI
IRUPXODWLRQE\EHWZHHQDQG
E7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQPHDQURDGRFWDQHQXPEHU P P DQG'
+ P P
RU P
P
V
V
Q
Q
[ [
V
V
]
6LQFHUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHPHDQURDGRFWDQHQXPEHUIRUIRUPXODWLRQ
H[FHHGVWKDWRIIRUPXODWLRQXVLQJD
F3YDOXH 3 ] d 3 ] d
[
[
V
V
Q
Q
FRQILGHQFHRQ P P WKHGLIIHUHQFHLQPHDQEDWFKYLVFRVLW\EHIRUHDQGDIWHUSURFHVVFKDQJH
V V
V
V
[
[ ]D
Q
Q
d P P d [ [
]D
Q
Q
:HDUHFRQILGHQWWKDWWKHGLIIHUHQFHLQPHDQEDWFKYLVFRVLW\EHIRUHDQGDIWHUWKHSURFHVVFKDQJHOLHV
ZLWKLQDQG6LQFHLVFRQWDLQHGLQWKLVLQWHUYDOZHFDQFRQFOXGHZLWKFRQILGHQFHWKDWWKH
PHDQEDWFKYLVFRVLW\ZDVXQDIIHFWHGE\WKHSURFHVVFKDQJH
&DWDO\VW &DWDO\VW
[
[
V
V
Q
Q
DFRQILGHQFHLQWHUYDORQ P P WKHGLIIHUHQFHLQPHDQDFWLYHFRQFHQWUDWLRQ
V V
V
V
[ [ ]D
d P P d [ [ ]D
Q Q Q Q
:HDUHFRQILGHQWWKDWWKHPHDQDFWLYHFRQFHQWUDWLRQRIFDWDO\VWH[FHHGVWKDWRIFDWDO\VWE\
EHWZHHQDQGJO
E<HVVLQFHWKHFRQILGHQFHLQWHUYDOGLGQRWFRQWDLQWKHYDOXHZHZRXOGFRQFOXGHWKHPHDQDFWLYH
FRQFHQWUDWLRQGHSHQGVRQWKHFKRLFHRIFDWDO\VW
D7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQPHDQEDWFKYLVFRVLW\EHIRUHDQGDIWHUWKHSURFHVVFKDQJH
P P
+ P P
+ P P
V V
Q Q
[
[ '
V
V
Q
Q
]
6LQFHUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHSURFHVVFKDQJHKDVLQFUHDVHGWKHPHDQ
E\OHVVWKDQ
F3DUWVDDQGEDERYHJLYHHYLGHQFHWKDWWKHPHDQEDWFKYLVFRVLW\FKDQJHLVOHVVWKDQ7KLVFRQFOXVLRQLV
DOVRVHHQE\WKHFRQILGHQFHLQWHUYDOJLYHQLQDSUHYLRXVSUREOHPVLQFHWKHLQWHUYDOGLGQRWFRQWDLQWKH
YDOXH6LQFHWKHXSSHUHQGSRLQWLVWKHQWKLVDOVRJLYHVHYLGHQFHWKDWWKHGLIIHUHQFHLVOHVVWKDQ
7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQPHDQDFWLYHFRQFHQWUDWLRQ P P
+ P P
RU P
P
+ P P z RU P z P
D
7KHWHVWVWDWLVWLFLV
[ [ '
]
V
V
Q
Q
[ [
G
V V
Q Q
]
6LQFHUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHPHDQDFWLYHFRQFHQWUDWLRQVGRGLIIHU
VLJQLILFDQWO\DWD
7KHFRQFOXVLRQVUHDFKHGE\WKHFRQILGHQFHLQWHUYDORIWKHSUHYLRXVSUREOHPDQGWKHWHVWRIK\SRWKHVLV
FRQGXFWHGKHUHDUHWKHVDPH$WZRVLGHGFRQILGHQFHLQWHUYDOFDQEHWKRXJKWRIDVUHSUHVHQWLQJWKH
DFFHSWDQFHUHJLRQRIDK\SRWKHVLVWHVWJLYHQWKDWWKHOHYHORIVLJQLILFDQFHLVWKHVDPHIRUERWK
SURFHGXUHV7KXVLIWKHYDOXHGIDOOVRXWVLGHWKHFRQILGHQFHLQWHUYDOLWLVWKHVDPHUHVXOWDVUHMHFWLQJWKH
QXOOK\SRWKHVLV
E )
)
) )
3RZHU E LWZRXOGDSSHDUWKDWWKHVDPSOHVL]HVZLOOKDYHWREHLQFUHDVHGWR
GHWHFWWKHGLIIHUHQFHRI&DOFXODWHWKHYDOXHRIQXVLQJDDQGE
6HFWLRQ
D7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQPHDQURGGLDPHWHU P P
V
Q Q
S
W
Q V Q V
Q Q
S
V
V
W
6LQFHGRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHWZRPDFKLQHVGRQRW
SURGXFHURGVZLWKVLJQLILFDQWO\GLIIHUHQWPHDQGLDPHWHUVDWD
FFRQILGHQFHLQWHUYDOW
[ [ WD Q VS d P P d [ [ WD Q VS
Q Q Q Q
Q Q
d P P d
6LQFH]HURLVFRQWDLQHGLQWKLVLQWHUYDOZHDUHFRQILGHQWWKDWPDFKLQHDQGPDFKLQHGRQRW
SURGXFHURGVZKRVHGLDPHWHUVDUHVLJQLILFDQWO\GLIIHUHQW
SHUPLWWHGLQWKLVFDVHVLQFHLWLVNQRZQWKDWWKHWWHVWDQGFRQILGHQFHLQWHUYDOVLQYROYLQJWKHWGLVWULEXWLRQ DUHUREXVWWR
WKLVDVVXPSWLRQRIHTXDOYDULDQFHVZKHQVDPSOHVL]HVDUHHTXDO
&DVH$)&& &DVH$7&
P PHDQIRDPH[SDQVLRQIRU$)&&
P PHDQIRDPH[SDQVLRQIRU$7&
[
[
V
V
Q
Q
FRQILGHQFHLQWHUYDOW V
S
[ [ WD Q VS d P P d [ [ WD Q VS
Q Q Q Q
Q Q
d P P d
<HVZLWKFRQILGHQFHZHEHOLHYHWKHPHDQIRDPH[SDQVLRQIRU$7&H[FHHGVWKDWRI$)&&E\EHWZHHQ
DQG
D7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQPHDQFDWDO\VW\LHOG P P
+ P P
RU P
P
V
Q Q
S
Q V Q V
Q Q
S
W
6LQFHUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKDWWKHPHDQ\LHOGRIFDWDO\VW
VLJQLILFDQWO\H[FHHGVWKDWRIFDWDO\VWDWD
EFRQILGHQFHLQWHUYDOW
[ [ WD Q VS d P P d [ [ WD Q VS
Q Q Q Q
Q Q
d P P d
:HDUHFRQILGHQWWKDWWKHPHDQ\LHOGRIFDWDO\VWH[FHHGVWKDWRIFDWDO\VWE\EHWZHHQDQG
D$FFRUGLQJWRWKHQRUPDOSUREDELOLW\SORWVWKHDVVXPSWLRQRIQRUPDOLW\DSSHDUVWREHPHWVLQFHWKHGDWD
IDOODSSUR[LPDWHO\DORQJDVWUDLJKWOLQH7KHHTXDOLW\RIYDULDQFHVGRHVQRWDSSHDUWREHVHYHUHO\YLRODWHG
HLWKHUVLQFHWKHVORSHVDUHDSSUR[LPDWHO\WKHVDPHIRUERWKVDPSOHV
1RUPDO 3UREDELOLW\ 3ORW
1RUPDO 3UREDELOLW\ 3ORW
3UREDELOLW\
3UREDELOLW\
W\SH W\SH
$YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW $YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW
6W'HY $6TXDUHG 6W'HY $6TXDUHG
1 39DOXH 1 39DOXH
W\SH W\SH
E7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQGHIOHFWLRQWHPSHUDWXUHXQGHUORDG P P
+ P P
RU P
P
V
Q Q
S
5HMHFWWKHQXOOK\SRWKHVLVLIW W D Q
Q
ZKHUH W
7\SH 7\SH
Q V Q V
Q Q
S
6LQFH!GRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHPHDQGHIOHFWLRQWHPSHUDWXUH
XQGHUORDGIRUW\SHGRHVQRWVLJQLILFDQWO\H[FHHGWKHPHDQGHIOHFWLRQWHPSHUDWXUHXQGHUORDGIRUW\SH
DWWKHOHYHORIVLJQLILFDQFH
F3YDOXH 3 W ! SYDOXH
G ' 8VHV DVDQHVWLPDWHRIV
S
P P
G
V S
8VLQJ&KDUW9JZLWKE G ZHJHWQ#6R Q
Q
7KHUHIRUHWKHVDPSOHVL]HV
RIDUHLQDGHTXDWH
D7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQPHDQHWFKUDWH P P
V
Q Q
S
Q V Q V
Q Q
S
W
6LQFHUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHWZRPDFKLQHVPHDQHWFKUDWHVGR
VLJQLILFDQWO\GLIIHUDWD
FFRQILGHQFHLQWHUYDOW
[ [ WD
V d P P d [ [ WD Q VS
Q Q Q Q
Q Q S Q
d P P d
:HDUHFRQILGHQWWKDWWKHPHDQHWFKUDWHIRUVROXWLRQH[FHHGVWKDWIRUVROXWLRQE\EHWZHHQ
DQG
G$FFRUGLQJWRWKHQRUPDOSUREDELOLW\SORWVWKHDVVXPSWLRQRIQRUPDOLW\DSSHDUVWREHPHWVLQFHWKHGDWD
IDOODSSUR[LPDWHO\DORQJDVWUDLJKWOLQH7KHHTXDOLW\RIYDULDQFHVGRHVQRWDSSHDUWREHVHYHUHO\YLRODWHG
HLWKHUVLQFHWKHVORSHVDUHDSSUR[LPDWHO\WKHVDPHIRUERWKVDPSOHV
3UREDELOLW\
3UREDELOLW\
VROXWLRQ VROXWLRQ
$YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW $YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW
D7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQPHDQLPSDFWVWUHQJWK P P
+ P P
RU P
P
V V
Q Q
Q Q
Q
V
V
Q
Q
Q Q
Q #
WUXQFDWHG
[
[
V
V
Q Q
W
6LQFHUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKDWVXSSOLHUSURYLGHVJHDUVZLWKKLJKHU
PHDQLPSDFWVWUHQJWKDWWKHOHYHORIVLJQLILFDQFH
E3YDOXH 3W3YDOXH
F7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQPHDQLPSDFWVWUHQJWK P P
+ P P
+ P P !
RU P ! P
V
V
Q
Q
V V
Q Q
Q
V V
Q Q
Q Q
Q #
[
[
'
V
V
Q Q
W
6LQFHGRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKDWWKHPHDQLPSDFWVWUHQJWKIURP
VXSSOLHULVQRWDWOHDVWIWOEKLJKHUWKDWVXSSOLHUXVLQJD
8VLQJWKHLQIRUPDWLRQSURYLGHGLQ([HUFLVHDQGW
ZHILQGDFRQILGHQFHLQWHUYDORQ
WKHGLIIHUHQFH P P
6LQFHWKHFRQILGHQFHLQWHUYDOUHSUHVHQWVWKHGLIIHUHQFHVWKDW P P FRXOGWDNHRQZLWK
FRQILGHQFHZHFDQFRQFOXGHWKDW6XSSOLHUGRHVSURYLGHJHDUVZLWKDKLJKHUPHDQLPSDFWVWUHQJWKWKDQ
6XSSOLHU7KLVLVYLVLEOHIURPWKHLQWHUYDOVLQFH]HURLVQRWFRQWDLQHGLQWKHLQWHUYDODQG
WKHGLIIHUHQFHVDUHDOOSRVLWLYHPHDQLQJWKDW P P !
D7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQPHDQVSHHG P P
V
Q Q
S
Q Q
S
W
6LQFH!UHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHUHGXFLQJWKHILOPWKLFNQHVVIURPPLOVWR
PLOVVLJQLILFDQWO\LQFUHDVHVWKHPHDQVSHHGRIWKHILOPDWWKHOHYHORIVLJQLILFDQFH1RWHVLQFH
LQFUHDVHLQILOPVSHHGZLOOUHVXOWLQORZHUYDOXHVRIREVHUYDWLRQV
FFRQILGHQFHLQWHUYDOW
[ [ W D Q Q VS d P P d [ [ W D Q Q VS
Q Q Q Q
d P P d
d P P d
:HDUHFRQILGHQWWKHPHDQVSHHGRIWKHILOPDWPLOH[FHHGVWKHPHDQVSHHGIRUWKHILOPDWPLO
E\EHWZHHQDQGP-LQ
7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQPHDQPHOWLQJSRLQW P P
+ P P RU P P
+ P P z RU P z P
D
7KHWHVWVWDWLVWLFLV
[ [ '
W
VS
Q Q
5HMHFWWKHQXOOK\SRWKHVLVLIW W D Q Q ZKHUH W RUW! W D Q Q ZKHUH
W
Q V Q V
[ [ ' VS
Q Q
V V
Q Q
W
6LQFHUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKDWWKHGDWDGRQRWVXSSRUWWKHFODLPWKDW
ERWKDOOR\VKDYHWKHVDPHPHOWLQJSRLQWDWD
3YDOXH 3 W 3YDOXH
_ P P _
G
V
8VLQJWKHDSSURSULDWHFKDUWLQWKH$SSHQGL[ZLWKE DQGD ZHKDYHQ
VR
Q
Q Q Q
D7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQPHDQZHDUDPRXQW P P
+ P P RU P P
+ P P z RU P z P
D
7KHWHVWVWDWLVWLFLV
[ [ '
W
V V
Q Q
5HMHFWWKHQXOOK\SRWKHVLVLIW W ZKHUH W RUW! W ZKHUH W
VLQFH
V V
Q Q
Q
V V
Q Q
Q Q
Q #
WUXQFDWHG
[ [ '
V V
Q Q
W
6LQFH!UHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKDWWKHGDWDVXSSRUWWKHFODLPWKDWWKHWZR
FRPSDQLHVSURGXFHPDWHULDOZLWKVLJQLILFDQWO\GLIIHUHQWZHDUDWWKHOHYHORIVLJQLILFDQFH
3YDOXH
F7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQPHDQZHDUDPRXQW P P
+ P P
+ P P !
