Chapter 2

Stock Price Series and Rates of Return

2.1 Introduction

This chapter introduces price series and rates of return of individual assets. Later chapters on portfolio analysis are concerned with sets of assets, such as a number of stocks, held by an investor.

A price series is, for example, the daily closing prices of a stock. The stock’s daily rates of return are derived data, calculated from the price series.

2.1.1 Price Series

Stock data are available from such data services as CRSP, the Center for Research on Security Prices; WRDS, the Wharton Research Data Service; and on the Web at such sites as

Daily quotes include the open, high, low, and closing price for the day. In Table 2.1, the symbols O, L, H, C denote open, ...

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