In bautheac/FFresearch: Eugene Fama & Kenneth French research data

knitr::opts_chunk$set(collapse = TRUE, comment = "#>", fig.path = "README-")

folder <- "literature_files"; dir.create(folder)
download.file("https://www.dropbox.com/s/htnd7o9nnkk8ng8/references.bib?dl=1", paste(folder, "references.bib", sep = "/"))

library(FFresearch)
data(list = c("factors", "portfolios_univariate", "portfolios_bivariate", "portfolios_trivariate", 
              "portfolios_industries", "variables", "breakpoints"), 
     package = "FFresearch")

FFresearch packages Fama/French research data for convenient consumption by R users. The data is pulled directly from Kenneth French's online data library.
Install from github with devtools::install_github("bautheac/FFresearch").

Portfolios

Univariate

The portfolios_univariate dataset provides various feature time series for Fama/French portfolios formed on single variable sorts. Sorting variables include size, book-to-market, operating profitability and investment:

head(portfolios_univariate)

Bivariate

The portfolios_bivariate dataset provides various feature time series for Fama/French portfolios formed on two variable sorts. Sorting variables include size, book-to-market, operating profitability and investment. Size concerns limit the data history to the last ten years; the full time series are available from the author upon request.

head(portfolios_bivariate)

Trivariate

The portfolios_trivariate dataset provides various feature time series for Fama/French portfolios formed on three variable sorts. Sorting variables include size, book-to-market, operating profitability and investment:

head(portfolios_trivariate)

Industries

The portfolios_industries dataset provides various feature time series for Fama/French industry portfolios [@fama_industry_1997]:

head(portfolios_industries)

Factors

The factors dataset provides the return (factors) and level (risk free rate) time series for the classic Fama/French asset pricing factors as used in their three [@fama_cross_section_1992; @fama_common_1993; @fama_size_1995] and most recently five-factor [@fama_five_factor_2015; @fama_dissecting_2016; @fama_international_2017] asset pricing models extremely popular to the asset pricing enthusiasts:

head(factors)

Variables

The variables dataset is a helper dataset that provides details, including construction methods, for the variables used to construct the portfolios and asset pricing factors above:

head(variables)

Breakpoints

The breakpoints dataset is a helper dataset that provides the times series for the variables breakpoints used to construct the variables that in turn allow the construction of the portfolios and asset pricing factors abovementioned:

head(breakpoints)

finRes

Although the FFresearch package is self-contained it belongs to the finRes suite of packages where it helps with asset pricing research and analysis.

References

bautheac/FFresearch documentation built on June 7, 2021, 1:25 a.m.