Download This PaperProduction of U.S. Rm-Rf, SMB, and HML in the Fama-French Data Library
19 Pages Posted: 13 Nov 2023 Last revised: 22 Dec 2023
Date Written: December 18, 2023
Abstract
We describe the effects of data corrections and rule changes on returns to the market factor, Rm-Rf, the size factor, SMB (small minus big), and the value minus growth factor, HML (high minus low book-to-market equity) in the Fama-French Data Library.
Suggested Citation: Suggested Citation
Fama, Eugene F. and French, Kenneth R., Production of U.S. Rm-Rf, SMB, and HML in the Fama-French Data Library (December 18, 2023). Chicago Booth Research Paper No. 23-22, Fama-Miller Working Paper, Available at SSRN: https://ssrn.com/abstract=4629613 or http://dx.doi.org/10.2139/ssrn.4629613
Eugene F. Fama (Contact Author)
University of Chicago - Finance ( email )
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