Quantitative Finance Stack Exchange
Quantitative Finance Stack Exchange

Questions tagged [fama-french]

The three-factor or the five-factor statistical model created by Eugene Fama and Kenneth French to explain stock returns.

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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 above are the values obtained for the GRS…
rahaa
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Are Fama-Macbeth R-Squared (R2) just assymptotically correct?

I have been doing a research on comparing Fama-MacBeth and panel regression procedures. Think of it as an emerging market case for Petersen (2009) link. My research consists of a route based on full-sample betas of Fama-French (for 90 months) and…
M.Ba
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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 one stock from another. In the section "The…
Gregory Xue
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French and Fama Three Factor Model - What is the correct formula?

I hope you can help me with the following question. What is the correct way to write the formula for the French and Fama Three Factor Model. I have currently found three versions of this formula, these being: The question I have, is there are…
Noir
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What is NYSE breakpoint as used by Fama French?

I googled the term, the closest I could find was "breakpoint", which does not fit the context.
Aqqqq
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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.
Andy
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Fama-French Long-Short portfolios. Is short really necessary?

I am student here who just touched on Fama-French portfolios. I read from certain articles that while fama-french portfolios are extremely popular in explaining the returns, in real-life, it is quite impractical to short due to transaction costs…
Xenowills
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Are the FFC factors equal or value-weighted?

As the title already reveals: I need to know whether the Fama-French (carhart) factors are constructed by using equal-weight sorting or value-weight sorting. On Kenneth F. website it says the portfolios are are constructed using the 6 value-weight…
incognito
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SMB data for 3-factor and 5-factor are different on French's website

Does anyone know why the SMB data published in the 3-factor and 5-factor data files on French's website are different? Which one should be used then?
SNU
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Fama-French 5 factor model interpretation of coefficients

I run a regression of the excess return of a company on the 5 Fama-French factors, I obtained the beta coefficients, but I am struggling to understand the meaning of my results. For example, what does a negative beta coefficient for the SMB factor…
Coco
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What does Fama-Macbeth regression model alpha (intercept) measure?

I did a fama-macbeth regression and got alpha of over 2.3%. Dependent variable is monthly returns and independent variables are ln(size) and ln(book-to-market). I was just wondering what does the intercept measure?
JH1
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R^2 and adj. R^2 Fama French 3 factor with industry portfolios

I'm running two-stage Fama Macbeth regressions with 10 portfolios sorted on industry on the LHS and Fama French 3-factors (excess market returns, SMB, HML) created by using the same stocks on the RHS. The "issue" that I have is rather low values for…
Gustav
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Include all stocks in Fama-French portfolio calculations?

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…
Tim Allen
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Minimum degree of freedom required for Fama french three factor model

I want to run Fama/French three factor model each month on daily returns for each securities as I want to calculate idiosyncratic volatility with the help of residuals. It means there are four parameters, i.e. intercept and three betas of risk…
Priya
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How can one apply models such as Fama-French factor model?

I'm reading into Fama-French 3- and 5-factor models. I notice that they use the returns from market portfolios to "predict" stock excess returns. But obviously we cannot know ahead of time the returns from these market portfolios, and the returns…
TimD
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