getFrench.Factors: Download seven asset pricing factors data from the data...

In tsungwu/JFE: Tools and GUI for Analyzing Time Series Data of Just Finance and Econometrics

Download seven asset pricing factors data from the data library of Dr. French

Description

It downloads seven factors data used for asset pricing analysis from the data library of Dr. Kenneth R. French at Dartmouth College.

Usage

getFrench.Factors(filename="F-F_Research_Data_5_Factors_2x3")

Arguments

filename

The name of data file as listed in <"http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html">, which is an important database for asset pricing literature, this function supports seven factor files: "F-F_Research_Data_Factors",# Fama/French 3 Factors "F-F_Research_Data_5_Factors_2x3",# Fama/French 5 Factors "F-F_Momentum_Factor", # Fama/French Momentum Factors "F-F_Momentum_Factor_daily", # Fama/French Momentum Factors(daily) "F-F_Research_Data_Factors_weekly",# Fama/French 3 Factors(weekly) "F-F_Research_Data_Factors_daily", # Fama/French 3 Factors(daily) "F-F_Research_Data_5_Factors_2x3_daily" # Fama/French 5 Factors (daily)

Details

This function connects with <"http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html"> and downloads the specified factors data. Sometimes, the datafile contains multiple data tables, hence the code returns a list.

Value

ff.factor

The data retrieved and arranged.

Author(s)

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

Examples

getFrench.Factors(filename="F-F_Research_Data_Factors")

tsungwu/JFE documentation built on May 10, 2022, 1:22 p.m.