This paper describes a new method to generate unbiased equal-weighted portfolio daily returns by removing the impacts of bid-ask bounce and non-synchronous trading. For example, for the CRSP daily equal-weighted market index over 1964 to 1993 (EWRETD), the annual bias of the time series generated by our method is 0.05%, considerably smaller than 6% as reported by Canina et al. (1998). In addition, we also discuss the research impact by using both biased and unbiased daily EWRETD on beta, alpha,