Dataframe: P04:fred_treasury_rates -#
Daily Treasury rate dataset combining the 1-month T-bill proxy from the Fama-French data library and 1-year, 2-year, and 10-year constant maturity Treasury rates from FRED. Used in Figure 1 and in intermediate cleaning steps.
DataFrame Glimpse#
Rows: 7828
Columns: 5
$ date <datetime[ns]> 2025-12-31 00:00:00
$ rf_1m <f64> 0.0002
$ treasury_1y <f64> 0.0348
$ treasury_2y <f64> 0.0347
$ treasury_10y <f64> 0.0418
Dataframe Manifest#
Dataframe Name |
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Dataframe ID |
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Data Sources |
FRED, Fama-French Data Library |
Data Providers |
Federal Reserve, Kenneth French |
Links to Providers |
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Topic Tags |
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Type of Data Access |
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How is data pulled? |
Downloaded using pandas_datareader in pull_fred.py. |
Data available up to (min) |
2025-12-31 00:00:00 |
Data available up to (max) |
2025-12-31 00:00:00 |
Dataframe Path |
/Users/jielin/Desktop/full_stack/p04_golez_jackwerth_2024/_data/fred_treasury_rates.parquet |
Linked Charts:
None
Pipeline Manifest#
Pipeline Name |
Holding Period Effects in Dividend Strip Returns |
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Pipeline ID |
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Lead Pipeline Developer |
Jie Lin and Zimeng Yi |
Contributors |
Jie Lin, Zimeng Yi |
Git Repo URL |
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Pipeline Web Page |
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Date of Last Code Update |
2026-03-16 00:21:10 |
OS Compatibility |
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Linked Dataframes |
P04:crsp_sp500_daily |