Value-weighted returns for size portfolios based on stocks traded at the NYSE and AMEX.
A tibble with 942 rows and 21 variables:
The portfolios are reconstructed every June based on market capitalization (cap). The data set contains the returns of portfolios associated with the low 30
Moreover, it includes the value-weighted return on all NYSE, AMEX, and NASDAQ stocks (from CRSP) as a proxy for the market return as well as the one-month Treasury bill rate.
Note that all returns are measured in percent!
942 monthly observations, spanning 07/1926-12/2004.
Date, dates in the format "yyyymm".
Lo_30, portfolio returns for low 30%.
Mid_40, portfolio returns for mid 40%.
Hi_30, portfolio returns for top 30%.
Lo_20, portfolio returns for low 20%.
Hi_20, portfolio returns for top 20%.
Lo_10, portfolio returns for low 10%.
Hi_10, portfolio returns for top 10%.
Xyy.yy, portfolio returns for yy-yy%.
Rf, risk-free one-month Treasury bill returns.
Market, the value-weighted return on all NYSE, AMEX, and NASDAQ stocks (from CRSP) as a proxy for the market return.
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