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Fama French & Liquidity Factors

内容: 金融市场数据

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简介:

该库中收录了构建Fama French模型所需的变量数据。其数据表现为2种规模变量(以市值表示)和3种代理估值变量的排列组合。该库数据来源为达特茅斯商学院Kenneth French主页。

信息类型:金融市场数据
涵盖国家和地区:全球
时间跨度:
    Fama-French Portfolios: 1926-
    Pastor-Stambaugh: 1962-
    Sadka: 1983-2008
语言:英文
更新周期:
访问方式:WRDS平台

Summary:

The Fama-French Portfolios are constructed from the intersections of two portfolios formed on size, as measured by market equity (ME), and three portfolios using the ratio of book equity to market equity (BE/ME) as a proxy for value. Returns from these portfolios are used to construct the Fama-French Factors. The Fama-French data source is Kenneth French’s web site at Dartmouth

Type of information: Financial Market Data
Geographical Coverage: Global
Data range:
    Fama-French Portfolios: 1926-
    Pastor-Stambaugh: 1962-
    Sadka: 1983-2008
Language: English
Update Frequency:
Access: WRDS Platform

访问方式:

沃顿平台->左侧导航栏“Fama French & Liquidity Factors”

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