Examples using Ken French US Data

These examples uses data from Ken French's data library to illustrate various empirical methods

Lectures

Data examples

Note that you will have to edit the files downloaded from Ken French's page to get them into a statistics package. Typically a file holds both VW and EW versions of portfolios, and monthly / annual data in the same file. This needs to be split into separate files.

R code examples

The following are example of reading the FF data into zoo time series