Dataset to Estimate Multi-Factor Models for Return Samples

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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.