FFresearch: Eugene Fama & Kenneth French research data

Variable breakpoints time series. The variable breakpoints are used to construct the Fama/French portfolios and factors.

1	breakpoints

A data.table with variables:

variable: Fama/French variable name. See the "variables" dataset in this package as well as http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/variable_definitions.html for details.
frequency: variable observation frequency.
percentile: percentile breakpoint. "# negative" and "# positive" count the number of negative and positive occurences for a given period repectively.
period: observation period.
value: corresponding variable breakpoint value.

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