The main goal of the scripts are to show the realtion between stock return and different features of the company.
size.Rmd script illustrates the relation between stock return and the company's size. The data contains common stocks pricing data for 1970-2012 period (excluding the financial companies). For each month we construct 10 decile portfolios based on the size of the company (Size=log(SharePrice x NumberOfSharesOutstanding)). The decile portfolio returns show that the smaller companies tend to have higher returns.