data | R Documentation |
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
data("data")
A data frame with 630 observations on the following 32 variables.
date
date
RM_RF
Market Excess Return
SMB
SMB
HML
HML
RMW
RMW
CMA
CMA
MOM
MOM
P11
Portfolio Returns
P12
Portfolio Returns
P13
Portfolio Returns
P14
Portfolio Returns
P15
Portfolio Returns
P21
Portfolio Returns
P22
Portfolio Returns
P23
Portfolio Returns
P24
Portfolio Returns
P25
Portfolio Returns
P31
Portfolio Returns
P32
Portfolio Returns
P33
Portfolio Returns
P34
Portfolio Returns
P35
Portfolio Returns
P41
Portfolio Returns
P42
Portfolio Returns
P43
Portfolio Returns
P44
Portfolio Returns
P45
Portfolio Returns
P51
Portfolio Returns
P52
Portfolio Returns
P53
Portfolio Returns
P54
Portfolio Returns
P55
Portfolio Returns
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
Monthly from 1963 to 2015
Fama and French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33, 3-56. <DOI:10.1016/0304-405X(93)90023-5>
Fama and French, 2015, A five-factor asset-pricing model, Journal of Financial Economics, 116-1-22. <DOI:http://dx.doi.org/10.1016/j.jfineco.2014.10.010>
data(data) y=ts(data[,2],frequency=12,start=c(1950,1)) plot.ts(y)
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