FamaFrench {HDTSA} | R Documentation |
Fama-French 10*10 return series
Description
The portfolios are constructed by the intersections of 10 levels
of size, denoted by {\rm S}_{1}, \ldots, {\rm S}_{10}
, and 10 levels of the book
equity to market equity ratio (BE), denoted by {\rm BE}_1, \ldots,{\rm BE}_{10}
.
The dataset consists of monthly returns from January 1964 to
December 2021, which contains 69600 observations for 696 total months.
Usage
data(FamaFrench)
Format
A data frame with 696 rows and 102 columns. The first column
represents the month, and the second column named
MKT.RF
represents the monthly market returns. The rest of the columns
represent the return series for different sizes and BE-ratios.
Source
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
[Package HDTSA version 1.0.5 Index]