Returns of Size-based Portfolios

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Description

monthly observations from 1959–02 to 1993–11

number of observations : 418

Usage

1

Format

A time serie containing :

r1

monthly return on portfolio 1 (small firms)

r2

monthly return on portfolio 2

r3

monthly return on portfolio 3

r4

monthly return on portfolio 4

r5

monthly return on portfolio 5

r6

monthly return on portfolio 6

r7

monthly return on portfolio 7

r8

monthly return on portfolio 8

r9

monthly return on portfolio 9

r10

monthly return on portfolio 10 (large firms)

rf

risk free rate (return on 3-month T-bill)

cons

real per capita consumption growth based on total US personal consumption expenditures (nondurables and services)

Source

Center for research in security prices.

References

Verbeek, Marno (2004) A Guide to Modern Econometrics, John Wiley and Sons, chapter 5.

See Also

Index.Source, Index.Economics, Index.Econometrics, Index.Observations,

Index.Time.Series

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