The standard FF factors as published by K. French (https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html) are created using CRSP data. If one downloads the (US) factors, the first line in the CSV says:

This file was created by CMPT_ME_BEME_OP_INV_RETS_DAILY using the 202105 CRSP database.

The international factors (Europe, Japan, etc.) on the other hand are created using Bloomberg data:

This file was created using the 202105 Bloomberg database.

We are trying to create FF factors for specific country and we have access to Bloomberg. How would we go about? Is there any information from K. French how he is doing it?

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    $\begingroup$ The factor construction is the similar and described here for HML and SMB. $\endgroup$
    – Kevin
    Jul 14, 2021 at 11:32
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    $\begingroup$ Thanks, yes I'm aware of the methodology. My question is more specific to how to do it using Bloomberg data. In WRDS and Compustat we can be sure that there's no survivorship bias problem as every stock has it's own ID (PERMO). But in Bloomberg, I don't know how we can export all of the data including delisted companies and including market caps and including book values etc. to do the computation. $\endgroup$
    – Martin
    Jul 14, 2021 at 12:19
  • $\begingroup$ In terms of how to get delisted (and whatever data like book value) I think it would be better and quicker to ask the help desk. For delisted, you can look here $\endgroup$
    – AKdemy
    Jul 14, 2021 at 13:57


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