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By assuming the procedure you followed in replicate the model is correct and there are not errors in data mining or quality, your findings could be affected and influenced by several reasons. I report as follows those that, according to me, could be the main ones: Data sample: the dataset you used to replicate the Fama-French model could be too little in ...


1. Determine Factors Economically, the use of factor models can be either motivated using the ICAPM or the APT. Although there are some theoretical differences between the model, for empirical and practical work these differences are irrelevant. In the end, both models stipulate that returns and expected returns are linear functions of the factors: $$ ...


Time Series Factor modelling is a very good and practical manual to building time series factor models. FactorAnalytics is a very good R package that allows you to fit timeseries, fundamental and statistical factor models. A good reference to factor models would be Chapter 15 of this book.


The following paper (and the references given within) focuses on the practical aspects of implementation of factor-based investing and gives an overarching framework for the more technical answers here: Practical Considerations for Factor-Based Asset Allocation by Kang, X. (Standard & Poor's), Ung, D. (Chartered Alternative Investment Analyst ...

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