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.