D
7KHWHVWVWDWLVWLFLV
[ [ '
W
V V
Q Q
5HMHFWWKHQXOOK\SRWKHVLVLIW! W ZKHUH W VLQFH
V V
Q Q
Q
V V
Q Q
Q Q
Q #
[ [
V V '
Q Q
W
6LQFH!UHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKDWWKHGDWDVXSSRUWWKHFODLPWKDWWKH
PDWHULDOIURPFRPSDQ\KDVDKLJKHUPHDQZHDUWKDQWKHPDWHULDOIURPFRPSDQ\XVLQJDOHYHO
RIVLJQLILFDQFH
7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQPHDQFRDWLQJWKLFNQHVV P P
+ P P
+ P P !
D
7KHWHVWVWDWLVWLFLV
[ [ G
W
V V
Q Q
5HMHFWWKHQXOOK\SRWKHVLVLIW! W ZKHUH W VLQFH
V V
Q Q
Q
V V
Q Q
Q Q
Q #
WUXQFDWHG
[ [
V V
Q Q
W
6LQFHGRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKDWLQFUHDVLQJWKHWHPSHUDWXUHGRHV
QRWVLJQLILFDQWO\UHGXFHWKHPHDQFRDWLQJWKLFNQHVVDWD
3YDOXH 3W!3YDOXH
d P P
d P P
6LQFHWKHLQWHUYDOFRQWDLQVZHDUHFRQILGHQWWKHUHLVQRGLIIHUHQFHLQWKHPHDQFRDWLQJWKLFNQHVV
EHWZHHQWKHWZRWHPSHUDWXUHVWKDWLVUDLVLQJWKHSURFHVVWHPSHUDWXUHGRHVQRWVLJQLILFDQWO\UHGXFHWKH
PHDQFRDWLQJWKLFNQHVV
FRQILGHQFHLQWHUYDO
W
V V V V
[ [ W D Q
Q Q
d P P d [ [ W D Q
Q Q
d P P d
d P P d
ORZHURQHVLGHGFRQILGHQFHLQWHUYDO
W
V V
[ [ W D Q
Q Q
d P P
d P P
d P P
)RUSDUWD
:HDUHFRQILGHQWWKHPHDQDEUDVLYHZHDUIURPFRPSDQ\H[FHHGVWKHPHDQDEUDVLYHZHDUIURP
FRPSDQ\E\EHWZHHQDQGPJ
)RUSDUWF
:HDUHFRQILGHQWWKHPHDQDEUDVLYHZHDUIURPFRPSDQ\H[FHHGVWKHPHDQDEUDVLYHZHDUIURP
FRPSDQ\E\DWOHDVWPJ
6HFWLRQ
Q
G Q
Q
d P d
G
dPGd
:LWKFRQILGHQFHZHEHOLHYHWKHPHDQVKHDUVWUHQJWKRI.DUOVUXKHPHWKRGH[FHHGVWKHPHDQVKHDU
VWUHQJWKRIWKH/HKLJKPHWKRGE\EHWZHHQDQG6LQFHLVQRWLQFOXGHGLQWKLVLQWHUYDOWKH
LQWHUYDOLVFRQVLVWHQWZLWKUHMHFWLQJWKHQXOOK\SRWKHVLVWKDWWKHPHDQVDUHWKHVDPH
7KHFRQILGHQFHLQWHUYDOLVGLUHFWO\UHODWHGWRDWHVWRIK\SRWKHVLVZLWKOHYHORIVLJQLILFDQFHDQGWKH
FRQFOXVLRQVUHDFKHGDUHLGHQWLFDO
,WLVRQO\QHFHVVDU\IRUWKHGLIIHUHQFHVWREHQRUPDOO\GLVWULEXWHGIRUWKHSDLUHGWWHVWWREHDSSURSULDWHDQG
UHOLDEOH
1RUPDO3UREDELOLW\3ORW
3UREDELOLW\
GLII
$YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW
6W'HY $6TXDUHG
1 39DOXH
7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHEHWZHHQWKHPHDQSDUNLQJWLPHVPG
+ P
G
+ P z
G
D
7KHWHVWVWDWLVWLFLV
G
W
V Q
G
$FFRUGLQJWRWKHQRUPDOSUREDELOLW\SORWVWKHDVVXPSWLRQRIQRUPDOLW\GRHVQRWDSSHDUWREHYLRODWHGVLQFH
WKHGDWDIDOODSSUR[LPDWHO\DORQJDVWUDLJKWOLQH
1RUPDO3UREDELOLW\3ORW
3UREDELOLW\
GLII
$YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW
6W'HY $6TXDUHG
1 39DOXH
Q
G Q
Q
d P d
G
dPGd
6LQFH]HURLVFRQWDLQHGZLWKLQWKLVLQWHUYDOZHDUHFRQILGHQWWKHUHLVQRVLJQLILFDQWGLIIHUHQFHEHWZHHQ
WKHWZREUDQGVRIWLUH
D G VG Q
FRQILGHQFHLQWHUYDO
V V
G W D
Q d P d G WD
G
G
Q
G Q
Q
d P d
G
dPGd
6LQFH]HURLVFRQWDLQHGZLWKLQWKLVLQWHUYDOZHDUHFRQILGHQWWKHUHLVQRVLJQLILFDQWLQGLFDWLRQWKDW
RQHGHVLJQODQJXDJHLVSUHIHUDEOH
E$FFRUGLQJWRWKHQRUPDOSUREDELOLW\SORWVWKHDVVXPSWLRQRIQRUPDOLW\GRHVQRWDSSHDUWREHYLRODWHG
VLQFHWKHGDWDIDOODSSUR[LPDWHO\DORQJDVWUDLJKWOLQH
1RUPDO3UREDELOLW\3ORW
3UREDELOLW\
GLII
$YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW
6W'HY $6TXDUHG
1 39DOXH
7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQEORRGFKROHVWHUROOHYHOPG
ZKHUHGL %HIRUH$IWHU
+ PG
+ P !
