stambaugh: Stambaugh et al. research factors
In bautheac/factors: Clean time series datasets for asset pricing factors popular in the literature.
Description
Usage
Format
Source
Description
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 liquidity (traded & non-traded),
market, size as well as two 'mispricing' factors: management & performance.
Usage
1
Format
A data.table with variables:
frequency: factor return frequency (day, month, year).
period: period over which factor returns are calculated or risk free rate level is observed.
factor: Fama/French factor
value: corresponding return (factors) or level (risk free rate) observation.
Source
http://finance.wharton.upenn.edu/~stambaug.
bautheac/factors documentation built on June 8, 2021, 7:50 a.m.
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Description Usage Format Source
Description
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 liquidity (traded & non-traded), market, size as well as two 'mispricing' factors: management & performance.
Usage
1 |
Format
A data.table with variables:
frequency: factor return frequency (day, month, year).
period: period over which factor returns are calculated or risk free rate level is observed.
factor: Fama/French factor
value: corresponding return (factors) or level (risk free rate) observation.
Source
http://finance.wharton.upenn.edu/~stambaug.
R Package Documentation
Browse R Packages
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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