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]