Detail
for Portfolios Formed on Market Beta
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| Monthly Returns: |
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July 1963 - February 2024 |
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| Annual Returns: |
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1964 - 2023 |
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| Portfolios: |
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Market Beta
quintiles; deciles. |
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| Construction: |
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The portfolios are formed on univariate market beta (β) at the end of each June using
NYSE breakpoints. β for June of year t is estimated using the preceding five years
(two minimum) of past monthly returns. |
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| Stocks: |
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All NYSE, AMEX, and NASDAQ stocks for which we have market equity data for June of t and
good returns for the preceding 60 months (24 months minimum). |
