Published May 12, 2020
| Version 0.1.4
Software
Open
christianjauregui/famafrench: Release 0.1.4
Description
Python package designed to construct and replicate datasets from Ken French's online library (https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html) by accessing WRDS remotely through its cloud server "wrds-cloud".
Efficient performance results from features such as the use of least recently used (LRU) caching.
The current release (as of May 12, 2020) is the initial release: Release 0.1.4
Files
christianjauregui/famafrench-0.1.4.zip
Files
(9.2 MB)
| Name | Size | Download all |
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md5:7f12a12b8ba09d3811cdb123b9f31df0
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Additional details
Related works
- Is cited by
- Other: https://christianjauregui.github.io/famafrench/ (URL)
- Output management plan: https://github.com/christianjauregui/famafrench (URL)
- Is supplement to
- https://github.com/christianjauregui/famafrench/tree/0.1.4 (URL)
References
- Dimson, Elroy. (1979). Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics, (7)2, pp.197-226
- Fama, Eugene F., and Kenneth R. French. (1992). The Cross-section of Expected Stock Returns. Journal of Finance, 47(2), pp.427-465
- Fama, Eugene F., and Kenneth R. French. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), pp.3-56
- Fama, Eugene F., and Kenneth R. French. (2008). Dissecting Anomalies. Journal of Finance, 63(4), pp.1653-1678
- Fama, Eugene F., and Kenneth R. French. (2018). Choosing Factors. Journal of Financial Economics, 128(2), pp.234-252
- Scholes, Myron and Williams, Joseph. (1977). Estimating betas from nonsynchronous data. Journal of Financial Economics, (5)3, pp.309-327
Subjects
- Economics
- https://www.aeaweb.org/
- Finance
- https://afajof.org/
- Financial Engineering
- https://www.iaqf.org/
- Institutional Investing
- https://www.institutionalinvestor.com/
- Financial Management
- https://www.fma.org/