Get the Fama and French factors for the Swedish market

About the Fama and French factors

Fama and French factors calculated over Swedish stocks from 1983 to 2019, aggregated by day, week and month.

Fields definitions

  • rm: market return (SIXRX index)
  • rf: risk-free rate (1 month Swedish T-Bill)
  • rm_rf: market return in excess of the risk-free rate
  • SMB_ew: Small minus Big (equally weighted)
  • HML_ew: High minus Low (equally weighted)
  • MOM_ew: Winners minus Losers (equally weighted)
  • SMB_vw: Small minus Big (value weighted)
  • HML_vw: High minus Low (value weighted)
  • MOM_vw: Winners minus Losers (value weighted)
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