Data set containing the five factors described by
famafrench15;textualCPAT, from the data library maintained by
Kenneth French. Data ranges from July 1, 1963 to October
31, 2017.

datasets

Implements several statistical tests for structural change, specifically the tests featured in Horv<c3><a1>th, Rice and Miller (in press): CUSUM (with weighted/trimmed variants), Darling-Erd<c3><b6>s, Hidalgo-Seo, Andrews, and the new R<c3><a9>nyi-type test.

Curtis Miller

CPAT

Change Point Analysis Tests

ff function

A data frame with 13679 rows and 6 variables:<dl class="dl-horizontal">
 <dt>Mkt.RF</dt><dd>Market excess returns</dd>
 <dt>RF</dt><dd>The risk-free rate of return</dd>
 <dt>SMB</dt><dd>The return on a diversified portfolio of small stocks minus
 return on a diversified portfolio of big stocks</dd>
 <dt>HML</dt><dd>The return of a portfolio of stocks with a high
 book-to-market (B/M) ratio minus the return of a portfolio
 of stocks with a low B/M ratio</dd>
 <dt>RMW</dt><dd>The return of a portfolio of stocks with robust profitability
 minus a portfolio of stocks with weak profitability</dd>
 <dt>CMA</dt><dd>The return of a portfolio of stocks with conservative
 investment minus the return of a portfolio of stocks with
 aggressive investment</dd>
</dl>Row names are dates in YYYYMMDD format.

ff: Fama-French Five Factors

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