portcap_m: Value-weighted returns for size portfolios

In yukai-yang/FE: Data Sets and Functions for the Course "Financial Econometrics"

Description

Value-weighted returns for size portfolios based on stocks traded at the NYSE and AMEX.

Usage

portcap_m

Format

A tibble with 942 rows and 21 variables:

Details

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.

yukai-yang/FE documentation built on May 29, 2019, 12:19 p.m.