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1answer
38 views

Calculate Idiosyncratic Risk?

I have basic finance background but I am trying to calculate idiosyncratic risk as measure for firm risk in my CEO gender research. I have found the following on Alpha architect but I am unsure of ...
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0answers
22 views

What time series to use for plotting CAPM analysis

Hello quant community, I need to analyze 5 stocks for a paper, create a tangential portfolio and measure it against RRR mandated by CAPM. However after thoroughly grinding all forums in Cross-...
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0answers
20 views

Tracking when/why datasets are removed from Quandl

While exploring this blogpost on the Tidyquant library for R, I noticed a Fama French dataset on Quandl (dataset: KFRENCH). This no longer (circa July 2018) seems ...
0
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1answer
45 views

Studies utilizing Fama French factors

Are there any studies in reputed academic journals that have used the data library offered by Kenneth R. French regarding the Fama French 3 factor model? I wish to use this data in my master's ...
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0answers
22 views

What does 'Average Firm Size' in the Fama-French sector return dataset mean?

I was looking at the Fama-French sector returns, and there are data on 'Average Firm Size'. Can anyone point me to what that means? Is it average market cap per firm? Thanks a lot!
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0answers
46 views

FF 3 Factor Model - Seeking Advice

I'm an incoming sophomore statistics major who's just getting into actually analyzing real financial data. I attempted to regress FF's 3 factors against a small cap value fund to evaluate its ...
2
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1answer
44 views

Fama and French 1997 Cost of Equity

Dear Quantitative Finance Members, I was wondering if you can clarify me the following issue. I am trying to estimate the cost of equity following "Industry costs of equity" (Fama and French, 1997). ...
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1answer
56 views

FF 5 factor model Intercept equal 0

In the paper A five-factor asset pricing model from Fama and French (JFE 2015) they say at page 3: "Treating the parameters in (4) as true values rather than estimates, if the factor exposures $...
3
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1answer
321 views

what does “share codes” in Fama and French (2015) exactly mean?

I am new to US stocks and find that US stocks are distinguished by ticker symbols. For example, AAPL is for Apple Inc. hwoever, in CRSP and COMPUSTAT, there are CUSIP, PERMNO and PERMCO to distinguish ...
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1answer
66 views

Correct choice of SMB factor for regression models

I am currently conducting a performance analysis, where I use the 3-, 4-, and 5-factor models, hence $R_{it}-R_{Ft}=\alpha+b_{i}RMRF+s_{i}SMB+h_{i}HML$ $R_{it}-R_{Ft}=\alpha+b_{i}RMRF+s_{i}SMB+h_{i}...
0
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0answers
113 views

Fama-MacBeth regression

I would like to estimate the following equation, but I don't know which model using: $R_{i,t}=\alpha_i b_t + \beta Cov(R_{i,t},R^m_t)$ My depend variables (the variables I have) are $b_t$ and $Cov(R_{...
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0answers
24 views

Geometric or arithmetic mean for excess return of Carhart four-factor model?

In Carhart's article from 1997 "On Persistence in Mutual Fund Performance" he has a table (Table II) showing monthly excess return for RMRF, SMB, HML and WML. I'm just curious if anyone knows if it is ...
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0answers
54 views

Are the Fama-French factor portfolios calculated based on absolute or relative value`?

I'm currently trying to replicate a Carhart four-factor model on the European stock market for a project, but I'm unsure how the factor portfolios are formed (replicating it by using the original ...
2
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1answer
202 views

Rsquared in Fama Macbeth using rolling window

I am trying to do Fama Macbeth regression on some tradable factors using 5-year rolling window updated monthly. However, I am a little bit confused when calculating the final R-squared of the model. I ...
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0answers
42 views

FF5 model: What Small RMW means

I want to calculate a cumulative return of (small RMW - big RMW) portfolio. However, I cannot understand what "small RMW(or big RMW)" means exactly. Can you guys explain what it means? And Give me ...
2
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1answer
41 views

Returns and Factors for European Market Kenneth French Database

I am planning to estimate Fama-French model for mutual funds with European equity scope. I am thinking about using the European factors from Kenneth French database, which are computed in USD. The ...
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0answers
68 views

Should Fama French Factors lagged?

