Construct Fama and French Three Factors in Stata

This video explains how to construct Fama and French three factor model in Stata. We have used the data from CRSP and Compustat and at the end of this video we compare the SMB and HML factors constructed using our code with that of the factors available on Fama's website. We have used CRSP monthly stock return data to construct SMB and HML factors.

Download Stata code to construct FF 3 and 5 factor model

Download PowerPoint presentation used in this video

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[mknkmak]

Excellent. Everything is explained very well. Also, the codes, and dummy data are well organized and constructed. Good thing is codes are made exactly to replicate fama french factors.highly recommended

[viisoreanuoana]

Can you please make an example for daily prices? I have daily data downloaded from Refinitiv so I don’t have that same variables and it is confusing how to create the spreadsheet to upload to stata and also the code part with fiscal year is difficult to understand having daily prices. Thanks

[abdulmateen]

I am using STATA15, how to manage" firstdayofmonth(datevar) " function which is introduced in STATA17, please

[abdulmateen]

Excellent, but dummy data file and codes are missing, please provide them as they would be very helpful. Regards,

[mknkmak]

good work but there is no option to buy from Pakistan