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]