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Detail
for 25 Portfolios Formed Monthly on Size and Variance(Residuals)
| Monthly
Returns: |
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July
1963 - September 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 monthly, are the intersections of 5 portfolios formed on size
(market equity, ME) and 5 portfolios formed on the variance of the residuals from the FF three-factor model (RVar).
The monthly size breakpoints are the NYSE market equity quintiles. RVar is estimated using 60 days (minimum 20) of lagged returns.
The RVar breakpoints are NYSE quintiles. |
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| Stocks: |
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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. |
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