stat.fm.data: Monthly Stock Return Data || Portfolio of Weekly Stock...
In R-Finance/FactorAnalytics: factor analysis
Description
Details
Source
References
Description
sfm.dat: This is a monthly "data.frame" object from
January 1978 to December 1987, with seventeen columns
representing monthly returns of certain assets, as in
Chapter 2 of Berndt (1991). sfm.apca.dat: This is a
weekly "data.frame" object with dimension 182 x 1618,
which runs from January 8, 1997 to June 28, 2000 and
represents the stock returns on 1618 U.S. stocks.
Details
CITCRP monthly returns of Citicorp. CONED monthly
returns of Consolidated Edison. CONTIL monthly returns
of Continental Illinois. DATGEN monthly returns of Data
General. DEC monthly returns of Digital Equipment
Company. DELTA monthly returns of Delta Airlines. GENMIL
monthly returns of General Mills. GERBER monthly returns
of Gerber. IBM monthly returns of International Business
Machines. MARKET a value-weighted composite monthly
returns based on transactions from the New York Stock
Exchange and the American Exchange. MOBIL monthly
returns of Mobile. PANAM monthly returns of Pan American
Airways. PSNH monthly returns of Public Service of New
Hampshire. TANDY monthly returns of Tandy. TEXACO
monthly returns of Texaco. WEYER monthly returns of
Weyerhauser. RKFREE monthly returns on 30-day U.S.
Treasury bills.
Source
S+FinMetrics Berndt.dat & folio.dat
References
Berndt, E. R. (1991). The Practice of Econometrics:
Classic and Contemporary. Addison-Wesley Publishing Co.
R-Finance/FactorAnalytics documentation built on May 8, 2019, 3:51 a.m.
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Description Details Source References
Description
sfm.dat: This is a monthly "data.frame" object from January 1978 to December 1987, with seventeen columns representing monthly returns of certain assets, as in Chapter 2 of Berndt (1991). sfm.apca.dat: This is a weekly "data.frame" object with dimension 182 x 1618, which runs from January 8, 1997 to June 28, 2000 and represents the stock returns on 1618 U.S. stocks.
Details
CITCRP monthly returns of Citicorp. CONED monthly returns of Consolidated Edison. CONTIL monthly returns of Continental Illinois. DATGEN monthly returns of Data General. DEC monthly returns of Digital Equipment Company. DELTA monthly returns of Delta Airlines. GENMIL monthly returns of General Mills. GERBER monthly returns of Gerber. IBM monthly returns of International Business Machines. MARKET a value-weighted composite monthly returns based on transactions from the New York Stock Exchange and the American Exchange. MOBIL monthly returns of Mobile. PANAM monthly returns of Pan American Airways. PSNH monthly returns of Public Service of New Hampshire. TANDY monthly returns of Tandy. TEXACO monthly returns of Texaco. WEYER monthly returns of Weyerhauser. RKFREE monthly returns on 30-day U.S. Treasury bills.
Source
S+FinMetrics Berndt.dat & folio.dat
References
Berndt, E. R. (1991). The Practice of Econometrics: Classic and Contemporary. Addison-Wesley Publishing Co.
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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