| Pricing | R Documentation |
Returns of Size-based Portfolios
Description
monthly observations from 1959–02 to 1993–11
number of observations : 418
Usage
data(Pricing)Format
A time series containing :
- r1
monthly return on portfolio 1 (small firms)
- r2
monthly return on portfolio 2
- r3
monthly return on portfolio 3
- r4
monthly return on portfolio 4
- r5
monthly return on portfolio 5
- r6
monthly return on portfolio 6
- r7
monthly return on portfolio 7
- r8
monthly return on portfolio 8
- r9
monthly return on portfolio 9
- r10
monthly return on portfolio 10 (large firms)
- rf
risk free rate (return on 3-month T-bill)
- cons
real per capita consumption growth based on total US personal consumption expenditures (nondurables and services)
Source
Center for research in security prices.
References
Verbeek, Marno (2004) A Guide to Modern Econometrics, John Wiley and Sons, chapter 5.
See Also
Index.Source, Index.Economics, Index.Econometrics, Index.Observations,
Index.Time.Series