famafrench.FamaFrench.queryrf1m

FamaFrench.queryrf1m(self, freq, dt_start, dt_end)

Query the risk-free interest rate (ie 1-month Treasury Bill rate) from wrds-cloud. The risk-free interest rate is compounded to higher frequencies when needed.

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

rf1m – Cleaned dataset w/ time-series of the risk-free interest rate (ie 1-month Treasury Bill rate) used in the construction of the Market Premium.

Return type

pandas.DataFrame