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Detail
for 25 Portfolios Formed Monthly on Size and Variance
| 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 monthly, are the intersections of 5 portfolios formed on size
(market equity, ME) and 5 portfolios formed on the variance of daily returns (Var).
The monthly size breakpoints are the NYSE market equity quintiles.
Var is the variance of daily returns estimated using 60 days (minimum 20) of lagged returns.
The Var 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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