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, company symboles are used.
- WMK
- Returns of WEIS MARKETS INC
- UIS
- Returns of UNISYS CP NEW
- ORB
- Returns of ORBITAL SCIENCES CP
- MAT
- Returns of Mattel, Inc.
- ABAX
- Returns of ABAXIS, Inc.
- T
- Returns of AT&T INC.
- EMR
- Returns of EMERSON ELEC CO
- JCS
- Returns of Communications Systems Inc.
- VOXX
- Returns of Audiovox Corp.
- ZOOM
- Returns of ZOOM Technologies Inc.
- TDW
- Returns of TIDEWATER INC
- ROG
- Returns of Rogers Corporation
- GGG
- Returns of Graco Inc.
- PC
- Returns of Panasonic Corporation
- GCO
- Returns of Genesco Inc.
- EBF
- Returns of ENNIS, INC
- F
- Returns of FORD MOTOR CO
- FNM
- Returns of FANNIE MAE
- NHP
- Returns of NATIONWIDE HLTH PROP
- AA
- Returns of ALCOA INC
- rf
- Risk-free rate of Fama-French
- 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 1.3-0
Index]