Douglas J. Hodgson, Oliver Linton, and Keith Vorkink, "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach", Journal of Applied Econometrics, Vol. 17, No. 6, 2002, pp. 617-639. The single data file is in DOS format and is zipped in the file hlv-data.zip. Unix users should use "unzip -a". The file returns.data contains 500 daily observations for Jan 03 1996 to Dec 31 1997. There are 7 variables, with one line per observation. Column Series 1 Date (YYMMDD) 2 CRSP Value-Weighted Daily Portfolio Return 3 Daily Risk-Free Return 4 Value-Weighted Daily Return for Quartile 1 Firms 5 Value-Weighted Daily Return for Quartile 2 Firms 6 Value-Weighted Daily Return for Quartile 3 Firms 7 Value-Weighted Daily Return for Quartile 4 Firms Keith Vorkink 667 TNRB Department of Business Management Marriott School of Management Provo, UT 84602