# Fama and French data: Replicating research

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.

• (+1) Quick comments: (1) Though I agree with most everything you write, "a few minutes" is hyperbole for someone's first time; simply figuring out how to run SAS scripts on wrds can take hours if one has never done it before. (2) If you're writing code yourself, there are a few wrinkles; it's not altogether trivial. (eg. what do FF exactly mean by "good shares and price data at the beginning of $t$?")? (3) FF are quite precise in their language and research. It's a nice reproducing exercise that can be done in about a day (longer or less depending on your familiarity with various systems). Nov 20 '17 at 19:31