Curriculum Vitae
Working Papers
Data Library
  U.S. Research Returns
  U.S. Research Breakpoints
  U.S. Book Equity Data
  International Research Returns
Consulting Relationship
Fama / French Forum
Contact Information
Detail for Portfolios Formed on Market Beta

Monthly Returns:   July 1963 - May 2024
Annual Returns:   1964 - 2023
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).






Copyright Kenneth R. French