data {GRS.test}

Fama-French Data: 25 size-B/M portfolio and risk factors, obtained from French's library

Description

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

Usage

data("data")

Format

A data frame with 630 observations on the following 32 variables.

date

date

RM_RF

Market Excess Return

SMB

SMB

HML

HML

RMW

RMW

CMA

CMA

MOM

MOM

P11

Portfolio Returns

P12

Portfolio Returns

P13

Portfolio Returns

P14

Portfolio Returns

P15

Portfolio Returns

P21

Portfolio Returns

P22

Portfolio Returns

P23

Portfolio Returns

P24

Portfolio Returns

P25

Portfolio Returns

P31

Portfolio Returns

P32

Portfolio Returns

P33

Portfolio Returns

P34

Portfolio Returns

P35

Portfolio Returns

P41

Portfolio Returns

P42

Portfolio Returns

P43

Portfolio Returns

P44

Portfolio Returns

P45

Portfolio Returns

P51

Portfolio Returns

P52

Portfolio Returns

P53

Portfolio Returns

P54

Portfolio Returns

P55

Portfolio Returns

Details

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

Source

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

Monthly from 1963 to 2015

References

Fama and French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33, 3-56. <DOI:10.1016/0304-405X(93)90023-5>

Fama and French, 2015, A five-factor asset-pricing model, Journal of Financial Economics, 116-1-22. <DOI:http://dx.doi.org/10.1016/j.jfineco.2014.10.010>

Examples

data(data)
y=ts(data[,2],frequency=12,start=c(1950,1))
plot.ts(y)