arch.data.frenchdata.load¶

arch.data.frenchdata.load() → DataFrame[source]¶

Load the Fama-French factor data used in the examples.

Returns:¶

data – Data set containing excess market, size and value factors and the risk-free rate.

Return type:¶

pandas.DataFrame

Notes

Provided by Ken French, http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html