TST: Update Fama French Test for changes to CRSP

See: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/changes_crsp.html Please note: CRSP has recently completed the Pre62 Daily Data Series Project. The addition of these new daily data results in changes to month-end prices and to dividend ex-dates. These changes have resulted in many small changes to historical returns on my website.
pydata · Oct 1, 2017 · 3062469 · 3062469
1 parent 331e389
commit 3062469
Showing 1 changed file with 4 additions and 4 deletions.
diff --git a/pandas_datareader/tests/test_famafrench.py b/pandas_datareader/tests/test_famafrench.py
@@ -39,10 +39,10 @@ def test_f_f_research(self):
 
         exp = pd.DataFrame({'Mkt-RF': [-3.36, 3.4, 6.31, 2., -7.89, -5.56,
                                        6.93, -4.77, 9.54, 3.88, 0.6, 6.82],
-                            'SMB': [0.37, 1.19, 1.49, 4.99, 0.0, -2.01, 0.21,
-                                    -2.99, 3.92, 1.14, 3.68, 0.68],
-                            'HML': [0.3, 3.18, 2.15, 2.83, -2.41, -4.52, -0.21,
-                                    -1.96, -3.12, -2.52, -0.91, 3.78],
+                            'SMB': [0.38, 1.2, 1.42, 4.98, 0.05, -1.97, 0.16,
+                                    -3.00, 3.92, 1.15, 3.70, 0.7],
+                            'HML': [0.31, 3.16, 2.1, 2.81, -2.38, -4.5, -0.27,
+                                    -1.95, -3.12, -2.59, -0.9, 3.81],
                             'RF': [0., 0., 0.01, 0.01, 0.01, 0.01, 0.01,
                                    0.01, 0.01, 0.01, 0.01, 0.01]},
                            index=pd.period_range('2010-01-01', '2010-12-01',