# Dataset to Estimate Multi-Factor Models for Return Samples

### Description

A dataset containing simple daily returns of ExxonMobile, BlackRock's Large Cap Core Inv A fund, and Vanguard 500 ETF fund as well as all necessary factor data from Kenneth French's data library to estimate a five-factor model. The dataset contains data from Sep-09-2010 until Nov-30-2015.

### Usage

1 |

### Format

A xts object with 1316 rows and 10 variables. The variables are as follows:

- XOM
simple daily returns of ExxonMobile (NYSE:XOM) less the risk-free rate

- MDLRX
simple daily returns of BlackRock Large Cap Core Inv A fund (MDLRX) less the risk-free rate

- VOO
simple daily returns of Vanguard 500 ETF (VOO) less the risk-free rate

- SP500
simple daily returns of Standard&Poor's 500 index less the risk-free rate

- Mkt.RF
simple daily returns of the US market (all NYSE, AMEX, and NASDAQ firms) less the risk-free rate

- SMB
daily small-minus-big factor(size factor)

- HML
daily high-minus-low factor(value factor)

- RMW
daily robust-minus-weak factor(profitability factor)

- CMA
daily conservative-minus-aggressive factor(investment factor)

- RF
daily risk-free rate

### Source

`XOM`

, `MDLRX`

, `VOO`

, and `SP500`

was
retrieved rom Yahoo Finance via `getSymbols`

from the `quantmod`

package.
All other factors were retrieved from Kenneth French's data library
*Kenneth French's data library* at http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.
`RF`

was originally provided by Ibbotson Associates.

### References

Fama, E. F., & French, K. R. (1993).
Common risk factors in the returns on stocks and bonds.
*Journal of financial economics*, 33(1), 3-56.

Fama, E. F., & French, K. R. (2015).
A five-factor asset pricing model.
*Journal of financial economics*, 116(1), 1-22.

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