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I'm trying to replicate the Fama-French Global 3 Factor portfolios, but don't know how they define their universe. There are some details on his website, but they only cover ranking methodology and the countries they look at. http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/f-f_3developed.html

Does anyone know which specific exchanges they use (for example in the US it's just NYSE and NASDAQ), and do they apply any other exclusionary criteria like minimum ADV, no REITs, etc?

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  • $\begingroup$ Have you tried downloading a paper where they first introduce or use the global factors? Maybe look through, this paper? I might also look at the paper where they first calculate the Fama-French factors in US data. $\endgroup$ – Matthew Gunn Jun 27 '17 at 20:34

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