mind5: Monthly Fama French 5 Industry Returns

Description Usage Format Note Author(s) Source Examples

Description

The monthly returns of 5 industries: Consumer, Manufacturing, High Technology, Healthcare and Other.

Usage

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Format

An xts object with 1,080 observations and 5 columns. The data run from January, 1927 through December, 2016. As in the upstream source, the data are given in percents, meaning a value of 1.00 corresponds to a 1% movement. Note also that returns presumably are ‘simple’ returns, not log returns, though this is not clarified by the upstream source. The columns are defined as follows:

Consumer

The monthly returns of the Consumer industry, published as “Cnsmr”.

Manufacturing

The monthly returns of the Manufacturing industry, published as “Manuf”.

Technology

The monthly returns of the Technology industry, published as “HiTec”.

Healthcare

The monthly returns of the Healthcare industry, published as “Hlth”.

Other

The monthly returns of the Other industry, published as “Other”.

Note

These are not the “ex dividend” returns series.

Author(s)

Steven E. Pav [email protected]

Source

Kenneth French data library. See http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html, data description at http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_5_ind_port.html.

Examples

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## Not run: 
data(mind5)
str(mind5)

## End(Not run)

shabbychef/aqfb_data documentation built on May 27, 2018, 12:25 a.m.