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Detail for 25 Portfolios Formed on Size and Market Beta

Monthly Returns:   July 1963 - January 2017
     
Annual Returns:   1964 - 2016
     
Construction:   The portfolios, which are constructed at the end of each June, are the intersections of 5 portfolios formed on size (market equity, ME) and 5 portfolios formed on univariate market beta (β). The size breakpoints for year t are the NYSE market equity quintiles at the end of June of year t. β for June of year t is estimated using the preceding five years (two minimum) of past monthly returns. The β breakpoints are NYSE quintiles.
     
Stocks:   The portfolios for July of year t to June of t+1 include 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