famafrench.FamaFrench.aggregateME¶
-
FamaFrench.
aggregateME
(self, freq, dt_start, dt_end)[source]¶ Aggregate market value of equity me for cases in which the same firm (ie single permco identifer) has two or more securities (ie multiple permno identifiers) for a given date.
- Parameters
freq (str) –
Observation frequency. Possible choices are:
D
: dailyW
: weeklyM
: monthlyQ
: quarterly (3-months)A
: annual
dt_start (datetime.date) – Starting date for the dataset queried or locally retrieved.
dt_end (datetime.date) – Ending date for the dataset queried or locally retrieved.
- Returns
dfcrsp2 – Dataset containing single permno (by date) w/ the largest market value of equity me.
- Return type
Note
For the purpose of constructing firm-level me it’s crucial to aggregate me for each (permco, date) identifier pair. This me is assigned to the permno w/ the largest me. The approach followed here is similar to the one implemented in SAS found through WRDS Research Applications.