famafrench.FamaFrench.getMEDec

FamaFrench.getMEDec(self, freq, dt_start, dt_end)[source]

Construct market value of equity me for Decemeber of every year.

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

me_dec – Dataset w/ December market value of equity me for all permno identifiers in CRSP.

Return type

pandas.DataFrame

Note

Following Fama and French (1992, 1993), portfolios for July of year t to June of year t+1 include all NYSE, AMEX, and NASDAQ stocks for which we have market value of equity me for December of year t-1 and June of year t.

Note

Following the Fama and French methodology, me from December of year t-1 is used to construct BM breakpoints, which are then used to form portfolios from July of year t to June of year t+1.

Note

The approach followed here is similar to the one implemented in SAS found through WRDS Research Applications.