What is the difference b/w erdport1 and size decile of French data library?
Posted: 15 July 2012 10:00 PM   [ Ignore ]
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Hi, guys

Is there anyone who can tell me the difference b/w erdport1 and size decile of French data library? Is there similar book-to-market ratio deciles data that I can use on WRDS?

Many thanks!

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Posted: 16 July 2012 07:55 AM   [ Ignore ]   [ # 1 ]
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hi Denver,

I have not used the decile datasets; I have moved a ‘copy’ of your question on the home page so that it is more visible.
In the meanwhile you could try the ‘community’ of wrds.wharton.upenn.edu. I would appreciate it if you could update this forum when you have an answer.

thanks,

Joost

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Posted: 16 July 2012 08:31 AM   [ Ignore ]   [ # 2 ]
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Thanks for your help. I will do that when I get the answer

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Posted: 16 July 2012 08:59 AM   [ Ignore ]   [ # 3 ]
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thanks!

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Posted: 17 July 2012 07:50 AM   [ Ignore ]   [ # 4 ]
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hi Denver,

I received the following reply by email:

I use erdport1 when I need size-adjusted market returns (for example, when I am interested in using abnormal returns around an event).  I believe erdport1 uses the entire universe of stocks (NYSE, NASDAQ, and AMEX) to compute deciles.

Fama and French offer a much wider data library.  There are several differences that I can think of: 1) They form portfolios constructed at the end of June, whereas, I think CRSP uses December.  2) Many of the portfolios are constructed using NYSE breakpoints as opposed to the entire universe of stocks (although both probably offer options for different samples).  3)  As you mentioned, many portfolios are formed as the intersection of size and book-to-market.

I do not do too much work in asset pricing, so there may be more differences than the ones I have mentioned.  For accounting studies, size-adjusted returns from ERDPORT1 seem to be a good start.  If the user is interested in more detailed portfolio analysis, then sorting stocks into Fama French portfolios might make more sense.

Hope this helps,

Joost

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