Pricing

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

datasets

Data sets for econometrics, including political science.

Spencer Graves

Ecdat

Data Sets for Econometrics

Pricing function

A time series 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

Returns of Size-based Portfolios — Pricing

A time series 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>

Pricing: Returns of Size-based Portfolios

Description

Usage

Arguments

Format

References

See Also