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I am currently taking an econometrics course, and the final assignment in that course is to write a research paper using econometric ideas. I have read Fama and French paper on the three-factor model and was impressed by the model. I would like to write my research paper using the same methodology for the Hong Kong stocks and see if I get the same results.

I am wondering if it's possible for me to run regression using the same data sets that Fama and French used in the model on the U.S. stocks. It will help me to see if I am on the right track. If I get the same numerical values and results as theirs, it shows that I am doing it correctly. Then I can use the methodology to the Hong Kong stocks.

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  • $\begingroup$ Do you want to obtain the data used in Fama and French three factor model? $\endgroup$
    – london
    Feb 16 '16 at 20:32
  • $\begingroup$ Yes that's right. I know that French's webpage has lots of data in it, but I am not sure which ones were used in The Cross-Section of Expected Stock Returns paper. $\endgroup$
    – Jun Jang
    Feb 17 '16 at 16:45
  • $\begingroup$ Created a page for this in the ReplicationWiki (that I founded) and linked your question in the discussion page. Hope it will help. $\endgroup$
    – Jan Höffler
    May 8 '16 at 17:55
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Here is the link that helps you replicate Fama-French 1993 paper.

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  • $\begingroup$ Thank you for the link. Do you know which data sets I need in order to perfectly replicate their paper? (3 factors) $\endgroup$
    – Jun Jang
    Feb 17 '16 at 23:47
  • $\begingroup$ I do not have the data, sorry. But you should be able to replicate their work downloading from the internet the data they described in the paper. Just read their description of how they constructed the variables. Best of luck $\endgroup$
    – london
    Feb 19 '16 at 15:21
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If you would like to replicate you need to collect data for risk-free rate, market return, HML, and SMB. One way is to make these data sets by yourself and another is just use the data set uploaded on Kenneth French web site (http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html). You can use Fama/French 3 Factors or Fama/French 5 Factors for daily, weekly or monthly analysis. If you would like to construct the data set by yourself, you can use the rate of the government bond for the risk-free rate (I heard Hong Kong has its own bond, right). Market return can be calculated from the stock index that covers a wide range of stocks. HML and SMB are more complicated. You need the accounting data set for all the listed company and collect its stock price. You also need book-value, market-value in order to sort the stocks. For the detailed way of calculation, you can go to the link on the above question.

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    $\begingroup$ The OP is asking for data to replicate the paper results. The OP says: " If I get the same numerical values and results as theirs, it shows that I am doing it correctly. Then I can use the methodology to the Hong Kong stocks." The OP is not asking how to adapt the method to Hong Kong, which is the answer you are giving. $\endgroup$
    – luchonacho
    Aug 31 '17 at 13:11

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