G
D
7KHWHVWVWDWLVWLFLV
G
W
V Q
G
5HMHFWWKHQXOOK\SRWKHVLVLIW! W
ZKHUH W
G
V
G
Q
W
6LQFH!UHMHFWWKHQXOODQGFRQFOXGHWKHGDWDVXSSRUWWKHFODLPWKDWWKHPHDQGLIIHUHQFH
LQFKROHVWHUROOHYHOVLVVLJQLILFDQWO\OHVVDIWHUIDWGLHWDQGDHURELFH[HUFLVHSURJUDPDWWKHOHYHORI
VLJQLILFDQFH
D7KHSDUDPHWHURILQWHUHVWLVWKHPHDQGLIIHUHQFHLQQDWXUDOYLEUDWLRQIUHTXHQFLHVPG
ZKHUHGL ILQLWHHOHPHQW(TXLYDOHQW3ODWH
+ P G
+ P z G
EFRQILGHQFHLQWHUYDO
V V
G W D
Q d P d G WD
G
G
Q
G Q
Q
d P d
G
dPGd
:LWKFRQILGHQFHZHEHOLHYHWKDWWKHPHDQGLIIHUHQFHEHWZHHQWKHQDWXUDOYLEUDWLRQIUHTXHQF\IURP
WKHHTXLYDOHQWSODWHPHWKRGDQGWKHQDWXUDOYLEUDWLRQIUHTXHQF\IURPWKHILQLWHHOHPHQWPHWKRGLVEHWZHHQ
DQGF\FOHV
7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQPHDQZHLJKWPG
ZKHUHG :HLJKW%HIRUH:HLJKW$IWHU
L
+ P
G
+ P !
G
D
7KHWHVWVWDWLVWLFLV
G
W
V Q
G
7KHSDUDPHWHURILQWHUHVWLVWKHPHDQGLIIHUHQFHLQLPSXULW\OHYHOP G
ZKHUHG 7HVW7HVW
L
+ P
G
+ P z
G
D
7KHWHVWVWDWLVWLFLV
G
W
V Q
G
7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQPHDQZHLJKWORVVP G
ZKHUHG %HIRUH$IWHU
L
+ P
G
+ P !
G
D
7KHWHVWVWDWLVWLFLV
G'
W
V Q
G
]D ]E V
Q G
Q
<HVWKHVDPSOHVL]HRILVDGHTXDWHIRUWKLVWHVW
6HFWLRQ
DI GI
I
EI HI
I
FI II
I
DI GI
I
EI HI
I
FI II
I
7KHSDUDPHWHUVRILQWHUHVWDUHWKHYDULDQFHVRIFRQFHQWUDWLRQ V V
+ V
V
+ V z V
D
7KHWHVWVWDWLVWLFLV
V
I
V
I
6LQFHGRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHUHLVLQVXIILFLHQWHYLGHQFHWR
LQGLFDWHWKHWZRSRSXODWLRQYDULDQFHVGLIIHUVLJQLILFDQWO\DWWKHOHYHORIVLJQLILFDQFH
7KHSDUDPHWHUVRILQWHUHVWDUHWKHHWFKUDWHYDULDQFHV V V
+ V
V
+ V z V
D
7KHWHVWVWDWLVWLFLV
V
I
V
5HMHFWWKHQXOOK\SRWKHVLVLII I
RUI ! I
Q
Q
V
V
I
6LQFHGRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHHWFKUDWHYDULDQFHVGRQRW
GLIIHUDWWKHOHYHORIVLJQLILFDQFH
VDPSOHVRIVL]HZRXOGQRWEHDGHTXDWH
DFRQILGHQFHLQWHUYDOIRUWKHUDWLRRIYDULDQFHV
V
V V
I D d
d ID
Q Q
Q Q
V V V
V
d d
V
V
V
6LQFHWKHLQWHUYDOFRQWDLQVZHDUHFRQILGHQWWKHYDULDQFHVIRUWKHURGGLDPHWHUVDUHQRWVLJQLILFDQWO\
GLIIHUHQW
EFRQILGHQFHLQWHUYDO
V
V V
I D d
d ID
Q Q
Q Q
V V V
V
d d
V
V
V
:HDUHFRQILGHQWWKHYDULDQFHVIRUWKHURGGLDPHWHUVDUHQRWVLJQLILFDQWO\GLIIHUHQW7KH
FRQILGHQFHLQWHUYDOLVZLGHUWKDQWKHFRQILGHQFHLQWHUYDO
FORZHUVLGHGFRQILGHQFHLQWHUYDO
V
V
I D d
Q Q
V
V
V
d
V
V
d
V
:LWKFRQILGHQFHZHEHOLHYHWKHYDULDQFHVIRUWKHURGGLDPHWHUVDUHQRWVLJQLILFDQWO\GLIIHUHQWIURP
HDFKRWKHU
DFRQILGHQFHLQWHUYDOIRUWKHUDWLRRIYDULDQFHV
V
V V
I D
d d ID
Q Q Q Q
V V V
V
d d
V
V
d d
V
6LQFHWKHLQWHUYDOFRQWDLQVZHDUHFRQILGHQWWKHFDWDO\VWYDULDQFHVDUHQRWVLJQLILFDQWO\GLIIHUHQW
EFRQILGHQFHLQWHUYDO
V
V V
I D d
d ID
Q Q
Q Q
V V V
V
d d
V
V
V
:HDUHFRQILGHQWWKHFDWDO\VWYDULDQFHVDUHQRWVLJQLILFDQWO\GLIIHUHQW7KHFRQILGHQFHLQWHUYDO
LVZLGHUWKDQWKHFRQILGHQFHLQWHUYDO
FORZHUVLGHGFRQILGHQFHLQWHUYDO
V
V
I D d
Q Q
V V
V
d
V
V
d
V
:LWKFRQILGHQFHZHEHOLHYHWKHFDWDO\VWYDULDQFHVDUHQRWVLJQLILFDQWO\GLIIHUHQWIURPHDFKRWKHU
7KHSDUDPHWHUVRILQWHUHVWDUHWKHWKLFNQHVVYDULDQFHV V V
+ V
V
+ V z V
D
7KHWHVWVWDWLVWLFLV
V
I
V
5HMHFWWKHQXOOK\SRWKHVLVLII I
ZKHUH I
RUI ! I
ZKHUH I
Q
Q
V
V
I
6LQFHGRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHWKLFNQHVVYDULDQFHVGRQRW
VLJQLILFDQWO\GLIIHUDWWKHOHYHORIVLJQLILFDQFH
7KHSDUDPHWHUVRILQWHUHVWDUHWKHVWUHQJWKYDULDQFHV V V
+ V
V
+ V z V
D
7KHWHVWVWDWLVWLFLV
V
I
V
I
6LQFHGRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHSRSXODWLRQYDULDQFHVGRQRW
VLJQLILFDQWO\GLIIHUDWWKHOHYHORIVLJQLILFDQFH
7KHSDUDPHWHUVRILQWHUHVWDUHWKHPHOWLQJYDULDQFHV V V
+ V
V
+ V z V
D
7KHWHVWVWDWLVWLFLV
V
I
V
5HMHFWWKHQXOOK\SRWKHVLVLII I
ZKHUH I
RUI ! I
ZKHUH
I
Q
Q
V
V
I
6LQFHGRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHSRSXODWLRQYDULDQFHVGRQRW
VLJQLILFDQWO\GLIIHUDWWKHOHYHORIVLJQLILFDQFH
7KHSDUDPHWHUVRILQWHUHVWDUHWKHWKLFNQHVVYDULDQFHV V V
+ V
V
+ V z V
D
7KHWHVWVWDWLVWLFLV
V
I
V
I
6LQFHUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHWKLFNQHVVYDULDQFHVDUHQRWHTXDODWWKH
OHYHORIVLJQLILFDQFH
7KHSDUDPHWHUVRILQWHUHVWDUHWKHWLPHWRDVVHPEOHVWDQGDUGGHYLDWLRQV V V
