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Kenneth R. French - Home Page - Dartmouth Kenneth R French is the Roth Family Distinguished Professor of Finance at the Tuck School of Business at Dartmouth College He is an expert on the behavior of security prices and investment strategies
Kenneth R. French - Data Library - Dartmouth In this paper Fama and French explain how they produce the U S factor returns in their Data Library and they estimate the effect of the two changes in their process and five major CRSP data-improvement projects on the average values of SMB and HML
Kenneth R. French - Biography - Dartmouth Kenneth R French is the Roth Family Distinguished Professor of Finance at the Tuck School of Business at Dartmouth College He is an expert on the behavior of security prices and investment strategies
Kenneth R. French - Curriculum Vitae - Dartmouth Kenneth R French's curriculum vitae This paper describes his education, publications, working papers, academic experience, honors and miscellaneous experience
Kenneth R. French - Description of Fama French Factors - Dartmouth Historical Data - Fama French 3 Factors Historical archive files are based on data cuts released before the latest one Data are provided annually for each July data cut The July cut has data through July and was released in August of that year If the July archive is not available, the earliest archive after July will be provided
Kenneth R. French - Description of Fama French Factors - Dartmouth See Fama and French, 1993, "Common Risk Factors in the Returns on Stocks and Bonds," Journal of Financial Economics, and Fama and French, 2014, "A Five-Factor Asset Pricing Model" for a complete description of the factor returns Stocks: Rm-Rf includes all NYSE, AMEX, and NASDAQ firms
Kenneth R. French - Description of Fama French Factors - Dartmouth Description of Fama French 3 Factors for Developed Markets Daily Returns: July 1, 1990 – March 31, 2025 Monthly Returns: July 1990 – March, 2025 Annual Returns: 1991–2024 Construction: All returns are in U S dollars, include dividends and capital gains, and are not continuously compounded Market is the return on a region's value
Kenneth R. French - Description of Fama French Factors - Dartmouth The Fama French 5 factors (2x3) are constructed using the 6 value-weight portfolios formed on size and book-to-market, the 6 value-weight portfolios formed on size and operating profitability, and the 6 value-weight portfolios formed on size and investment