Take the 2-minute tour ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

For a particular stock, what's the simplest way to calculate betas for the Fama-French factors SMB and HML?

share|improve this question

2 Answers 2

Not sure what the question is. As John points out: the method is linear regression.

For the data you could look at Kenneth French's wegpage for US stocks. In the wikipedia article you find the links to factors for other countries (UK, Germny, Switzerland) - though I have not checked these links.

Note however that the Fama-French model works better for portfolios than for individual stocks.

share|improve this answer

First of all, the only one way to compute factor betas is to use the linear regression model, as suggested by John in the 1st comment. There is not other way to get them. You can get it by simply using excel through the Data Analysis package or using the relative command/code in other statistical command; in Stata, for instance, the command regress gives as output all statistics you need for(betas, st. dev., R^2,...).

Secondly, the Fama-French model is portfolio-based. So, following their model you can compute beta factors on stock portfolios, built ranking stocks on their characteristics (the most used is the size or mkt cap); it would have been no sense to compute betas for each stock in the market you're analyzing, since you did not conclude anything.

Indeed, all regression-based model in financial economics, as the one you cited in the question, are portfolio-based and not stock-based.

Anyway, you can compute betas for each stock theoretically, but you'll not get economically explicable output.

share|improve this answer
While linear-regression is the most simple method for calculating factor betas it is not the only method. There are any number of non-linear methods and even signal processing based methods. federalreserve.gov/pubs/ifdp/2014/1112/ifdp1112.pdf –  rhaskett Oct 20 at 21:59
Of course, but I meant about the way in which FF computed those ones in their paper, and, moreover, @user939259 asked for the simplest way to compute them. –  Quantopic Oct 21 at 7:59

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.