Detail
for Portfolios Formed Monthly on Variance(Residuals)
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| 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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| Portfolios: |
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Variance of daily returns (Var)
quintiles; deciles.
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| Construction: |
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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. |
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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. |
