Monthly data on ten size-based portfolios from the Center for Research in Security Prices (CRSP) database from February 1959 to November 1993

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Description

A xts object of monthly data on ten size-based portfolios from the Center for Research in Security Prices (CRSP) database from February 1959 to November 1993. That is, portfolio 1 contains the monthly returns on the smallest 10 percent of firms (by market capitalization) listed on the New York Stock Exchange, and portfolio 10 contains the returns on the largest 10 percent of firms. The risk-free asset is the monthly return on 3-month U.S. T-bills, and real consumption is measured by total U.S. personal consumption expenditures on nondurables and services.

Usage

1

Format

A xts object on Feb 1959/Nov 1993 containing:

CONS

a numeric vector

R1

a numeric vector

R2

a numeric vector

R3

a numeric vector

R4

a numeric vector

R5

a numeric vector

R6

a numeric vector

R7

a numeric vector

R8

a numeric vector

R9

a numeric vector

R10

a numeric vector

RF

a numeric vector

Indexed by objects of class: [yearmon] TZ: UTC

Source

S+ FinMetrics

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