famafrench.FamaFrench.getMEJune

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

Construct market value of equity me for June 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

The pandas.DataFrames dfcrsp_june and dfcrsp3 are returned as class attributes used in class methods famafrench.FamaFrench.mergeCCM() and famafrench.FamaFrench.getNyseThresholdsAndRet(), respectively.

Return type

None

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 June of year t is used to construct ME 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.