I am studying asset-pricing of "aircarft & defence" firms' stocks internationally covering 30 countries over 1980-2016. I can derive SMB, HML, and WML factors from Kenneth French's websites for GLOBAL MARKETS. How to conduct this four-factor analysis? Should I do panel analysis and account country-fixed effects, or just time-series analysis with global factors. Please advice.
I think a useful paper would be Rapach et al. (2013), International Stock Return Predictability what is the role of the united states? They detail cross country differences in a lot of detail and tell you what you need to consider. In terms of time differences etc. It is also an easy to paper to digest and there is a summary on CFA digest.
What you try to do is not clear.
If you want to reimplement FF factors on a custom universe, you can do it (but paying attention to timezones to not include future information in your data). But be careful: your result will only show you if there is a cross-sectional Factorial effect inside your firms.
May be you want in reality see if your firms have a specific loading according to FF factors of their countries. I.e. do your aircarft & defence firms have a bias in terms of Size, Value or Momentum? In such a case just take their loadings and average them.