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The data that is now available in Kenneth Frenchs' website is now free of that problem so we can use all the available data which starts in 1926. The data comes from Chicago Booths' Center for ...
Variance is a measure of the dispersion and is not bound by any time period. On the other hand, volatility captures the degree of variation of a time series over time. In finance, volatility is a ...
In their other paper from that year "The cross-section of expected stock returns" they mention that the COMPUSTAT data for earlier years have a serious selection bias; the pre-1962 data are tilted ...
Their factor construction comes from data from the Chicago Booth Center for Research on Security Prices: http://www.crsp.com/products/software-access-tools