R Dataset / Package Ecdat / Capm

On this R-data statistics page, you will find information about the Capm data set which pertains to Stock Market Data . The Capm data set is found in the Ecdat R package. You can load the Capm data set in R by issuing the following command at the console data("Capm"). This will load the data into a variable called Capm. If R says the Capm data set is not found, you can try installing the package by issuing this command install.packages("Ecdat") and then attempt to reload the data with the library() command. If you need to download R, you can go to the R project website. You can download a CSV (comma separated values) version of the Capm R data set. The size of this file is about 13,698 bytes.

Stock Market Data

Description

monthly observations from 1960–01 to 2002–12

number of observations : 516

Usage

data(Capm)

Format

A time serie containing :

rfood: excess returns food industry
rdur: excess returns durables industry
rcon: excess returns construction industry
rmrf: excess returns market portfolio
rf: riskfree return

Source

most of the above data are from Kenneth French's data library at http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.

References

Verbeek, Marno (2004) A Guide to Modern Econometrics, John Wiley and Sons, chapter 2.

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