factorHML: Factor: High minus Low
In eguidotti/eap: Guidotti Miscellaneous
factorHML R Documentation
Factor: High minus Low
Description
Factor: High minus Low
Usage
factorHML(me, beme, ret, by, weight = 1, nyse = TRUE)
Arguments
me
the market equity as of last June
beme
the book to market ratio
ret
the return at time T+1
by
the time index
weight
the weight for value-weighted portfolios
nyse
logical vector representing whether the stock is listed in NYSE. It is used for the computation of breakpoints.
Value
Factor returns for each by-time
eguidotti/eap documentation built on Sept. 4, 2024, 3:43 a.m.
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| factorHML | R Documentation |
Factor: High minus Low
Description
Factor: High minus Low
Usage
factorHML(me, beme, ret, by, weight = 1, nyse = TRUE)
Arguments
me |
the market equity as of last June |
beme |
the book to market ratio |
ret |
the return at time T+1 |
by |
the time index |
weight |
the weight for value-weighted portfolios |
nyse |
logical vector representing whether the stock is listed in NYSE. It is used for the computation of breakpoints. |
Value
Factor returns for each by-time
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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