CRSP Deciles Size Premia Study Data Exhibits 19
Data Exhibit 1: Summary Statistics of Annual Returns 20
Data Exhibit 2: Sum Beta Size Premia 23
Data Exhibit 3: Industry Risk Premia 25
Data Exhibit 4: Industry Risk Premia Company List 37
Data Exhibit 5: CRSP Deciles Size Premia Study: Key Variables 181
Data Exhibit 6: Long-Horizon Equity Risk Premia “Over Time” 184
Data Exhibit 7: Mid-Cap Size Premia “Over Time” 187
Data Exhibit 8: Low-Cap Size Premia “Over Time” 190
Data Exhibit 9: Micro-Cap Size Premia “Over Time” 193
Data Exhibit 10: CRSP Portfolios of the NYSE/AMEX/NASDAQ (largest and smallest company by size group) 196
Data Exhibit 11: Long-term U.S. Government Bond Yields (in percent) 199
Risk Premium Report Study Data Exhibits 201
Data Exhibit 12: Exhibits A-1 through A-8, Premia Over the Risk-Free Rate (RPm+s) 203
Data Exhibit 13: Exhibits B-1 through B-8, Premia Over CAPM (RPs) 212
Data Exhibit 14: Exhibits C-1 through C-8, Comparative Risk Statistics 221
Data Exhibit 15: Size Characteristics of Portfolio 25 in Data Exhibits A, B, and C, by Percentile 230
Data Exhibit 16: Exhibits D-1 through D-3 232
Data Exhibit 17: Exhibits H-A, H-B, H-C 236