The file capm2 contains stock market data from January 1960 to December 2002

(T=516). All (excess) returns are in % per month. The riskfree rate (rf) is
included, to allow computation of returns rather than excess returns. The Januar
y
dummy is included for convenience. The returns are returns on returns on value-w
eighted
stock portfolios using a classification of industries based on the 4-digit SIC c
ode
(which distinghuishes 17 different industries). Stocks are assigned to industrie
s every
June.
The following variables are available:
rfood rdur rcon rmrf rf jandum
Variable labels:
rfood: excess returns food industry
rdur: excess returns durables industry
rcon: excess returns construction industry
rmrf: excess returns market portfolio
rf: riskfree return
jandum: dummy for January
Sample statistics:

Variable |
Obs
Mean Std. Dev.
Min
Max
-------------+----------------------------------------------------rfood |
516
.6646899
4.54417
-18.79
19.56
rdur |
516
.5253682
5.7953
-25.74
19.74
rcon |
516
.4277519 5.790243
-29.81
24.67
rmrf |
516
.4155039 4.484188
-23.09
16.05
rf |
516
.4734302 .2204956
.11
1.35
jandum |
516
.0833333 .2766536
0
1
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.