The dataset contains the returns for three portfolios based on three representative US stocks traded on the New York Stock Exchange (NYSE). The stocks are Walt Disney (DIS), General Electric (GE) and Merck & Company (MRK). Daily data on their market closure prices9 are collected over the period of 01/04/1999–12/31/2009, and then the daily returns are calculated as 100 times the difference of the log prices. The compositions of the three portfolios considered are (0.4, 0.1, 0.5), (0.1, 0.1, 0.8) and (0.3, 0.1, 0.6), respectively, where the numbers in each parentheses from left to right represent the portfolio weights on DIS, GE and MRK, respectively.
Working Paper (2018)
Müller Gernot and Hettig Thomas