R Dataset / Package Ecdat / Capm


On this R-data statistics page, you will find information about the Capm data set which pertains to Stock Market Data . The Capm data set is found in the Ecdat R package. You can load the Capm data set in R by issuing the following command at the console data("Capm"). This will load the data into a variable called Capm. If R says the Capm data set is not found, you can try installing the package by issuing this command install.packages("Ecdat") and then attempt to reload the data. If you need to download R, you can go to the R project website. You can download a CSV (comma separated values) version of the Capm R data set. The size of this file is about 13,698 bytes.

Stock Market Data


monthly observations from 1960–01 to 2002–12

number of observations : 516




A time serie containing :


excess returns food industry


excess returns durables industry


excess returns construction industry


excess returns market portfolio


riskfree return


most of the above data are from Kenneth French's data library at http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.


Verbeek, Marno (2004) A Guide to Modern Econometrics, John Wiley and Sons, chapter 2.

See Also

Index.Source, Index.Economics, Index.Econometrics, Index.Observations,



Dataset imported from https://www.r-project.org.

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Attachment Size
dataset-42352.csv 13.38 KB
Dataset License
GNU General Public License v2.0
Documentation License
GNU General Public License v2.0

This documentation is licensed under GPLv3 or later.