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I already have a method of calculating Size: the natural logarithm of the market value of equity at the end of the fiscal year.

But how to account for the Market Risk Premium, RMW, CMA and MOM factor for each particular stock?

In the methodology I want to replicate, the following variable is stated in the Factor-model regression:

https://i.stack.imgur.com/SKMBy.png

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Use monthly returns and follow Ken French's website. RMW, CMA, and MOM are all calculated in depth on a near daily basis. From his Dartmouth data library.

MRP

Rm-Rf, the excess return on the market, value-weight return of all CRSP firms incorporated in the US and listed on the NYSE, AMEX, or NASDAQ that have a CRSP share code of 10 or 11 at the beginning of month t, good shares and price data at the beginning of t, and good return data for t minus the one-month Treasury bill rate (from Ibbotson Associates).

RMW

RMW (Robust Minus Weak) is the average return on the two robust operating profitability portfolios minus the average return on the two weak operating profitability portfolios,

    RMW =

1/2 (Small Robust + Big Robust)
  - 1/2 (Small Weak + Big Weak).

CMA

CMA (Conservative Minus Aggressive) is the average return on the two conservative investment portfolios minus the average return on the two aggressive investment portfolios,

    CMA =

1/2 (Small Conservative + Big Conservative)
  - 1/2 (Small Aggressive + Big Aggressive).

Portfolio construction is done based on broadly 70/30 percentile for each of these factors. If you are looking at US returns this has all been calculated, if you are looking at international returns (for some obscure country where they haven't done this), you will define your own portfolio mixes.

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  • $\begingroup$ French's website has some international factors, related to their paper "Size, value, and momentum in international stock returns." $\endgroup$ May 18 '17 at 22:36

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