+ V
V
+ V z V
D
7KHWHVWVWDWLVWLFLV
V
I
V
5HMHFWWKHQXOOK\SRWKHVLVLII I D Q
Q
RUI ! ID Q
Q
Q
Q V V
I
6LQFHGRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHUHLVQRHYLGHQFHWRVXSSRUW
WKHFODLPWKDWPHQDQGZRPHQGLIIHUVLJQLILFDQWO\LQUHSHDWDELOLW\IRUWKLVDVVHPEO\WDVNDWWKHOHYHORI
VLJQLILFDQFH
FRQILGHQFHLQWHUYDO
V
V V
I D d
d
Q Q
ID Q
Q
V V V
V
d
d
V
V
d d
V
6LQFHWKHYDOXHLVFRQWDLQHGZLWKLQWKLVLQWHUYDOZHDUHFRQILGHQWWKHUHLVQRVLJQLILFDQWGLIIHUHQFH
EHWZHHQWKHUHSHDWDELOLW\RIPHDQDQGZRPHQIRUWKHDVVHPEO\WDVN
GLIIHUHQFHZLWKKLJKSUREDELOLW\
6HFWLRQ
+ S S
+ S z S
D
7HVWVWDWLVWLFLV
S S
]
ZKHUH
S S
Q Q
[ [
S
Q Q
5HMHFWWKHQXOOK\SRWKHVLVLI] ]
ZKHUH ]
RU]! ]
ZKHUH ]
Q
Q
[
[
S S S
]
6LQFHGRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKDW\HVWKHHYLGHQFHLQGLFDWHV
WKDWWKHUHLVQRWDVLJQLILFDQWGLIIHUHQFHLQWKHIUDFWLRQRIGHIHFWLYHSDUWVSURGXFHGE\WKHWZRPDFKLQHVDW
WKHOHYHORIVLJQLILFDQFH
D3RZHU E
] ST S S ] ST S S
D Q
Q
D
Q Q
E ) )
V S S V
S S
S T
V
S S
E ) )
) )
3RZHU
S S T T ]
]
E ST S T
D
E Q
S
S
Q
] ST S S ] S S
D D ST
DE ) Q Q Q Q
)
V S S V S S
S T
V S S
E
) )
) )
3RZHU
]D S S T T ]
E ST ST
E Q
S
S
Q
WKHSDUDPHWHUVRILQWHUHVWDUHWKHSURSRUWLRQRIUHVLGHQWVLQIDYRURIDQLQFUHDVHSDQGS
+ S S
+ S z S
D
7HVWVWDWLVWLFLV
S S
] ZKHUH
S S
Q Q
[ [
S
Q Q
5HMHFWWKHQXOOK\SRWKHVLVLI] ]
ZKHUH ]
RU]! ]
ZKHUH ]
Q
Q
[
[
S S S
]
6LQFH!UHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKDW\HVWKHGDWDGRLQGLFDWHDVLJQLILFDQW
GLIIHUHQFHLQWKHSURSRUWLRQVRIVXSSRUWIRULQFUHDVLQJWKHVSHHGOLPLWEHWZHHQUHVLGHQWVRIWKHWZR
FRXQWLHVDWWKHOHYHORIVLJQLILFDQFH
FRQILGHQFHLQWHUYDORQWKHGLIIHUHQFH
S S S S S S S S
S S ]D
d S S d S S ]D
Q Q Q Q
d S S d
6LQFHWKLVLQWHUYDOFRQWDLQVWKHYDOXH]HURZHDUHFRQILGHQWWKHUHLVQRVLJQLILFDQWGLIIHUHQFHLQWKH
IUDFWLRQRIGHIHFWLYHSDUWVSURGXFHGE\WKHWZRPDFKLQHVDQGWKDWWKHGLIIHUHQFHLQSURSRUWLRQVLVEHWZHHQ
DQG
FRQILGHQFHLQWHUYDORQWKHGLIIHUHQFH
S S
S
S
S S
S S
S ]
d S S d S S ]D
S D
Q Q Q Q
d S S d
6LQFHWKLVLQWHUYDOGRHVQRWFRQWDLQWKHYDOXH]HURZHDUHFRQILGHQWWKHUHLVDVLJQLILFDQWGLIIHUHQFHLQ
WKHSURSRUWLRQVRIVXSSRUWIRULQFUHDVLQJWKHVSHHGOLPLWEHWZHHQUHVLGHQWVRIWKHWZRFRXQWLHVDQGWKDWWKH
GLIIHUHQFHLQSURSRUWLRQVLVEHWZHHQDQG
6XSSOHPHQWDO([HUFLVHV
D7KHDVVXPSWLRQRIQRUPDOLW\LVQHFHVVDU\WRWHVWWKHFODLP$FFRUGLQJWRWKHQRUPDOSUREDELOLW\SORWVWKH
DVVXPSWLRQRIQRUPDOLW\GRHVQRWDSSHDUWREHYLRODWHG7KLVLVHYLGHQWIURPWKHIDFWWKDWWKHGDWDDSSHDU WRIDOO
DORQJDVWUDLJKWOLQH
3UREDELOLW\
3UREDELOLW\
YHQGRU YHQGRU
$YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW $YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW
6W'HY $6TXDUHG 6W'HY $6TXDUHG
1 39DOXH 1 39DOXH
EWKHSDUDPHWHUVRILQWHUHVWDUHWKHYDULDQFHVRIUHVLVWDQFHRISURGXFWV V V
+ V
V
+ V z V
I
V
5HMHFW+LII I ZKHUH I
I
I
D1RUPDOLW\DQGHTXDOLW\RIYDULDQFHVDSSHDUVWREHUHDVRQDEOHVHHQRUPDOSUREDELOLW\SORW7KHGDWDDSSHDU
WRIDOODORQJDVWUDLJKWOLQHDQGWKHVORSHVDSSHDUWREHWKHVDPH
3UREDELOLW\
3UREDELOLW\
KRXU KRXU
$YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW $YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW
6W'HY $6TXDUHG 6W'HY $6TXDUHG
1 39DOXH 1 39DOXH
E [
[
V
V
Q
Q
FRQILGHQFHLQWHUYDO WD Q
Q
W
ZKHUH W
V
S
[ [ WD Q Q VS Q
Q
d P P d [ [
WD Q
Q VS
Q
Q
d P P d
F<HVZHDUHFRQILGHQWWKHUHVXOWVIURPWKHILUVWWHVWFRQGLWLRQH[FHHGWKHUHVXOWVRIWKHVHFRQGWHVW
FRQGLWLRQE\EHWZHHQDQGu 3$
DFRQILGHQFHLQWHUYDOIRU V V
V
FRQILGHQFHLQWHUYDORQ
V
I I
I
V
V
V
I
d
d
I
V
V
V
V
V
V
d d
V
E6LQFHWKHYDOXHLVFRQWDLQHGZLWKLQWKLVLQWHUYDOZLWKFRQILGHQFHWKHSRSXODWLRQYDULDQFHVGRQRW
GLIIHUVLJQLILFDQWO\DQGFDQEHDVVXPHGWREHHTXDO
D7KHSDUDPHWHURILQWHUHVWLVWKHPHDQZHLJKWORVVP G
ZKHUHG ,QLWLDO:HLJKW)LQDO:HLJKW
L
+ P G
+ P ! G
V Q
G
Q
W
6LQFHUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHDYHUDJHZHLJKWORVVLVVLJQLILFDQWO\
JUHDWHUWKDQDWD
E+ P G
+ P ! G
7KHWHVWVWDWLVWLFLV
G'
W
V Q
G
Q
W
6LQFHGRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHDYHUDJHZHLJKWORVVLVQRW
VLJQLILFDQWO\JUHDWHUWKDQDWD
F+ P G
+ P !
