Detail
for Portfolios Formed on Market Beta
|
| Monthly Returns: |
|
July 1963 - August 2025 |
| |
|
|
| Annual Returns: |
|
1964 - 2024 |
| |
|
|
| Portfolios: |
|
Market Beta
quintiles; deciles. |
| |
|
|
| Construction: |
|
The portfolios are formed on univariate market beta (β) at the end of each June using
NYSE breakpoints. β for June of year t is estimated using the preceding five years
(two minimum) of past monthly returns. |
| |
|
|
| Stocks: |
|
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). |
