FFplusMOM {iClick}

Data of Fama-French beta of 811 listed companies of SSEC

Description

Average data of 811 listed companies of SSEC, 2001/1/03~2012

Usage

data("FFplusMOM")

Format

A data frame with 811 observations on the following 4 variables.

company

company code

RET

company-specific average returns

MK_BETA

CAPM factor beta

HML_BETA

High-Minus-Low factor beta

SMB_BETA

Small-Minus-Big factor beta

MOM_BETA

Momemtum factor beta

Details

Daily stock returns of 24 world national markets.

Source

Yahoo finance.

Examples

data(FFplusMOM)