G
V Q
G
Q
W
6LQFHGRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHDYHUDJHZHLJKWORVVLVQRW
VLJQLILFDQWO\JUHDWHUWKDQDWD
8VLQJD
+ P
G
+ P !
G
V Q
G
Q
W
6LQFHGRQRWUHMHFWWKHQXOOK\SRWKHVLVDQGFRQFOXGHWKHDYHUDJHZHLJKWORVVLVQRW
VLJQLILFDQWO\JUHDWHUWKDQDWD
V V
V
V
[
[ ]D
Q
Q
d P P d [ [
]D
Q
Q
DFRQILGHQFHLQWHUYDO ]D
d P P d
<HVZLWKFRQILGHQFHWKHGDWDLQGLFDWHWKDWWKHPHDQEUHDNLQJVWUHQJWKRIWKH\DUQRIPDQXIDFWXUHU
H[FHHGVWKDWRIPDQXIDFWXUHUE\EHWZHHQDQG
EFRQILGHQFHLQWHUYDO ]D
<HVZHDUHFRQILGHQWPDQXIDFWXUHUSURGXFHV\DUQZLWKKLJKHUEUHDNLQJVWUHQJWKE\EHWZHHQ
DQGSVL
F7KHUHVXOWVRISDUWVDDQGEDUHGLIIHUHQWEHFDXVHWKHFRQILGHQFHOHYHORU]YDOXHXVHGLVGLIIHUHQW
:KLFKRQHLVXVHGGHSHQGVXSRQWKHOHYHORIFRQILGHQFHFRQVLGHUHGDFFHSWDEOH
Q #
]D
V
V
#
ED ]D
Q #
]D
V
V
#
Q
(
F$VWKHFRQILGHQFHOHYHOLQFUHDVHVVDPSOHVL]HZLOODOVRLQFUHDVH
GD ]D
Q #
]D
V
V
#
HD ]D
Q #
]D
V
V
#
Q
(
I$VWKHHUURUGHFUHDVHVWKHUHTXLUHGVDPSOHVL]HLQFUHDVHV
+ S S
S S
Q Q
[
S
9DFFLQH
Q
]
6LQFH!UHMHFW+ DQGFRQFOXGHWKHSURSRUWLRQRIFKLOGUHQZKRFRQWUDFWHGSROLRLV
VLJQLILFDQWO\GLIIHUHQWDWD
ED
5HMHFW+ LI] ]D RU] ! ]D ZKHUH ]D
]
6LQFH!UHMHFW+ DQGFRQFOXGHWKHSURSRUWLRQRIFKLOGUHQZKRFRQWUDFWHGSROLRLVGLIIHUHQWDW
D
F7KHFRQFOXVLRQVDUHWKHVDPHVLQFH] LVVRODUJHLWH[FHHGV]D LQERWKFDVHV
[ [
S
S
Q Q
S S S S
S
S r ]D
Q
Q
D ]D
]
r
d S S d
6LQFH]HURLVFRQWDLQHGLQWKLVLQWHUYDOZHDUHFRQILGHQWWKHUHLVQRVLJQLILFDQWGLIIHUHQFHEHWZHHQWKH
SURSRUWLRQRIXQOLVWHGQXPEHUVLQWKHWZRFLWLHV
E ]D ]
$JDLQWKHSURSRUWLRQRIXQOLVWHGQXPEHUVLQWKHWZRFLWLHVGRQRWGLIIHU
[
F S
Q
[
S
Q
FRQILGHQFHLQWHUYDO
r
d S S d
FRQILGHQFHLQWHUYDO
r
d S S d
,QFUHDVLQJWKHVDPSOHVL]HGHFUHDVHGWKHHUURUDQGZLGWKRIWKHFRQILGHQFHLQWHUYDOVEXWGRHVQRWFKDQJH
WKHFRQFOXVLRQVGUDZQ7KHFRQFOXVLRQUHPDLQVWKDWWKHUHLVQRVLJQLILFDQWGLIIHUHQFH
D7KHSDUDPHWHUVRILQWHUHVWDUHWKHSURSRUWLRQVRIWKRVHUHVLGHQWVZKRZHDUDVHDWEHOWUHJXODUO\SS
+S S
+SzS
D
7KHWHVWVWDWLVWLFLV
S S
]
S S
Q Q
[
S
Q
]
6LQFHGRQRWUHMHFW+DQGFRQFOXGHWKDWHYLGHQFHLVLQVXIILFLHQWWRFODLPWKDW
WKHUHLVDGLIIHUHQFHLQVHDWEHOWXVDJHD
ED
5HMHFW+LI] ]D RU]! ]D ZKHUH ]
]
6LQFHGRQRWUHMHFW+DQGFRQFOXGHWKDWHYLGHQFHLVLQVXIILFLHQWWRFODLPWKDWWKHUH
LVDGLIIHUHQFHLQVHDWEHOWXVDJHD
F7KHFRQFOXVLRQVDUHWKHVDPHEXWZLWKGLIIHUHQWOHYHOVRIFRQILGHQFH
GQ Q
D
5HMHFW+LI] ]D RU]! ]D ZKHUH ]
]
6LQFHGRQRWUHMHFW+DQGFRQFOXGHWKDWHYLGHQFHLVLQVXIILFLHQWWRFODLPWKDWWKHUHLV
DGLIIHUHQFHLQVHDWEHOWXVDJHD
D
5HMHFW+LI] ]D RU]! ]D ZKHUH ]
]
6LQFHGRQRWUHMHFW+DQGFRQFOXGHWKDWHYLGHQFHLVLQVXIILFLHQWWRFODLPWKDWWKHUH
LVDGLIIHUHQFHLQVHDWEHOWXVDJHD
$VWKHVDPSOHVL]HLQFUHDVHGWKHWHVWVWDWLVWLFKDVDOVRLQFUHDVHGVLQFHWKHGHQRPLQDWRURI]GHFUHDVHG
+RZHYHUWKHGHFUHDVHRUVDPSOHVL]HLQFUHDVHZDVQRWHQRXJKWRFKDQJHRXUFRQFOXVLRQ
D<HVWKHUHFRXOGEHVRPHELDVLQWKHUHVXOWVGXHWRWKHWHOHSKRQHVXUYH\
E,ILWFRXOGEHVKRZQWKDWWKHVHSRSXODWLRQVDUHVLPLODUWRWKHUHVSRQGHQWVWKHUHVXOWVPD\EHH[WHQGHG
D7KHSDUDPHWHUVRILQWHUHVWDUHWKHSURSRUWLRQRIOHQVHVWKDWDUHXQVDWLVIDFWRU\DIWHUWXPEOHSROLVKLQJS
S
+ S S
[ QXPEHURIGHIHFWLYHOHQVHV
[ [ [
S S
Q Q Q
[
S
Q
]
6LQFHUHMHFW+ DQGFRQFOXGHWKHUHLVVWURQJHYLGHQFHWRVXSSRUWWKHFODLPWKDWWKHWZR
SROLVKLQJIOXLGVDUHGLIIHUHQW
E7KHFRQFOXVLRQVDUHWKHVDPHZKHWKHUZHDQDO\]HWKHGDWDXVLQJWKHSURSRUWLRQXQVDWLVIDFWRU\RU
SURSRUWLRQVDWLVIDFWRU\7KHSURSRUWLRQRIGHIHFWLYHVDUHGLIIHUHQWIRUWKHWZRIOXLGV
Q
Q
7KHSDUDPHWHURILQWHUHVWLV P P
+ P P + P P
o
+ P ! P + P P !
