portfolio_m: Value-weighted returns for portfolios
In yukai-yang/FE: Data Sets and Functions for the Course "Financial Econometrics"

Description Usage Format Details

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.

1	portfolio_m

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.