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

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

Yahoo Finance and https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/