Fama-French-data: Fama-French 10*10 return series
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FamaFrench

R Documentation

Fama-French 10*10 return series

Description

The portfolios are constructed by the intersections of 10 levels of size, denoted by {\rm S}_{1}, \ldots, {\rm S}_{10}, and 10 levels of the book equity to market equity ratio (BE), denoted by {\rm BE}_1, \ldots,{\rm BE}_{10}. The dataset consists of monthly returns from January 1964 to December 2021, which contains 69600 observations for 696 total months.

Usage

data(FamaFrench)

Format

A data frame with 696 rows and 102 columns. The first column represents the month, and the second column named MKT.RF represents the monthly market returns. The rest of the columns represent the return series for different sizes and BE-ratios.