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1answer
27 views

Fama-Macbeth regression in Eviews

I'm adding a new factor to Fama-French three-factor model. I have constructed portfolios and got 18 three-way sorted portfolios. Now, I think I have to do Macbeth procedure to test the model. I'm ...
1
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0answers
52 views

Calculating weekly portfolio returns for portfolios sorted by volatility

I am having some issues with finding the right code in STATA for sorting the data into portfolios by historical volatility (standard deviation) of returns and then calculating portfolio returns and ...
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0answers
10 views

is it necessary to make currency change in fama french

is it necessary to change the currency of return and market cap from Malaysian currency to dollar , before dividing the stocks in small medium large.
0
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1answer
32 views

Fame-French alpha for a single stock

I want to study the impact of corporate culture on risk-adjusted stock returns. After quantifying corporate culture I wanted to use panel methodology (I have a sample of 100 S&P500 companies over ...
0
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1answer
27 views

How to get the average monthly percent excess returns for portfolios formed?

I'm replicating the Fama-French five factor model. I have formed factor portfolios. I'm not sure how to calculate the average monthly percent excess returns for portfolios. In other words, I want to ...
3
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1answer
200 views

Could someone teach me how to construct the portfolios by compute (like using R, Excel or Eviews)

Recently, I am doing my dissertation that covers asset pricing theory. The empirical test of Fama 3 factors model is an important part of this dissertation. Please let me review the fama model. Fama ...
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0answers
46 views

“Risk” Factor vs Double Sorts

With regards to a cross-sectional asset pricing (stocks) study, I am testing if one variable can explain another. One common approach to do this, is to use the double-sorting portfolio technique (sort ...
2
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1answer
38 views

News about CAPM/FF3FM or asset pricing models in general

Is there any interesting news about CAPM/FF3FM or asset pricing models in general lately? Would have been greatly appreciated!
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0answers
27 views

Practical Implications of Fama French Loadings

Suppose you have historical returns for a portfolio. You regress these against the Fama French factors to get the loadings/coefficients. How can you use this information? For example, can you use the ...
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0answers
31 views

Fama-French Factors for ETFs and MFs

Is there a public source or a paid service that provides FF3 (or FF4 = "Carhart") factor loadings for US traded ETFs and Mutual Funds? Something that is regularly updated and that provides comparable ...
1
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1answer
64 views

Regressing using Fama-French portfolios with small amount of stocks

I'm doing some research for my thesis and I was wondering if it is possible to only use monthly stock price data for 22 stocks and construct Fama-French portfolios out of them and then regress? What ...
2
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2answers
78 views

Best practice for international Fama-French analysis

First I have to admit that I have never been really good at thinking about the implications of investments in different currencies. I don't know why but it makes my head spin, this is why I am no FX ...
1
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0answers
19 views

Does the FF 3-Factor model work with unadjusted prices?

I am trying to investigate some trading strategies based on the Fama French 3-factor model, for which I assumed I need to use adjusted prices to account for dividends and splits. However, my ...
4
votes
2answers
175 views

Fama-Macbeth second step confusion

I am confused on how to run the second step of the Fama Macbeth (1973) two step procedure. I have monthly stock returns and monthly Fama-French factors, for around 10,000 stocks. This creates an ...
4
votes
1answer
92 views

Fama-French Factors in €

I am having a bit of a problem with currency conversion issues. What I do: I sort European stocks based on their book-to-market ratio, each year I form a portfolio (equal-weight) with the 10 stocks ...
3
votes
4answers
222 views

Intuition behind Fama-French factors

In the Fama-French 3-factor model the portfolio returns are explained by the market the SMB factor (Small [market capitalization] Minus Big) and the HML factor (High [book-to-market ratio] Minus ...
0
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0answers
79 views

UK company data from Datastream: FBRIT+DEAKUK versus WSCOPEUK?

I'm working on a paper investigates the existence of a profitability premium in the UK starting in 1970. (Novy-Marx, 2013) The core methodology is creating Fama and French portfolios, testing the ...
3
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3answers
244 views

French and Fama Three Factor Model - What is the correct formula?

I hope you can help me with the following question. What is the correct way to write the formula for the French and Fama Three Factor Model. I have currently found three versions of this formula, ...
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2answers
116 views

Does it make sense to calculate Fama-French betas of a single stock?

Or should Fama-French only be applied to portfolios?
3
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1answer
195 views

French Data from daily to monthly returns

Ken French on his website publishes daily, monthly and yearly returns for the Fama-French 3 Factors model which are excess market (Rm-Rf), small-minus-big (SMB) and high-minus-low (HML) returns. I ...
4
votes
1answer
104 views

volatility factor

I am trying to add a volatility factor to Fama-French factor model. Does anybody know of a source where I can get data for "volatility mimicking factor" or suggest a simple methodology for calculation....
4
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2answers
107 views

Fama French model-small market beta (weird)

I am analyzing if good governance portfolios outperform bad governance portfolios. After dividing firms with good governance into one pf and bad ones into another for European companies I tried to run ...
2
votes
1answer
69 views

How to deal with missing returns when creating value (equal) weighted returns

recently I am doing cross sectional regressions, and getting confused about missing returns. Suppose we have 100 stocks, then we want to construct a value weighted return (or equal weighted return). ...
6
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2answers
599 views

How to interpret the French-Fama SMB factor?

I regressed ten portfolios on the Fama French factors and get significant loadings on the SMB factor. However, if I look at the actual average market cap of these portfolios, the portfolios with the ...
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3answers
4k views

Please give a step-by-step explanation on how to build a factor model

Factor models such as Fama-French or the other ones that are partially summarized here work on the cross-section of asset returns. How are the factors built, how are sensitivities/coefficients ...