getFrench.Portfolios {JFE}

Download 24 asset pricing factors data from the data library of Dr. French

Description

It downloads 24 factors data used for asset pricing analysis from the data library of Dr. Kenneth R. French at Dartmouth College.

Usage

getFrench.Portfolios(filename="Portfolios_Formed_on_ME")

Arguments

filename

The name of portfolio data file as listed in (http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html), the default is "Portfolios_Formed_on_ME". So far, this function supports retrieving 24 portfolio data files:
"Portfolios_Formed_on_ME",#Portfolios Formed on Size
"Portfolios_Formed_on_BE-ME",#On Book-to-Market
"Portfolios_Formed_on_OP", #On Operating Profitability
"Portfolios_Formed_on_INV",#On Investment
"6_Portfolios_2x3", #6 Ports on Size and Book-to-Market
"25_Portfolios_5x5", #25 Ports on Size and Book-to-Market
"100_Portfolios_10x10", #100 Ports on Size and Book-to-Market
"6_Portfolios_ME_INV_2x3", #6 Ports on Size and Investment
"25_Portfolios_ME_INV_5x5",#25 Ports on Size and Investment
"100_Portfolios_ME_INV_10x10",#100 Ports on Size and Investment
"25_Portfolios_BEME_OP_5x5",#25 Ports on Book-to-Market and Operating Profitability
"25_Portfolios_BEME_INV_5x5",#25 Ports on Book-to-Market and Investment
"25_Portfolios_OP_INV_5x5",#25 Ports on Operating Profitability and Investment
"32_Portfolios_ME_BEME_OP_2x4x4",#32 Ports on Size,Book-to-Market and Operating Profitability
"32_Portfolios_ME_BEME_INV_2x4x4",#32 Ports on Size,Book-to-Market and Investment
"32_Portfolios_ME_OP_INV_2x4x4",#32 Ports on Size,Operating Profitability and Investment
"5_Industry_Portfolios", # Industry Portfolios by c(5,10,12,17,30,38,48,49)

Details

This function connects with <"http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html"> and downloads the specified portfolio data constructed by factors. Currently, we support on retriving and arranging 24 portfolio datasets. Sometimes, the datafile contains multiple data tables, hence the code returns a list. Since the csv spreedsheet on the web is not structured data table, it does not only contain irregular headings, but also 7, or more, data tablesr; and the trivial portfolio data tables labelled by "Portfolio Formed by ..." are omitted. Check the "table.names" of output object.

Value

data

The data retrieved and arranged.

table.names

The names of data table.

file.name

The file name of portfolio data.

Author(s)

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

Examples

#To save time, the example below is commented.
#output=getFrench.Portfolios(filename="5_Industry_Portfolios")
#output$file.name
#dim(output$data[[1]])
#output$data
#output$table.names