I'm calculating Fama-French portfolio returns for a country, to test the sign and significance of alphas for portfolios sorted by my variable of interest. I can't use Fama-French data library factors as these are not specific enough to my country.
My question is that, if i'm assessing returns and alphas for 10 different portfolios, formed based on a variable requiring 5 years of past data - should I only include stocks with 5 years of past return data in the construction of my SMB, HML and other Fama-French factors? Or should I instead include all stocks?
Edit: Still looking for help on this if someone is able to help me out!