ch10_example

ch10_example - Stock Returns Market Returns Fama French...

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Unformatted text preview: Stock Returns Market Returns Fama French (1993) Factors DAT E GE (3634) GM (3711) IBM (3573) Market (VW) S&P500 rf mktrf smb hml 19800131 0.086 0.097 0.066 0.066 0.058 0.008 0.058 0.016 0.017 19800229-0.074-0.056-0.062 0.001-0.004 0.009-0.008-0.019 0.006 19800331-0.042-0.089-0.122-0.120-0.102 0.012-0.132-0.065-0.010 19800430-0.013-0.014-0.016 0.052 0.041 0.013 0.040 0.009 0.012 19800530 0.058-0.003 0.025 0.060 0.047 0.008 0.052 0.021 0.003 19800630 0.040 0.039 0.061 0.038 0.027 0.006 0.032 0.017-0.009 19800731 0.092 0.126 0.111 0.069 0.065 0.005 0.064 0.043-0.062 19800829-0.031 0.033 0.017 0.024 0.006 0.006 0.017 0.039-0.026 19800930-0.021-0.014-0.021 0.029 0.025 0.008 0.022 0.009-0.046 19801031 0.029-0.069 0.039 0.020 0.016 0.010 0.011 0.024-0.029 19801128 0.143-0.084 0.035 0.105 0.102 0.010 0.095-0.034-0.084 19801231 0.002 0.014-0.004-0.034-0.034 0.013-0.048-0.003 0.027 19810130 0.000 0.022-0.052-0.040-0.046 0.010-0.051 0.029 0.068 19810227 0.090 0.103 0.011 0.016 0.013 0.011 0.005-0.003 0.010 19810331 0.015 0.055-0.029 0.046 0.036 0.012 0.034 0.035 0.006 19810430-0.021 0.021-0.060-0.011-0.023 0.011-0.022 0.044 0.023 19810529 0.002 0.041 0.017 0.014-0.002 0.012 0.002 0.020-0.004 19810630-0.047-0.047-0.015-0.010-0.010 0.014-0.024-0.009 0.051 19810731-0.014-0.031-0.030-0.003-0.002 0.012-0.016-0.022-0.006 19810831-0.084-0.086-0.002-0.056-0.062 0.013-0.069-0.019 0.048 19810930-0.004-0.038-0.018-0.064-0.054 0.012-0.076-0.027 0.052 19811030-0.011-0.182-0.048 0.060 0.049 0.012 0.048 0.022-0.041 19811130 0.113 0.030 0.075 0.046 0.037 0.011 0.035-0.010 0.019 19811231-0.036 0.041 0.044-0.028-0.030 0.009-0.037 0.012 0.008 19820129 0.089-0.013 0.119-0.026-0.018 0.008-0.034-0.012 0.032 19820226 0.006-0.011-0.014-0.051-0.061 0.009-0.060 0.005 0.061 19820331 0.021 0.108-0.034-0.010-0.010 0.010-0.020-0.002 0.039 19820430 0.012 0.018 0.075 0.043 0.040 0.011 0.032 0.015-0.028 19820528-0.035 0.041-0.029-0.028-0.039 0.011-0.039 0.005 0.019 19820630 0.042 0.041-0.014-0.024-0.020 0.010-0.034-0.003 0.015 19820730 0.033-0.042 0.082-0.021-0.023 0.011-0.031 0.009 0.002 19820831 0.144 0.146 0.087 0.119 0.116 0.008 0.111-0.041 0.011 19820930 0.005-0.036 0.041 0.017 0.008 0.005 0.012 0.029 0.003 19821029 0.149 0.217 0.089 0.119 0.110 0.006 0.113 0.023-0.036 19821130 0.087 0.066 0.094 0.052 0.036 0.006 0.046 0.047-0.019 19821231 0.026 0.042 0.113 0.015 0.015 0.007 0.008-0.002 0.000 19830131 0.091 0.014 0.027 0.042 0.033 0.007 0.035 0.026-0.008 19830228 0.048-0.018 0.010 0.030 0.019 0.006 0.024 0.032 0.007 19830331-0.024-0.035 0.028 0.035 0.033 0.006 0.028 0.018 0.019 19830429 0.065 0.154 0.150 0.074 0.075 0.007 0.067 0.005 0.006 19830531-0.076-0.033-0.041 0.013-0.012 0.007 0.006 0.061-0.015 19830630 0.073 0.109 0.081 0.038 0.035 0.007 0.031 0.010-0.039 19830729-0.093 0.012 0.001-0.032-0.033 0.007-0.039 0.015 0.056 19830831 0.025-0.038 0.001 0.003 0.011 0.008-0.004-0.043 0.056 19830930 0.041 0.048 0.062 0.016 0.010 0.008 0.009 0.006 0.010 19831031-0.019 0.053-0.001-0.028-0.015-0....
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ch10_example - Stock Returns Market Returns Fama French...

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