University of Texas at Austin
Libraries Home | Mobile | My Account | Renew Items | Sitemap | Help |
support us

University of Texas Libraries

University of Texas Libraries
Celebrating the Life

Databases

Subjects

Types

Full Text

Mobile Access

Title begins with:
0-9 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Find an Article from a Citation

Database News

Access Privileges

Common Problems with Off Campus Access

Report a Problem

Fama-French Portfolios and Factors


Fama-French Portfolios and Factors
Access the Database

Requires an account for use (instructions in About) (WRDS) limited to students, faculty, and staff of the University of Texas at Austin
The Fama-French Portfolios are constructed from the intersections of two portfolios formed on size, as measured by market equity (ME), and three portfolios using the ratio of book equity to market equity (BE/ME) as a proxy for value. Returns from these portfolios are used to construct the Fama-French Factors. Eugene Fama and Kenneth French showed that their factors capture a statistically significant fraction of the variation in stock returns (see “Common Risk Factors in the Returns on Stocks and Bonds”, Journal of Financial Economics 33, 1993). The Fama-French data source is Kenneth French’s web site at Dartmouth.

The Pastor-Stambaugh Liquidity series includes ‘non-traded’ and ‘traded’ liquidity factors, with the latter series derived from dividing common stocks (in the CRSP monthly stocks file data) into 10 groups based on each stock’s sensitivity to the ‘non-traded’ liquidity innovation factor (as described in the paper).

The Sadka Liquidity measures are non-traded, market-wide, undiversifiable risk factors. Price impact is separated into permanent (variable) and transitory (fixed) price effects.

In order to use this service, you must request an account. University of Texas at Austin faculty, Ph.D. students, and Master’s students may request an account by choosing the "register for a WRDS account" link via the web page linked above. Accounts will be activated within 48 business hours.

 
 
User Limits: unlimited
 
Related Subjects
Accounting
Business
Finance
 
Related Types
Company and Industry Information
Statistics and Numeric Data