/HWQ VL]HRIVDPSOH
; HVWLPDWHIRUP
/HWQ VL]HRIVDPSOH
; HVWLPDWHIRUP
; ; LVDQHVWLPDWHIRU P P
V V
7KHYDULDQFHLV9 ; ; 9 ; 9 ;
Q Q
7KHWHVWVWDWLVWLFIRUWKLVK\SRWKHVLVZRXOGWKHQEH
; ;
=
V V
Q Q
:HZRXOGUHMHFWWKHQXOOK\SRWKHVLVLI] !]D IRUDJLYHQOHYHORIVLJQLILFDQFH
7KH3YDOXHZRXOGEH3=t]
+ P
P
+ P z P
Q Q Q
E
D
$VVXPHQRUPDOGLVWULEXWLRQDQG V V V
P P V
_ P P _ V
G
V V
)URP&KDUW9HQ
Q
Q
Q Q
D1R
1RUPDO 3UREDELOLW\ 3ORW 1RUPDO 3UREDELOLW\ 3ORW
3UREDELOLW\
3UREDELOLW\
PHUFHGHV YRONVZDJ
$YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW $YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW
E7KHQRUPDOSUREDELOLW\SORWVLQGLFDWHWKDWWKHGDWDIROORZQRUPDOGLVWULEXWLRQVVLQFHWKHGDWDDSSHDUWRIDOO
DORQJDVWUDLJKWOLQH7KHSORWVDOVRLQGLFDWHWKDWWKHYDULDQFHVFRXOGEHHTXDOVLQFHWKHVORSHVDSSHDUWREH WKHVDPH
1RUPDO 3UREDELOLW\ 3ORW
1RUPDO 3UREDELOLW\ 3ORW
3UREDELOLW\
3UREDELOLW\
PHUFHGHV YRONVZDJ
$YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW $YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW
6W'HY $6TXDUHG 6W'HY $6TXDUHG
1 39DOXH 1 39DOXH
F%\FRUUHFWLQJWKHGDWDSRLQWVLWLVPRUHDSSDUHQWWKHGDWDIROORZQRUPDOGLVWULEXWLRQV$SSDUHQWO\RQH
REVHUYDWLRQFDQFDXVHDQDQDO\VWWRUHMHFWWKHQRUPDOLW\DVVXPSWLRQ
GFRQILGHQFHLQWHUYDORQWKHUDWLRRIWKHYDULDQFHV V V
9
0
V
9
I
V
I
I
0
V
V
V
9
I
9
9
I
V V V
0 0 0
V
9
V
0
V
9
V
0
6LQFHWKHLQWHUYDOFRYHUVDUDQJHODUJHUWKDQDQGQRWLQFOXGLQJZHDUHFRQILGHQWWKDWWKHUHLV
HYLGHQFHWRVXSSRUWWKHFODLPWKDWWKHYDULDELOLW\LQPLOHDJHSHUIRUPDQFHLVJUHDWHUIRUD9RONVZDJHQWKDQ
IRUD0HUFHGHV
WKHSDUDPHWHUVRILQWHUHVWDUHWKHYDULDQFHVLQPLOHDJHSHUIRUPDQFH V V
+ V
V
:KHUH9RONVZDJHQLVUHSUHVHQWHGE\YDULDQFH0HUFHGHVE\YDULDQFH
+ V z V
I
V
5HMHFW+LII I ZKHUH I
I
RUI! I
ZKHUH I
V V
Q Q
I
6LQFH!UHMHFW+DQGFRQFOXGHWKDWWKHUHLVDVLJQLILFDQWGLIIHUHQFHEHWZHHQ9RONVZDJHQ
DQG0HUFHGHVLQWHUPVRIPLOHDJHYDULDELOLW\6DPHFRQFOXVLRQVUHDFKHGLQG
]D
Q V V
(
Q
1HHGQ WRUHMHFWWKHQXOOK\SRWKHVLVWKDWWKHWZRDJHQWVGLIIHUE\ZLWKSUREDELOLW\RIDWOHDVW
E7KHRULJLQDOVL]HRIQ LQ([HUFLVHZDVQRWDSSURSULDWHWRGHWHFWWKHGLIIHUHQFHVLQFHLWLVQHFHVVDU\
IRUDVDPSOHVL]HRIWRUHMHFWWKHQXOOK\SRWKHVLVWKDWWKHWZRDJHQWVGLIIHUE\ZLWKSUREDELOLW\RIDW OHDVW
D8QGHUO\LQJGLVWULEXWLRQVDSSHDUWREHQRUPDOVLQFHWKHGDWDIDOODORQJDVWUDLJKWOLQHRQWKHQRUPDO
SUREDELOLW\SORWV
1RUPDO 3UREDELOLW\ 3ORW 1RUPDO 3UREDELOLW\ 3ORW
3UREDELOLW\
3UREDELOLW\
ULGJHFUH YDOOH\YL
$YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW $YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW
6W'HY $6TXDUHG 6W'HY $6TXDUHG
1 39DOXH 1 39DOXH
$WHVWRIK\SRWKHVLVFDQEHFRQGXFWHGWRWHVWIRUHTXDOLW\RIYDULDQFHV
WKHSDUDPHWHUVRILQWHUHVWDUHWKHYDULDQFHVRIWKHILOOYROXPHV V V
+ V
V
+ V z V
I
V
5HMHFW+LII I ZKHUH I
I
RUI! I
ZKHUH I
V V
Q Q
I
6LQFHGRQRWUHMHFW+DQGFRQFOXGHWKHYDULDQFHVDUHQRWVLJQLILFDQWO\GLIIHUHQWDW
D
E7KHSDUDPHWHURILQWHUHVWLVWKHGLIIHUHQFHLQPHDQYROXPHV P P
+ P P
RU P
P
V
Q Q
S
V
V
Q
Q
W
6LQFHUHMHFW+DQGFRQFOXGHWKHUHLVDVLJQLILFDQWGLIIHUHQFHEHWZHHQPHDQILOO
YROXPHV
]
Q D V V
(
Q
8VHQ
6LQFHLWLVQHFHVVDU\WKDWWKHVDPSOHVL]HEHDWOHDVWWRGHWHFWWKDWWKHWUXHGLIIHUHQFHLVDVPXFKDVIOXLG
RXQFHVWKHVDPSOHVL]HVRIIURPHDFKYLQH\DUGGRSURYLGHJRRGGHWHFWLRQFDSDELOLW\ZKHQD
