portcap_m: Value-weighted returns for size portfolios

Description Usage Format Details

Description

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

Usage

1

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.


yukai-yang/FE documentation built on Dec. 14, 2017, 3:12 p.m.