famafrench.utils.priormonthToDay

famafrench.utils.priormonthToDay(freq, j_mth, k_mth)[source]

Consistent w/ Fama and French (2008, 2016), map the prior (j-k) monthly return strategy into a daily strategy (see Ken French’s online documentation).

Parameters

  • freq (str) –

    Frequency used to calculate prior (j-k) return strategy. Possible choices are:

    • D : daily

    • 'M : monthly

  • j_mth (str) – Lagged month (or day) we start measuring stock performance.

  • k_mth (str) – How many months (or days) are used in measuring stock performance.

Returns

j_per, k_per – j_per = j_mth and k_per = k_mth if freq = M. Otherwise, monthly figures mapped to daily periods using the description found on Ken French’s online documentation:

Return type

tuple, str

Note

Monthly M (daily D) strategies involve portfolios formed every month t-1 (or day t-1) for month t (or day t).

Note

The Fama and French (2008, 2016) momentum strategy definition differs from that of Jegadeesh and Titman (1993). Jegadeesh and Titman (1993) consider J/K strategies, which include portfolios formed on stock performance over the previous J months (excluding the last week or month prior to portfolio formation, to remove the large short-horizon reversals associated with bid-ask bounce) and hold portfolios for K months, where J, K \(\in\) {3,6,9,12}. Future updates to this module will extend this package to include these additional momentum strategies.

References

  • Fama, Eugene F., and Kenneth R. French. (2008). Dissecting Anomalies, Journal of Finance, 48(4), pp.1653-1678

  • Fama, Eugene F., and Kenneth R. French. (2016). Dissecting Anomalies with a Five-Factor Model, Journal of Finance, 48(4), pp.1653-1678