Capm {Ecdat}

Stock Market Data

Description

monthly observations from 1960–01 to 2002–12

number of observations : 516

Usage

data(Capm)

Format

A time series containing :

rfood

excess returns food industry

rdur

excess returns durables industry

rcon

excess returns construction industry

rmrf

excess returns market portfolio

rf

risk-free return

Source

most of the above data are from Kenneth French's data library at http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.

References

Verbeek, Marno (2004) A Guide to Modern Econometrics, John Wiley and Sons, chapter 2.

See Also

Index.Source, Index.Economics, Index.Econometrics, Index.Observations,

Index.Time.Series