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How do I calculate the three factors? The first "market" factor seems straightforward. However the SmB and the HmL factors seem to require accounting data. Also, how does one calculate the momentum factor? Can you write down explicit formulas with clearly defined notation, or provide a reference that describes the canonical calculations?

Is the necessary accounting data even publicly available?

Are there any publicly-available R or Python scripts that implement the downloading and/or calculations?

How do I calculate the three factors? The first "market" factor seems straightforward. However the SmB and the HmL factors seem to require accounting data. Also, how does one calculate the momentum factor? Can you write down explicit formulas with clearly defined notation, or provide a reference that describes the canonical calculations?

Is the necessary accounting data even publicly available?

Are there any publicly-available R or Python scripts that implement the downloading and/or calculations?

How do I calculate the three factors? The first "market" factor seems straightforward. However the SmB and the HmL factors seem to require accounting data. Also, how does one calculate the momentum factor? Can you write down explicit formulas with clearly defined notation, or provide a reference that describes the canonical calculations?

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How to calculate Fama-French factors?

How do I calculate the three factors? The first "market" factor seems straightforward. However the SmB and the HmL factors seem to require accounting data. Also, how does one calculate the momentum factor? Can you write down explicit formulas with clearly defined notation, or provide a reference that describes the canonical calculations?

Is the necessary accounting data even publicly available?

Are there any publicly-available R or Python scripts that implement the downloading and/or calculations?