| demo_returns {monotonicity} | R Documentation |
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. doi: 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. doi: 10.1093/rfs/hhj035.
Examples
## 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])