FF5F: Fama and French portfolio daily returns and factors for international markets.

Description

A dataset containing the returns of four portfolios ordered by size and book-to-market. The four portfolios are SMALL/LoBM, SMALL/HiBM, BIG/LoBM and BIG/HiBM in four international markets: North America (NA), Japan (JP), Asia Pacific (AP) and Europe (EU). It also contains the Fama/French 5 factors for each of the markets.

Arguments

Format

A data frame with 314 rows and 41 variables.

Date: Date, months from July 1990 until August 2016
NA.SMALL.LoBM: Monthly returns of portfolio SMALL/LoBM in North American market
NA.SMALL.HiBM: Monthly returns of portfolio SMALL/HiBM in North American market
NA.BIG.LoBM: Monthly returns of portfolio BIG/LoBM in North American market
NA.BIG.HiBM: Monthly returns of portfolio BIG/HiBM in North American market
NA.Mkt.RF: North American market excess returns, i.e return of the market - market risk free rate
NA.SMB: SMB (Small Minus Big) for the North American market
NA.HML: HML (High Minus Low) for the North American market
NA.RMW: RMW (Robust Minus Weak) for the North American market
NA.CMA: CMA (Conservative Minus Aggressive) for the North American market
NA.RF: North American risk free rate
JP.SMALL.LoBM: Monthly returns of portfolio SMALL/LoBM in Japanese market
JP.SMALL.HiBM: Monthly returns of portfolio SMALL/HiBM in Japanese market
JP.BIG.LoBM: Monthly returns of portfolio BIG/LoBM in Japanese market
JP.BIG.HiBM: Monthly returns of portfolio BIG/HiBM in Japanese market
JP.Mkt.RF: Japanese market excess returns, i.e return of the market - market risk free rate
JP.SMB: SMB (Small Minus Big) for the Japanese market
JP.HML: HML (High Minus Low) for the Japanese market
JP.RMW: RMW (Robust Minus Weak) for the Japanese market
JP.CMA: CMA (Conservative Minus Aggressive) for the Japanese market
JP.RF: Japanese risk free rate
AP.SMALL.LoBM: Monthly returns of portfolio SMALL/LoBM in Asia Pacific market
AP.SMALL.HiBM: Monthly returns of portfolio SMALL/HiBM in Asia Pacific market
AP.BIG.LoBM: Monthly returns of portfolio BIG/LoBM in Asia Pacific market
AP.BIG.HiBM: Monthly returns of portfolio BIG/HiBM in Asia Pacific market
AP.Mkt.RF: Asia Pacific market excess returns, i.e return of the market - maket risk free rate
AP.SMB: SMB (Small Minus Big) for the Asia Pacific market
AP.HML: HML (High Minus Low) for the Asia Pacific market
AP.RMW: RMW (Robust Minus Weak) for the Asia Pacific market
AP.CMA: CMA (Conservative Minus Aggressive) for the Asia Pacific market
AP.RF: Asia Pacific risk free rate
EU.SMALL.LoBM: Excess return of portfolio SMALL/LoBM in European market
EU.SMALL.HiBM: Excess return of portfolio SMALL/HiBM in European market
EU.BIG.LoBM: Excess return of portfolio BIG/LoBM in European market
EU.BIG.HiBM: Excess return of portfolio BIG/HiBM in European market
EU.Mkt.RF: European market excess returns, i.e returns of the market - market risk free rate
EU.SMB: SMB (Small Minus Big) for the European market
EU.HML: HML (High Minus Low) for the European market
EU.RMW: RMW (Robust Minus Weak) for the European market
EU.CMA: CMA (Conservative Minus Aggressive) for the European market
EU.RF: European risk free rate

References

Kennet R. French - Data Library (2017) http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html#International

Fama, E. and French, K. R (1993) Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 3-56.

Fama, E. F. and French, K. R (2015) A five-factor asset pricing model, Journal of Financial Economics, 116, 1-22.