Kenneth R. French is a professor of finance at the Tuck School of Business at Dartmouth University. He has created an extensive library of economic data that is available for download over the web. The website for his data is http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html, and it contains a detailed explanation of the data sets.
The data available at the site is downloadable in ZIP files and can be read directly into DataFrame by specifying the dataset's filename (without .zip) and using the FameFrenchReader function. As an example, the following reads the Global Factors data: