portfolios_trivariate: Fama/French three-way sorts

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

Description

Return time series for Fama/French portfolios formed on sorting on three variables.

Usage

portfolios_trivariate

Format

A data.table with variables:

• region: geographical market considered for factor construction.

• frequency: field observation frequency.

• sort variable 1: first sort variable used for portfolio construction.

• sort variable 2: second sort variable used for portfolio construction.

• sort variable 3: third sort variable used for portfolio construction.

• diviend: Y (included) or N (excluded).

• weights: portoflio weighting method.

• portfolio: corresponding portoflio.

• field: variable observed for given portfolio.

• period: observation period.

• value: corresponding field value.

Source

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.

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