factors_m: SMB and HML factor as constructed by Fama and French (1993).
In yukai-yang/FE: Data Sets and Functions for the Course "Financial Econometrics"

SMB is the difference between the returns on a small-stock portfolio (based on the low 30

factors_m

A tibble with 942 rows and 6 variables:

HML is the difference between the returns on a low-book-to-market portfolio (based on the low 30

Moreover, it includes the value-weighted return on all NYSE, AMEX, and NASDAQ stocks (from CRSP) as a proxy for the market as well as the one-month Treasury bill rate.

Note that all returns are measured in percent!

942 monthly observations, 07/1926-12/2004.

year, year in integers.
month, month in integers
Market, value-weighted return on all NYSE, AMEX, and NASDAQ stocks (from CRSP) as a proxy for the market return.
Tbill, one-month Treasury bill rate.
SMB, difference between the returns on a small-stock portfolio (based on the low 30
HML, difference between the returns on a low-book-to-market portfolio (based on the low 30