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Detail for Portfolios Formed Monthly on Variance

Monthly Returns:   July 1963 - January 2024
     
Annual Returns:   1964 - 2023
     
Portfolios:   Variance of daily returns (Var) quintiles; deciles.
     
Construction:   The portfolios are formed monthly on the variance of daily returns (Var) using NYSE breakpoints. Var 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