Kenneth R. French, Tuck School of Business at Dartmouth

Academic Hanover, New Hampshire mba.tuck.dartmouth.edu

Kenneth French is the Roth Family Distinguished Professor of Finance at Tuck and, with Eugene Fama, the architect of the Fama-French factor models. His public data library is the reference source for factor returns and sorted portfolios used across academic and practitioner research.

What they publish

Kenneth R. French Data Library

Essential

The original free source for Fama-French factor returns and portfolios sorted on size, value, profitability, investment and momentum, for the US and international markets. Every factor study starts here.

Data Advanced Updated regularly from CRSP and Compustat data; monthly, weekly and daily series