|
|
Detail
for Portfolios Formed Monthly on Variance(Residuals)
|
| Monthly Returns: |
|
July 1963 - October 2024 |
| |
|
|
| Annual Returns: |
|
1964 - 2023 |
| |
|
|
| Portfolios: |
|
Variance of daily returns (Var)
quintiles; deciles.
|
| |
|
|
| Construction: |
|
The portfolios are formed monthly on the variance of the residuals from the FF three-factor model (RVar) using
NYSE breakpoints. RVar is estimated using 60 days (minimum 20) of lagged returns. |
| |
|
|
| Stocks: |
|
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. |
|
