Dataframe: P01:ken_french_ff_factors - Fama-French Research Factors

Monthly Fama-French factors (Mkt-RF, SMB, HML, RF) and aggregate market return. Used to construct the target variable (log market return) for the three-pass regression filter. Covers 1926 to present.

DataFrame Glimpse

Rows: 1140
Columns: 5
$ Mkt              <f64> -2.8
$ Log_Mkt          <f64> -0.028399474521698
$ Mkt-RF           <f64> -3.17
$ RF               <f64> 0.37
$ Date    <datetime[ns]> 2024-12-01 00:00:00

Dataframe Manifest

Dataframe Name	Fama-French Research Factors
Dataframe ID	ken_french_ff_factors
Data Sources	Kenneth French Data Library
Data Providers	Kenneth French
Links to Providers	https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
Topic Tags	Fama-French, Market Returns, Factors
Type of Data Access	P,u,b,l,i,c
How is data pulled?	pandas_datareader / direct HTTP download
Data available up to (min)	2024-12-01 00:00:00
Data available up to (max)	2024-12-01 00:00:00
Dataframe Path	C:\Users\Zara\Documents\GitHub\FINM-Winter\full-stack-quant\p01_kelly_pruitt_2013_data\Market_Returns.parquet
Download Data as Parquet	Parquet
Download Data as Excel	Excel
Linked Charts	P01:ff_factors

Pipeline Manifest

Pipeline Name	Market Expectations in the Cross-Section of Present Values
Pipeline ID	P01
Lead Pipeline Developer	Zara and Dylan
Contributors	Zara, Dylan
Git Repo URL	zaranip/p01_kelly_pruitt_2013
Pipeline Web Page	Pipeline Web Page
Date of Last Code Update	2026-03-05 23:55:41
OS Compatibility
Linked Dataframes	P01:crsp_monthly_stock P01:crsp_market_returns P01:compustat P01:ccm_link P01:ken_french_ff_factors P01:ken_french_25_portfolios