cmri factor library
One of the most challenging agenda in financial research is how to systematically explain variations in returns across different assets and securities with a “pricing model”. The Capital Asset Pricing Model (CAPM) with the “market” as a single risk factor and the Fama-French (1993) Three-Factor Model with “size” and “value” are some prominent examples. In this data library, we provide the Fama-French (2018) 6 factors, comprising market (MKT), size (SML), value (HML), operating profitability (RMW), investment (CMA), momentum (UMD) and the Hou, Xue and Zhang (2015) q-factors, comprising market (MKT), size (ME), investment-to-asset (IA), and return on equity (ROE). Data is available from July 2001 and is updated monthly.
This Factor Library data repository is made possible with the support of Thailand Capital Market Development Fund (CMDF), Thailand Capital Market Research Institute (CMRI) and the Stock Exchange of Thailand (SET).