Ecdat (version 0.2-9)

Capm: Stock Market Data

Description

monthly observations from 1960--01 to 2002--12

number of observations : 516

Usage

data(Capm)

Format

A time serie containing :

rfood

excess returns food industry

rdur

excess returns durables industry

rcon

excess returns construction industry

rmrf

excess returns market portfolio

rf

riskfree return

Source

most of the above data are from Kenneth French's data library at http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.

References

Verbeek, Marno (2004) A guide to modern econometrics, John Wiley and Sons, https://feb.kuleuven.be/GME/, chapter 2.

See Also

Index.Source, Index.Economics, Index.Econometrics, Index.Observations,

Index.Time.Series