I'm trying to figure out how to perform CAPM, the fama french 3 Factors and 5 Factors and the Carhart 4 factors regressions in Eviews.
I downloaded all the data from French's website. The 3 Factors data, 5 factors data and the monthly return on 25 portfolios sorted on size and Book-to-Market-Value.
1st Question: TheQuestion 1:
The Picture below is a screenshot of the monthly returnreturns for the 25 portfolios sorted on size and Book-to-market value obtained from French's website,.
What value should I use for the monthly returns of let's say year 1926?
2nd Question:Question 2:
For the Regression in Eviews, Shouldshould I input the Fama French 3 Factors ( Smb$SMB$, hml mkt-rf$HML$, rf$R_{m}$) together with the returns in question 1 in this equation:
Rit - Rf = ai + Ei (Rmt - Rf) + si SMB + hiHML + Ht$$R_{i,t} - R_{f} = \alpha_i + \beta_i (R_{m} - Rf) + \gamma_i SMB + \delta_i HML + \varepsilon_{i,t}$$