Description Usage Format Source References
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.
1 |
A xts object with 1316 rows and 10 variables. The variables are as follows:
simple daily returns of ExxonMobile (NYSE:XOM) less the risk-free rate
simple daily returns of BlackRock Large Cap Core Inv A fund (MDLRX) less the risk-free rate
simple daily returns of Vanguard 500 ETF (VOO) less the risk-free rate
simple daily returns of Standard&Poor's 500 index less the risk-free rate
simple daily returns of the US market (all NYSE, AMEX, and NASDAQ firms) less the risk-free rate
daily small-minus-big factor(size factor)
daily high-minus-low factor(value factor)
daily robust-minus-weak factor(profitability factor)
daily conservative-minus-aggressive factor(investment factor)
daily risk-free rate
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.
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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