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Detail
for 25 Portfolios Formed on Size and Market Beta
| 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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| Construction: |
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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. |
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| Stocks: |
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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). |
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