Fama-French Portfolios & Factors
The original factors on market risk, company size, and style (growth vs. value), along with later extensions.
Eugene Fama and Kenneth French showed that their factors capture a statistically significant fraction of the variation in stock returns (see 鈥淐ommon Risk Factors in the Returns on Stocks and Bonds鈥�, Journal of Financial Economics 33, 1993). The Fama-French data source is Kenneth French鈥檚 web site at Dartmouth.
The Pastor-Stambaugh Liquidity series are described by L. Pastor and R. F. Stambaugh in 鈥淟iquidity risk and expected stock returns鈥� (2003, Journal of Political Economy 111, 642-685). This set includes 鈥榥on-traded鈥� and 鈥榯raded鈥� liquidity factors, with the latter series derived from dividing common stocks (in the CRSP monthly stocks file data) into 10 groups based on each stock鈥檚 sensitivity to the 鈥榥on-traded鈥� liquidity innovation factor (as described in the paper).
The Sadka Liquidity measures are described in R. Sadka in 鈥淢omentum and Post-Earnings- Announcement Drift Anomailes: The Role of Liquidity Risk鈥� (Journal of Financial Economics 80, 309-349). The measures are non-traded, market-wide, undiversifiable risk factors. Price impact is separated into permanent (variable) and transitory (fixed) price effects.
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Data Product DetailsTitle:Fama-French portfolios and factors Product Code/Schema:ff_all Data DictionaryData SpecificationsDate Range:1926-07-01 - 2026-07-31 Update Frequency:Daily Total Size:10.8 MiB Data Last Updated:Sept. 19, 2026, 9:05 a.m. Usage:
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Content SummaryIdentifiers:No identifiers specified for this product. Regions:North America Concepts:Indices and Factors Often Paired With:
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