monotonicity (version 1.3.1)

demo_returns: Asset returns used in Ang, Chen and Xing (RFS, 2006), sorted into ten portfolios.

Description

demo_returns is a sample of asset returns from July 1963 to December 2001 of all stocks listed on the NYSE and is computed as follows: at the begiinig of each month, tocks are sorted into deciles using estimates of beta based on the past year of daily returns, and value-weighted portfolios are formed. two tests from Wolak (1989, JoE) of inequality constraints in linear econometric models.

Usage

data(demo_returns)

References

Patton, A. and Timmermann, A. (2010): Monotonicity in asset returns: New testes with applications to the term structure, the CAPM, and portfolio sorts. Journal of Financial Economics, 98, No. 3, p. 605--625. 10.1016/j.jfineco.2010.06.006.

Ang, A., Chen, J. and Xing, Y. (2006): Downside Risk. Review of Financial Studies, 19, No. 4, p. 1191--1239. 10.1093/rfs/hhj035.

Examples

# NOT RUN {
## load demo data
data(demo_returns)

## calculate the mean difference return between the top and bottom portfolio
mean(demo_returns[, ncol(demo_returns)] - demo_returns[, 1])
# }