factors

factors packages various asset pricing research factor time series for convenient consumption by R users. The data is pulled directly from authors’ website. Install from with devtools::install_github("bautheac/factors").

Fama & French

The fama_french dataset provides the return (factors) and level (risk free rate) time series for the classic Fama/French asset pricing factors as used in their three (Fama and French 1992, 1993, 1995) and most recently five-factor (Fama and French 2015, 2016, 2017) asset pricing models very popular to the asset pricing enthusiasts:

#>    region frequency factor period value
#> 1:     US     month    CMA 197101 -0.14
#> 2:     US     month    CMA 197102 -0.72
#> 3:     US     month    CMA 197103 -2.69
#> 4:     US     month    CMA 197104  0.72
#> 5:     US     month    CMA 197105  0.30
#> 6:     US     month    CMA 197106 -1.74

Stambaugh et al

The stambaugh dataset provides the return (factors) and level (risk free rate) time series for various research asset pricing factors put together by Robert F. Stambaugh and collaborators including Lubos Pastor and Yu Yuan. The factors include traded & non-traded liquidity (Pástor and Stambaugh 2003), as well as market, size and two ‘mispricing’ factors: management & performance (Stambaugh and Yuan 2016):

#>    frequency               factor period       value
#> 1:     month non-traded liquidity 196208  0.00426023
#> 2:     month non-traded liquidity 196209  0.01172080
#> 3:     month non-traded liquidity 196210 -0.07442466
#> 4:     month non-traded liquidity 196211  0.02854555
#> 5:     month non-traded liquidity 196212  0.01435009
#> 6:     month non-traded liquidity 196301  0.00947839

finRes

Although the factors package is self-contained it belongs to the finRes suite of packages where it helps with asset pricing research and analysis.

References

Fama, Eugene F., and Kenneth R. French. 1992. “The Cross-Section of Expected Stock Returns.” *The Journal of Finance* 47 (2): 427–65. <https://doi.org/10.1111/j.1540-6261.1992.tb04398.x>.

———. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” *Journal of Financial Economics* 33 (1): 3–56. <https://doi.org/10.1016/0304-405X(93)90023-5>.

———. 1995. “Size and Book-to-Market Factors in Earnings and Returns.” *The Journal of Finance* 50 (1): 131–55. <https://doi.org/10.1111/j.1540-6261.1995.tb05169.x>.

———. 2015. “A Five-Factor Asset Pricing Model.” *Journal of Financial Economics* 116 (1): 1–22. <https://doi.org/10.1016/j.jfineco.2014.10.010>.

———. 2016. “Dissecting Anomalies with a Five-Factor Model.” *The Review of Financial Studies* 29 (1): 69–103. <https://doi.org/10.1093/rfs/hhv043>.

———. 2017. “International Tests of a Five-Factor Asset Pricing Model.” *Journal of Financial Economics* 123 (3): 441–63. <https://doi.org/10.1016/j.jfineco.2016.11.004>.

Pástor, L’uboš, and Robert F Stambaugh. 2003. “Liquidity Risk and Expected Stock Returns.” *Journal of Political Economy* 111 (3): 642–85.

Stambaugh, Robert F, and Yu Yuan. 2016. “Mispricing Factors.” *The Review of Financial Studies* 30 (4): 1270–1315.