In bautheac/factors: Clean time series datasets for asset pricing factors popular in the literature.

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(factors)
data(list = c("fama_french", "stambaugh"), package = "factors")

factors packages various asset pricing research factor time series for convenient consumption by R users. The data is pulled directly from authors' website. Install from with devtools::install_github("bautheac/factors").

Fama & French

The fama_french 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 very popular to the asset pricing enthusiasts:

head(fama_french)

Stambaugh et al

The stambaugh dataset provides the return (factors) and level (risk free rate) time series for various research asset pricing factors put together by Robert F. Stambaugh and collaborators including Lubos Pastor and Yu Yuan. The factors include traded & non-traded liquidity [@pastor_liquidity_2003], as well as market, size and two 'mispricing' factors: management & performance [@stambaugh_mispricing_2016]:

head(stambaugh)

finRes

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

References

bautheac/factors documentation built on June 8, 2021, 7:50 a.m.