The file assets2 contains stock market data from January 1960 to December 2003

(T=528). All (excess) returns are in % per month. The riskfree rate (rf) is
included, to allow computation of excess returns.
Note: Exercise 2.3 only requires data until December 2002.
The following variables are available:
rmrf smb hml umd rf r1 r2 r3 r4 r5 r6 r7 r8 r9 r10 using assets2.dat
Variable labels:
rmrf: excess returns market portfolio (market return minus rf)
smb: return on small stock minus return on large stock portfolio (small minus bi
g)
hml: return on value stock minus return on growth stock portfolio (value stocks
have a high ratio
of book-to-market value of equity, growth stocks have relatively low values
of the book-to-market ratio)
umd: return on high prior return portfolio minus return on low prior return port
folio.
rf: risk free rate (T-bill)
r1-r10: return on value-weighted size-based portfolios (deciles),
r1: smallest firms, ... r10: largest firms
Sample statistics:
Variable |
Obs
Mean Std. Dev.
Min
Max
-------------+----------------------------------------------------rmrf |
528
.458428 4.474007
-23.13
16.05
smb |
528
.2166288 3.189462
-16.62
21.83
hml |
528
.4305492 2.907817
-12.65
13.65
umd |
528
.8731629 3.994523
-24.96
18.38
rf |
528
.4646023 .2255489
.07
1.35
r1 |
528
1.255644 6.355929
-28.76
29
r2 |
528
1.190246 6.247924
-30.01
28.41
r3 |
528
1.19714 5.977604
-28.87
25.73
r4 |
528
1.140417 5.777226
-29.47
24.16
r5 |
528
1.158902 5.545943
-27.7
24.96
r6 |
528
1.057652 5.234312
-26.06
20.83
r7 |
528
1.105587 5.125363
-26.01
22.46
r8 |
528
1.070739 5.010842
-24.03
18.97
r9 |
528
.9992803 4.575618
-22.32
18.12
r10 |
528
.879678
4.30588
-19.73
18
Note: most of the above data are from Kenneth French's data library at
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library.
Computational details can be found on this webpage too.