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Value-weighted returns for 10 size decile portfolios, 10 book-to-market decile portfolios as well as 100 size/book-to-market (ME-BE/ME) portfolios based on stocks traded at the NYSE and AMEX.
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A tibble with 942 rows and 124 variables:
The portfolios are reconstructed every June.
The 100 ME-BE/ME portfolios are constructed based on the intersections of 10 size deciles 10 BE/ME deciles.
Moreover, it includes the value-weighted return on all NYSE, AMEX, and NASDAQ stocks (from CRSP) as a proxy for the market as well as the one-month Treasury bill rate.
Note that all returns are measured in percent!
942 monthly observations, 07/1926-12/2004.
year, year in integers.
month, month in integers
Market, value-weighted return on all NYSE, AMEX, and NASDAQ stocks (from CRSP) as a proxy for the market return.
Tbill, one-month Treasury bill rate.
MEx, portfolio returns for the x_th size decile.
MEBEx, portfolio returns for the x_th book-to-market decile.
Rx(x)y(y), portfolio returns for the x(x)/y(y) size/book-to-market percentile.
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