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 : daily

    • W : weekly

    • M : monthly

    • Q : 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

pandas.DataFrame

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.