FamaFrench Tools

queryComp	Query Compustat Fundamentals Annual files from wrds-cloud.
queryCrsp	Query CRSP Stock/Security files from wrds-cloud.
queryCrspdlret	Query CRSP’s Stock Event - Delisting files on wrds-cloud.
queryrf1m	Query the risk-free interest rate (ie 1-month Treasury Bill rate) from wrds-cloud.
getCrspDailyRollVar	Calculate rolling daily variance of stock returns for all CRSP stocks queried from wrds-cloud.
aggregateME	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.
getMEDec	Construct market value of equity me for Decemeber of every year.
getMEJune	Construct market value of equity me for June of every year.
mergeCCM	Query the CRSP/Compustat (CCM) Merged Linking Table needed to merge CRSP securities to Compustat companies on (permno, gvkey) identifier pairs.