Finally, from Section 1, seven indexes are considered as potential proxies for the world market portfolio; the four CRSP indexes (value and equal-weighted, with and without dividends), Standard and Poor’s Composite Index which is value-weighted and does not include dividends, the Morgan Stanley Capital World Index which is also value-weighted and does not include dividends, and an Economy index which does include dividends. The CRSP indexes were obtained from the CRSP tapes. Standard and Poor’s Composite Index and Morgan Stanleys Capital World Index were retrieved from Datastream. The Morgan Stanley Index is only available on a monthly basis for the whole period. The Economy index was constructed in the following manner. The SIC code was obtained for each stock in the sample from the CRSP tape and an equal-weighted index is calculated for each 2 digit SIC code. The GDP by Industry in current dollars for the period 1970 to 1996 was obtained from the Bureau of Economic Analysis. The industries in the GDP Product Table were matched with the SIC portfolios generated from the CRSP sample. The weight assigned to each SIC portfolio is total GDP for the associated industry divided by total private GDP13.
Data for SMB and HML in regression equation (4) were obtained from K. French’s homepage14