factorDataSetDjia5Yrs: factorDataSetDjia5Yrs

In braverock/factorAnalytics: Factor Analytics for Asset Return Data

factorDataSetDjia5Yrs

Description

Contains returns for 30 DJIA stocks spanned across 9 Sectors -ENERGY, COSTAP, INDUS,T MATRLS, FINS, INFOTK, HEALTH, CODISC, and TELCOM stocks along with 4 factor data (MKTCAP, ENTVAL, P2B, EV2S, SIZE) starting from from Jan 2008 to Dec 2012.

The 9 Sectors correspond to Energy,ConsumerStaples, Industrials, Materials, Financials, InformationTechnology, HealthCare, ConsumerDiscretionary and Telecommunications respectively.

Usage

data('factorDataSetDjia5Yrs')

Format

A data.frame with 1320 observations on 17 variables:

• DATE: type 'yearmon'

• PERMNO: type 'int'

• GVKEY: type 'int'

• CUSIP: type 'chr'

• TICKER: type 'chr'

• RETURN: type 'num'

• RETURN.OLD: type 'num'

• RETURN: type 'num'

• RETURN.DIFF: type 'num'

• GSECTOR: type 'num'

• SECTORNAMES: type 'chr'

• SECTOR: type 'chr'

• GSECTOR: type 'num'

• ENTVAL: type 'num'

• P2B: type 'num'

• EV2S: type 'num'

• SIZE: type 'num'

Details

DJIA stocks Compustat factors 5 yrs. Data loads lazily

Source

TBA

Examples

 
data(factorDataSetDjia5Yrs)
 str(factorDataSetDjia5Yrs)

braverock/factorAnalytics documentation built on March 2, 2024, 11:17 p.m.