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Detail for Portfolios Formed on Market Beta

Monthly Returns:   July 1963 -October 2017
     
Annual Returns:   1964 - 2016
     
Portfolios:   Market Beta quintiles; deciles.
     
Construction:   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.
     
Stocks:   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).

 

 

 

 

 

Copyright Kenneth R. French