I am estimating returns of individual components of the SP500 using a 3-factor FF model. I am using the estimated returns to build a simulated trading strategy updated daily, where I will construct a ...
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0answers
111 views

Fama French (2000): Characteristics, Covariances and Average Returns - intuition behind sorting of the returns

I am in the middle of doing my graduate programme in Accounting and Finance. Right now, I am taking a ph.D level course in Asset Pricing, wherein our first assignment/task is to recreate some tables ...
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0answers
54 views

Applying test assets in Fama Macbeth cross-sectional regressions

I have a question regarding the use of test assets in the 2-step Fama Macbeth regression approach. I try to find the determinants of expected returns for a specific industry. In the first (time ...
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0answers
341 views

Creating Factor mimicking portfolio returns

I have some trouble understanding how to create factor mimicking portfolio returns. As pointed out in this question, Tsay provides a small description, but I am unsure if my procedure is correct. In ...
1
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2answers
302 views

Why do Fama French use NYSE breakpoints in the factors creation

Why do Fama French use NYSE breakpoints in the factors creation and not just aggregate all the stocks on the three exchanges and use that to create the portfolios used to create factors.
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0answers
135 views

Fama French- typical time lag

I have daily prices of 400 stocks for the last 10 years. I have to create each month a portfolio of 20 stocks that minimizes variance with 2 approaches: 1) Estimate volatility with a GARCH(1,1) model ...
2
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1answer
630 views

Interpreting the coefficients of Fama-MacBeth regression

According to Fama & MacBeth (1973) two-step regression, you start with estimating the beta factors. When applying the Fama-French 3-Factor model, you first run the linear regression $$r_{i,t}=α_i+...
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1answer
209 views

Calculating fund alpha using Fama-French 3 factor model?

My dissertation requires me to evaluate fund performance, and for that I need to find the alpha for each fund. I have 173 funds total. I have all the inputs for the 3-factor model, and I realise ...
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2answers
151 views

How to run Fama-French four-factor model cross-country panel analysis?

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 ...
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0answers
12 views

What is the best data range for calculating Risk Premiums for Market, Size and Value?

In French's website where he posts data, his data goes back to 1926. http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html In Fama French's paper "The equity risk premium" they ...
5
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1answer
83 views

Is the Fama-French website data free of the serious selection bias pre-1962 where it's tilted toward big historically successful firms?

Fama and French use data starting in 1963 in both 1) "Common risk factors in the returns on stocks and bonds" (1993) and 2) "The cross-section of expected stock returns" (1992) and mention in (2) ...
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1answer
33 views

Why do Fama French's “Common risk factors in the returns on stocks and bonds” use data starting in 1963? Availability or convenience for results?

What is the reason Fama French's "Common risk factors in the returns on stocks and bonds" use data starting in 1963? Was it availability or convenience for results?
3
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2answers
309 views

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 ...
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0answers
149 views

How are Fama French Factor Returns for the last 3 and 12 months calculated?

In the Fama/French data library the monthly research factors for the Fama-French-3-Factor-Model and the Fama-French-5-Factor-Model are presented. I don't see how they are calculating the factor ...
1
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1answer
98 views

Understanding Fama/Frenchs' Five Factors - Returns or Excess Returns?

two short questions: If I download the five factor data from Kenneth French's website (http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html) and for example calculate the average ...
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0answers
57 views

Persistence for alpha (abnormal return) in a time-series of stock returns

I'm trying to fit a model which would estimate the persistence of alpha (abnormal return or the intercept from CAPM/Fama-French 3-factor model). Any suggestions? Datasample consists of stock returns ...
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0answers
68 views

how to interpret the alphas of asset pricing model?

As per Fama french, for a model to efficiently capture variations in stock return alphas should be 0. Is it possible to have alphas with negative coefficients. Does that mean that those alphas are ...
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0answers
80 views

Statistical test to analyse the effectiveness of asset pricing models?

