The Journal of Finance SELECTED MEASURES OF THE TABLE 1 DISTRIBUTIONS MONTHLY OF HOLDING PERIOD RETURNS O F INDIVIDUAL COMMON STOCKS, 1945-1965 (In Five Groups of 109 Stocks Each) Group Grand Mean of HPRâs Mean of Standard Deviations of HPRâs Mean of Skews of HPRâs Mean of Betas N.B.: Stocks are grouped on the basis of the standard deviation of their HPRâs, with the lowest standard deviation stocks in Group 1 and the highest standard deviation stocks in Group 5 . Table 1 contains some relevant data. The table was constructed in the following way: (1) The mean, standard deviation, skewness, and âbetaâ of the monthly holding period returns (the ratio of the month-end price plus any dividends to the preceding month-end price) were determined for each of 545 common stocks over the 252 months in the years 1945 through 1965;3 ( 2 ) the stocks were sorted into five groups of 109 securities per group according to the rank of their standard deviations of returns; and (3) the simple arithmetic averages of the three return distribution measures and the betas were struck across all of the stocks in each group. The 545 common stocks were randomly selected
The Journal of Finance – Wiley
Published: Mar 1, 1974
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