Pricing

monthly observations from 1959--02 to 1993--11 number of observations : 418

datasets

Spencer Graves

Ecdat

Data Sets for Econometrics

Pricing function

A time serie containing :
 <dl>
 <dt>r1</dt><dd>monthly return on portfolio 1 (small firms)</dd> <dt>r2</dt><dd>monthly return on portfolio 2 </dd> <dt>r3</dt><dd>monthly return on portfolio 3</dd> <dt>r4</dt><dd>monthly return on portfolio 4 </dd> <dt>r5</dt><dd>monthly return on portfolio 5 </dd> <dt>r6</dt><dd>monthly return on portfolio 6 </dd> <dt>r7</dt><dd>monthly return on portfolio 7 </dd> <dt>r8</dt><dd>monthly return on portfolio 8 </dd> <dt>r9</dt><dd>monthly return on portfolio 9 </dd> <dt>r10</dt><dd>monthly return on portfolio 10 (large firms)</dd> <dt>rf</dt><dd>risk free rate (return on 3-month T-bill)</dd> <dt>cons</dt><dd>real per capita consumption growth based on total US personal consumption expenditures (nondurables and services)</dd> </dl>

Format

Source

monthly observations from 1959--02 to 1993--11

 number of observations : 418

Pricing: Returns of Size-based Portfolios

Description

Usage

Arguments

Format

Source

References

See Also