On this Picostat.com 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. Try to load the Capm data set in R by issuing the following command at the console data("Capm"). This may 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 with library("Ecdat") followed by data("Capm"). Perhaps strangley, if R gives you no output after entering a command, it means the command succeeded. If it succeeded you can see the data by typing Capm at the command-line which should display the entire dataset.
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
most of the above data are from Kenneth French's data library
Verbeek, Marno (2004) A Guide to Modern Econometrics, John Wiley and Sons, chapter 2.
Dataset imported from https://www.r-project.org.