Finance {gmm}R Documentation

Returns on selected stocks

Description

Daily returns on selected stocks, the Market portfolio and factors of Fama and French from 1993-01-05 to 2009-01-30 for CAPM and APT analysis

Usage

data(Finance)

Format

A data frame containing 24 time series. Dates are reported as rownames(). In the following description, compagny symboles are used.

WMK
Returns of WMK
UIS
Returns of UIS
ORB
Returns of ORB
MAT
Returns of MAT
ABAX
Returns of ABAX
T
Returns of T
EMR
Returns of EMR
JCS
Returns of JCS
VOXX
Returns of VOXX
ZOOM
Returns of ZOOM
TDW
Returns of TDW
ROG
Returns of ROG
GGG
Returns of GGG
PC
Returns of PC
GCO
Returns of GCO
EBF
Returns of EBF
F
Returns of F
FNM
Returns of FNM
NHP
Returns of NHP
AA
Returns of AA
rf
Risk-free rate,
rm
Return of the market portfolio of Fama-French,
hml
Factor High-Minus-Low of Fama-French,
smb
Factor Small-Minus-Big of Fama-French.

Source

http://ca.finance.yahoo.com/ and http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/


[Package gmm version 1.1-1 Index]