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 Monthly on Variance

Monthly Returns:   July 1963 - May 2024
Annual Returns:   1964 - 2023
Portfolios:   Variance of daily returns (Var) quintiles; deciles.
Construction:   The portfolios are formed monthly on the variance of daily returns (Var) using NYSE breakpoints. Var 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.






Copyright Kenneth R. French