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Fama French & Liquidity Factors (WRDS)
CCID Required
  • licensed for U of A
Fama French & Liquidity Factors (WRDS)
CCID Required
  • licensed for U of A

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Description

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. Source is Frenchs website at Dartmouth.

Conditions of Use

Use of this product is restricted to students, faculty, and staff of the University of Alberta and requires login with a current CCID. It is the responsibility of each user to ensure that they use this product for individual, non-commercial, educational or research purposes only, and do not systematically download or retain substantial portions of information.

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