Home
Biography
Curriculum Vitae
Working Papers
Data Library
  Benchmarks
  U.S. Research Returns
  U.S. Research Breakpoints
  U.S. Book Equity Data
  International Research Returns
Consulting Relationship
Fama / French Forum
Contact Information
 
Detail for Portfolios Formed Monthly on Variance(Residuals)

Monthly Returns:   July 1963 -October 2017
     
Annual Returns:   1964 - 2016
     
Portfolios:   Variance of daily returns (Var) quintiles; deciles.
     
Construction:   The portfolios are formed monthly on the variance of the residuals from the FF three-factor model (RVar) using NYSE breakpoints. RVar is estimated using 60 days (minimum 20) of lagged returns.
     
Stocks:   The portfolios for month t (formed at the end of month t-1), include NYSE, AMEX, and NASDAQ stocks with ME for the end of month t-1 and non-missing variance of daily returns.

 

 

 

 

 

Copyright Kenneth R. French