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Bumped by Community user
Bumped by Community user
Bumped by Community user
Bumped by Community user
Bumped by Community user
Bumped by Community user
Bumped by Community user
Bumped by Community user
Bumped by Community user

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?

enter image description here

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$$R_{i,t} - R_{f} = \alpha_i + \beta_i (R_{m} - Rf) + \gamma_i SMB + \delta_i HML + \varepsilon_{i,t}$$

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: The Picture below is a screenshot of the monthly return 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?

enter image description here

2nd Question:

For the Regression in Eviews, Should I input the Fama French 3 Factors( Smb, hml mkt-rf, rf) together with the returns in question 1 in this equation:

Rit - Rf = ai + Ei (Rmt - Rf) + si SMB + hiHML + Ht

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.

Question 1:

The Picture below is a screenshot of the monthly returns 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?

enter image description here

Question 2:

For the Regression in Eviews, should I input the Fama French 3 Factors  ($SMB$, $HML$, $R_{m}$) together with returns in question 1 in this equation:

$$R_{i,t} - R_{f} = \alpha_i + \beta_i (R_{m} - Rf) + \gamma_i SMB + \delta_i HML + \varepsilon_{i,t}$$

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fama French regression in Eviews

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: The Picture below is a screenshot of the monthly return 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?

enter image description here

2nd Question:

For the Regression in Eviews, Should I input the Fama French 3 Factors( Smb, hml mkt-rf, rf) together with the returns in question 1 in this equation:

Rit - Rf = ai + Ei (Rmt - Rf) + si SMB + hiHML + Ht