Get the Fama and French factors for the Swedish market

About the Fama and French factors

Fama and French factors calculated over every Swedish stock from 1983 to 2016, aggregated by day, week and month.

Fields definitions

  • rm: market return
  • 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 Loosers (equally weighted)
  • SMB_vw: Small minus Big (value weighted)
  • HML_vw: High minus Low (value weighted)
  • MOM_vw: Winners minus Loosers (value weighted)
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