GRS.test (version 1.0)

data: Fama-French Data: 25 size-B/M portfolio and risk factors, obtained from French's library

Description

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

Usage

data("data")

Format

A data frame with 630 observations on the following 32 variables.

Source

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html Monthly from 1963 to 2015

Details

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

References

Fama and French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33, 3-56.

Fama and French, 2015, A five-factor asset-pricing model, Journal of Financial Economics, 116-1-22.

Examples

data(data)
y=ts(data[,2],frequency=12,start=c(1950,1))
plot.ts(y)

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