Low- and High-Dimensional Asset Prices Data

Published: 16 May 2018 | Version 3 | DOI: 10.17632/ndxfrshm74.3
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Description of this data

The data files contain seven low-dimensional financial research data (in .txt format) and four high-dimensional daily stock prices data (in .csv format). The low-dimensional data sets are provided by Lorenzo Garlappi on his website, while the high-dimensional data sets are downloaded from Yahoo!Finance by the contributor's own efforts. The description of the low-dimensional data sets can be found in DeMiguel et al. (2009, RFS).

Experiment data files

  • Empirical Datasets
    Cite

    The data files contain seven low-dimensional financial research data (in .txt format) and four high-dimensional daily stock prices data (in .csv format). The low-dimensional data sets are provided by Lorenzo Garlappi on his website, while the high-dimensional data sets are downloaded from Yahoo!Finance by the contributor's own efforts. The description of the low-dimensional data sets can be found in DeMiguel et al. (2009, RFS).

  • Twenty size- and book-to-market portfolios and the MKT, SMB, and HML portfolios; Number of assets: 20+3; Time period: 07/1963-11/2004; Frequency: Monthly; Abbreviation in papers: FF-3-factor; Source: Ken French’s Web site / Lorenzo Garlappi's Web site

  • Twenty size- and book-to-market portfolios and the US equity MKT; Number of assets: 20+1; Time period: 07/1963-11/2004; Frequency: Monthly; Abbreviation in papers: FF-1-factor; Source: Ken French’s Web site / Lorenzo Garlappi's Web site

  • Twenty size- and book-to-market portfolios and the MKT, SMB, HML, and UMD portfolios; Number of assets: 20+4; Time period: 07/1963-11/2004; Frequency: Monthly; Abbreviation in paper: FF-4-factor; Source: Ken French’s Web site / Lorenzo Garlappi's Web site

  • SMB and HML portfolios and the US equity market portfolio; Number of assets: 2+1; Time period: 07/1963-11/2004; Frequency: Monthly; Abbreviation in papers: MKT/SMB/HML; Source: Ken French’s Web site / Lorenzo Garlappi's Web site

  • Fama-French three research factors and the risk-free rate; Number of assets: 3+1; Time period: 02/01/2003-29/12/2017; Observations: 3776; Frequency: Daily; Source: Ken French’s Web site

  • Fama-French five research factors and the risk-free rate; Number of assets: 5+1; Time period: 02/01/2003-29/12/2017; Observations: 3776; Frequency: Daily; Source: Ken French’s Web site

  • Ten industry portfolios and the US equity market portfolio; Number of assets: 10+1; Time period: 07/1963-11/2004; Frequency: Monthly; Abbreviation in papers: Industry; Source: Ken French’s Web site / Lorenzo Garlappi's Web site

  • Eight country indexes and the World Index; Number of assets: 8+1; Time period: 01/1970-07/2001; Frequency: Monthly; Abbreviation in papers: International / Inter'l; Source: MSCI / Lorenzo Garlappi's Web site

  • Daily adjusted close prics of Russell 2000 index components; Component list: as of 07/01/2015; Number of assets: 1794 (1420 with complete data); Time period: 02/01/2013-31/12/2014; Observations: 504; Frequency: Daily; Source: Yahoo!Finance

  • Daily adjusted close prics of S&P 500 index components; Component list: as of 03/01/2018; Number of assets: 503 (408 with complete data); Time period: 02/01/2003-29/12/2017; Observations: 3776; Frequency: Daily; Source: Yahoo!Finance

  • Daily adjusted close prics of S&P 500 index components; Component list: as of 30/06/2015; Number of assets: 499 (448 with complete data); Time period: 03/01/2005-31/12/2014; Observations: 2517; Frequency: Daily; Source: Yahoo!Finance

  • Daily adjusted close prics of S&P 500 index components; Component list: as of 06/01/2017; Number of assets: 503 (481 with complete data); Time period: 03/01/2012-31/12/2016; Observations: 1258; Frequency: Daily; Source: Yahoo!Finance

  • Daily adjusted close prics of S&P 500 index components; Component list: as of 07/01/2015; Number of assets: 496 (486 with complete data); Time period: 02/01/2013-31/12/2014; Observations: 504; Frequency: Daily; Source: Yahoo!Finance

  • Ten sector portfolios of the S&P 500 and the US equity market portfolio; Number of assets: 10+1; Time period: 01/1981-12/2002; Frequency: Monthly; Abbreviation in papers: S&P Sectors; Source: Roberto Wessels / Lorenzo Garlappi's Web site

  • 1-Month Treasury Constant Maturity Rate, Percent, Daily, Not Seasonally Adjusted; Time period: 02/01/2003-31/12/2014; Observations: 3129; Frequency: Daily; Source: Economic Research Division, Federal Reserve Bank of St. Louis

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Latest version

  • Version 3

    2018-05-16

    Published: 2018-05-16

    DOI: 10.17632/ndxfrshm74.3

    Cite this dataset

    Pun, Chi Seng (2018), “Low- and High-Dimensional Asset Prices Data”, Mendeley Data, v3 http://dx.doi.org/10.17632/ndxfrshm74.3

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