D7KHDVVXPSWLRQRIQRUPDOLW\DSSHDUVWREHYDOLG7KLVLVHYLGHQWE\WKHIDFWWKDWWKHGDWDOLHDORQJD
VWUDLJKWOLQHLQWKHQRUPDOSUREDELOLW\SORW
1RUPDO 3UREDELOLW\ 3ORW
3UREDELOLW\
GLII
$YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW
6W'HY $6TXDUHG
1 39DOXH
E7KHSDUDPHWHURILQWHUHVWLVWKHPHDQGLIIHUHQFHLQWLSKDUGQHVVPG
+ P G
+ P G z
1RVLJQLILFDQFHOHYHOFDOFXODWH3YDOXH
7KHWHVWVWDWLVWLFLV
G
W
VG Q
5HMHFW+LIWKH3YDOXHLVVLJQLILFDQWO\VPDOO
G
V
G
Q
W
3YDOXH 37 37! 3YDOXH
3YDOXH
6LQFHWKH3YDOXHLVODUJHUWKDQDQ\DFFHSWDEOHOHYHORIVLJQLILFDQFHGRQRWUHMHFW+DQGFRQFOXGHWKHUH
LVQRGLIIHUHQFHLQPHDQWLSKDUGQHVV
FE
PG
G
V G
)URP&KDUW9,ZLWKD Q FRXSRQV
D$FFRUGLQJWRWKHQRUPDOSUREDELOLW\SORWWKHGDWDDSSHDUWRIROORZDQRUPDOGLVWULEXWLRQ7KLVLVHYLGHQW
E\WKHIDFWWKDWWKHGDWDIDOODORQJDVWUDLJKWOLQH
1RUPDO 3UREDELOLW\ 3ORW
3UREDELOLW\
GLII
$YHUDJH $QGHUVRQ'DUOLQJ 1RUPDOLW\ 7HVW
6W'HY $6TXDUHG
1 39DOXH
E7KHSDUDPHWHURILQWHUHVWLVWKHPHDQGLIIHUHQFHLQGHSWKXVLQJWKHWZRJDXJHVPG
+ P G
+ P G z
1RVLJQLILFDQFHOHYHOFDOFXODWHSYDOXH
7KHWHVWVWDWLVWLFLV
G
W
VG Q
5HMHFW+LIWKH3YDOXHLVVLJQLILFDQWO\VPDOO
G
V
G
Q
W
3YDOXH 37! 3YDOXH
3YDOXH
6LQFHWKH3YDOXHLVODUJHUWKDQDQ\DFFHSWDEOHOHYHORIVLJQLILFDQFHGRQRWUHMHFW+DQGFRQFOXGHWKHUH
LVQRGLIIHUHQFHLQPHDQGHSWKPHDVXUHPHQWVIRUWKHWZRJDXJHV
FE
P G
G
V G
)URP&KDUW9,ZLWKD DQGE ZHILQGQ
0LQG([SDQGLQJ([HUFLVHV
V V V
EH 9 ; 8VLQJVVDQGVDVHVWLPDWHVIRUVVDQGVUHVSHFWLYHO\
Q Q Q
D$DFRQILGHQFHLQWHUYDORQPLVWKHQ
V V V V V V
; = D d P d ; =D
Q Q Q Q Q Q
E$FRQILGHQFHLQWHUYDOIRUPLV
d P d
d P d
d P d
V V
7KH 9 ; ; DQGVXSSRVHWKLVLVWRHTXDODFRQVWDQWN7KHQZHDUHWRPLQLPL]H
Q Q
V V
&Q & Q VXEMHFWWR N 8VLQJD/DJUDQJHPXOWLSOLHUZHPLQLPL]HE\VHWWLQJWKHSDUWLDO
Q Q
V V
GHULYDWLYHVRI I Q Q O &Q & Q O N ZLWKUHVSHFWWRQQDQGOHTXDOWR]HUR
Q Q
7KHVHHTXDWLRQVDUH
w OV
I Q Q O &
wQ Q
w OV
I Q Q O &
wQ Q
w V V
I Q Q O N
wO Q Q
V V
8SRQDGGLQJHTXDWLRQVDQGZHREWDLQ & & O
Q Q
& &
6XEVWLWXWLQJIURPHTXDWLRQHQDEOHVXVWRVROYHIRUOWRREWDLQ O
N
7KHQHTXDWLRQVDQGDUHVROYHGIRUQDQGQWRREWDLQ
V & & V & &
Q Q
N& N&
,WFDQEHYHULILHGWKDWWKLVLVDPLQLPXPDQGWKDWZLWKWKHVHFKRLFHVIRUQDQGQ
V V
9 ; ;
Q Q
V V
7KHUHIRUHZHDUHWRPLQLPL]H VXEMHFWWRQ Q 1
Q Q
V V
)URPWKHFRQVWUDLQWQ 1QDQGZHDUHWRPLQLPL]H I Q 7DNLQJWKHGHULYDWLYHRI
Q 1 Q
V V
IQZLWKUHVSHFWWRQDQGVHWWLQJLWHTXDOWR]HURUHVXOWVLQWKHHTXDWLRQ
Q 1 Q
V 1 V 1
8SRQVROYLQJIRUQZHREWDLQ Q DQG Q
V V V V
$OVRLWFDQEHYHULILHGWKDWWKHVROXWLRQPLQLPL]HVIQ
D D 3 = ! ] H RU = ] D H ZKHUH=KDVDVWDQGDUGQRUPDOGLVWULEXWLRQ
7KHQ D 3 = ! ] H 3 = ]D H H D H D
E E 3 ] D H = ] H _ P P G
[P
E 3 ] D H ] H _ P P G
V Q
3 ] D H G = ]H G
V Q V Q
) ] H G ) ] G
DH
V Q V Q
7KHUHTXHVWHGUHVXOWFDQEHREWDLQHGIURPGDWDLQZKLFKWKHSDLUVDUHYHU\GLIIHUHQW([DPSOH
SDLU
VDPSOH
VDPSOH
[ [
V V V SRROHG
7ZRVDPSOHWWHVW W 3YDOXH
[G VG
3DLUHGWWHVW W
3YDOXH|
+ V V
+V z V
3 F D Q F V z V
Q 6
E D Q _ V
V
V V
3 F D Q F V
Q 6
V D Q _ V
V V
Q 6
ZKHUH KDVDFKLVTXDUHGLVWULEXWLRQZLWKQGHJUHHVRIIUHHGRP
V
+ V V
+V z V
6 V
E 3 I I _ G z
D Q Q 6 D Q Q
V
V V
6 V V
3 I I _ G
V D Q Q
6 V D Q Q
V V
6 V
ZKHUH KDVDQ)GLVWULEXWLRQZLWKQDQGQGHJUHHVRIIUHHGRP
6 V