FF25: FF25 Dataset

Description

A dataset containing financial data for portfolio analysis with 25 portfolios formed on size and book-to-market ratios.

Usage

FF25

Arguments

Format

A data frame with 25,670 rows and 27 variables:

X: Date in the format YYYYMMDD (int)
X.1: Another column (check what this is; update description as needed)
SMALL.LoBM: Portfolio returns for small firms with low book-to-market ratios (numeric)
ME1.BM2: Portfolio returns for medium-sized firms with book-to-market group 2 (numeric)
ME1.BM3: Portfolio returns for medium-sized firms with book-to-market group 3 (numeric)
ME1.BM4: Portfolio returns for medium-sized firms with book-to-market group 4 (numeric)
SMALL.HiBM: Portfolio returns for small firms with high book-to-market ratios (numeric)
ME2.BM1: Portfolio returns for medium-sized firms with book-to-market group 1 (numeric)
ME2.BM2: Portfolio returns for medium-sized firms with book-to-market group 2 (numeric)
ME2.BM3: Portfolio returns for medium-sized firms with book-to-market group 3 (numeric)
ME2.BM4: Portfolio returns for medium-sized firms with book-to-market group 4 (numeric)
ME2.BM5: Portfolio returns for medium-sized firms with book-to-market group 5 (numeric)
ME3.BM1: Portfolio returns for large firms with book-to-market group 1 (numeric)
ME3.BM2: Portfolio returns for large firms with book-to-market group 2 (numeric)
ME3.BM3: Portfolio returns for large firms with book-to-market group 3 (numeric)
ME3.BM4: Portfolio returns for large firms with book-to-market group 4 (numeric)
ME3.BM5: Portfolio returns for large firms with book-to-market group 5 (numeric)
ME4.BM1: Portfolio returns for firms in the fourth size and first book-to-market group (numeric)
ME4.BM2: Portfolio returns for firms in the fourth size and second book-to-market group (numeric)
ME4.BM3: Portfolio returns for firms in the fourth size and third book-to-market group (numeric)
ME4.BM4: Portfolio returns for firms in the fourth size and fourth book-to-market group (numeric)
ME4.BM5: Portfolio returns for firms in the fourth size and fifth book-to-market group (numeric)
BIG.LoBM: Portfolio returns for large firms with low book-to-market ratios (numeric)
ME5.BM2: Portfolio returns for large firms with book-to-market group 2 (numeric)
ME5.BM3: Portfolio returns for large firms with book-to-market group 3 (numeric)
ME5.BM4: Portfolio returns for large firms with book-to-market group 4 (numeric)
BIG.HiBM: Portfolio returns for large firms with high book-to-market ratios (numeric)

Examples

Run this code

data(FF25)
head(FF25)

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