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
: 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
The pandas.DataFrames
dfcrsp_june
anddfcrsp3
are returned as class attributes used in class methodsfamafrench.FamaFrench.mergeCCM()
andfamafrench.FamaFrench.getNyseThresholdsAndRet()
, respectively.- Return type
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.