CRSP Stock File Risk-Based DecileIndexesCRSP Stock File Risk-Based Decile Indexes are createdfor the daily NYSE/AMEX and NASDAQ marketcombinations using beta and standard deviation asthe measures of risk. One set of portfolios is createdby ranking securities on betas computed using themethods developed by Scholes and Williams (Myron Scholes and Joseph Williams, “Estimating Betasfrom Nonsynchronous Data,” Journal of FinancialEconomics, Vol. 5, 1977, 309 327). The other setis created by ranking securities on the annualizedstandard deviation of their daily returns.

The CRSP Stock File deciles that use risk (beta or std dev) for grouping put the stocks with the highest statistics (i.e. high beta) in the lowest numbered decile.