Is there any data out there on the Fama and French (1993) paper? I am not talking about their factor data available on their website, I am interested in reproducing their factor calculations. I am trying to replicate their research, such as the SMB, HML calculations given on their website.
I have requested access to WRDS which would give me access to the CRSP and Compustat data, then I believe that I should be fine to replicate their research but I was just wondering if the returns data from NYSE, AMEX and NASDAQ from July 1963 - Dec 1991 was available online.
Example of the data:
Mkt-RF SMB HML RF 199007 0.86 0.77 -0.25 0.68 199008 -10.82 -1.60 0.60 0.66 199009 -11.97 1.22 0.80 0.60 199010 9.56 -7.38 -4.24 0.68
I would like to calculate myself the SMB and HML factors.