Besides simple regression analysis, diagnostic tests to detect heteroscedasticity and autocorrelation. Are there any more statistical tests to examine the efficiency of asset pricing models (CAPM, ...
1
vote
1answer
108 views

Comparison of the four asset pricing models

I am analysing the four commonly used asset pricing models (CAPM, F3F, C4F, F5F) to determine which one is most effective.I have performed time series regressions on the 25 value weighted portfolios ...
2
votes
1answer
2k views

how to interpret the GRS F test values?

I'm comparing the performance of Fama French three factor and Carhart four factor models. For the regression analysis, I have used the 25 Value Weighted portfolios sorted on size and B/M. The Table ...
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1answer
196 views

Carhart (1997) momentum factor loading

I am evaluating the performance of a sample of 1000 mutual funds over the period 2000 to 2017 using Carhart (1997) four factor model. As a way to test for robustness, I use two benchmarks. The CRSP ...
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0answers
962 views

Calculate the Fama-French Factors in Python

I am starting my journey in Quant Finance, and was hoping someone could help me. Im trying to work out how to build the Fama French Factors using Python myself, rather than use those already ...
1
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1answer
665 views

fama French regression in Eviews

I'm trying to figure out how to perform CAPM, the fama french 3 Factors and 5 Factors and the Carhart 4 factors regressions in Eviews. I downloaded all the data from French's website. The 3 Factors ...
0
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1answer
356 views

Fama french model: Daily excess return calculation

I have a decent knowledge of econometrics, but would like to have some help with the procedure of FF regression.Suppose I would like to know if a stock, say AAPL, has outperformed the Fama French 3 ...
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1answer
322 views

How do I control for a firm's “factor loadings” based on the Fama French model in a regression model?

I asked this question before, but in the wrong community (sorry): I want to explain stock returns in a regression model. Besides regressing against my main explanatory variables, I want to control ...
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0answers
66 views

Fama-French Global Factor Universe

I'm trying to replicate the Fama-French Global 3 Factor portfolios, but don't know how they define their universe. There are some details on his website, but they only cover ranking methodology and ...
2
votes
1answer
331 views

Fama/French momentum replication: risk-free rate missing on one of the legs?

I am using a python script to replicate the monthly UMD factor, disregarding small caps (ie, focusing only on the "BIG HiPRIOR" and "BIG LoPRIOR" sub-portfolios in prof. French's website). For that ...
2
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1answer
373 views

Obtaining the Data and Calculating the actual Fama-French Factors for top NDXT companies

I am very new to the world of finance (a statistician) and I would like to run time series regressions for 3 and 5-factor Fama-French model in R but before I do that, I am very puzzled about obtaining ...
2
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0answers
165 views

Regressing non-USD returns on FF 3-factor returns

I am analysing some portfolio returns from the perspective of a Danish investor, i.e. in the local currency, DKK. I want to regress portfolio returns in DKK on the returns of a 3 factor Fama & ...
6
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2answers
684 views

Philosophical Question about Factor Models

This might be a dumb question, but on a purely understanding level it is hard for me to wrap my head around the basic interpretation of some factor models. With the CAPM the interpretation of the $\...
2
votes
1answer
974 views

Why were Fama/French Momentum Factors discontinued in 2016?

Is there a reason or some reference somewhere why the Fama/French Momentum Factors (WML) were discontinued at June 30, 2016, see e.g. here: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/...
5
votes
1answer
740 views

How to use factor models for prediction?

I was looking at this thread here, reading about how to run regressions and thereby construct factor models. Assuming these factor models are properly specified, I am trying to better understand how ...
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3answers
11k views

How exactly do I calculate and interpret factors in Fama-French model?

Could anyone explain me how to interpret factors and what kind of regressions I should run? I have already calculated the factor returns as well as 6 Fama-French portfolio returns, the only problem ...
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2answers
519 views

Fama/French 3 Factors: How to convert published daily/weekly/monthly values to semi-annual/annual?

In the famous Ken French web side there is database of historical values of FF 3 factors model. The partition is between daily/weekly/monthly tables. Is it possible (and how) to transform one of ...