It downloads 24 factors data used for asset pricing analysis from the data library of Dr. Kenneth R. French at Dartmouth College.
getFrench.Portfolios(filename="Portfolios_Formed_on_ME")
The data retrieved and arranged.
The names of data table.
The file name of portfolio data.
The name of portfolio data file as listed in (http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html), the default is "Portfolios_Formed_on_ME". So far, this function supports retrieving 24 portfolio data files:
"Portfolios_Formed_on_ME",#Portfolios Formed on Size
"Portfolios_Formed_on_BE-ME",#On Book-to-Market
"Portfolios_Formed_on_OP", #On Operating Profitability
"Portfolios_Formed_on_INV",#On Investment
"6_Portfolios_2x3", #6 Ports on Size and Book-to-Market
"25_Portfolios_5x5", #25 Ports on Size and Book-to-Market
"100_Portfolios_10x10", #100 Ports on Size and Book-to-Market
"6_Portfolios_ME_INV_2x3", #6 Ports on Size and Investment
"25_Portfolios_ME_INV_5x5",#25 Ports on Size and Investment
"100_Portfolios_ME_INV_10x10",#100 Ports on Size and Investment
"25_Portfolios_BEME_OP_5x5",#25 Ports on Book-to-Market and Operating Profitability
"25_Portfolios_BEME_INV_5x5",#25 Ports on Book-to-Market and Investment
"25_Portfolios_OP_INV_5x5",#25 Ports on Operating Profitability and Investment
"32_Portfolios_ME_BEME_OP_2x4x4",#32 Ports on Size,Book-to-Market and Operating Profitability
"32_Portfolios_ME_BEME_INV_2x4x4",#32 Ports on Size,Book-to-Market and Investment
"32_Portfolios_ME_OP_INV_2x4x4",#32 Ports on Size,Operating Profitability and Investment
"5_Industry_Portfolios", # Industry Portfolios by c(5,10,12,17,30,38,48,49)
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
This function connects with <"http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html"> and downloads the specified portfolio data constructed by factors. Currently, we support on retriving and arranging 24 portfolio datasets. Sometimes, the datafile contains multiple data tables, hence the code returns a list. Since the csv spreedsheet on the web is not structured data table, it does not only contain irregular headings, but also 7, or more, data tablesr; and the trivial portfolio data tables labelled by "Portfolio Formed by ..." are omitted. Check the "table.names" of output object.
#To save time, the example below is commented.
#output=getFrench.Portfolios(filename="5_Industry_Portfolios")
#output$file.name
#dim(output$data[[1]])
#output$data
#output$table.names
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