I am trying to replicate the Fama-French three-factor model. I am having issues in the dataset.

1) Using the CRSP/COMPUSTAT merged dataset for firm fundamentals from WRDS, and then dropping data on financial and non-US firms, I have much fewer firms than what FF have in the dataset in French's website. Any suggestions on why this is happening?

2) I am unable to obtain data as far back as 1926 from WRDS.

Any suggestions would be very helpful.

  • $\begingroup$ Have you seen this previous thread? economics.stackexchange.com/questions/10699/… Does it help you? $\endgroup$ – Jan Höffler Sep 7 '17 at 10:22
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    $\begingroup$ Yes, I did. I am aware of French's website but I want to be able to download the data by myself and match their calculations of the factors. $\endgroup$ – FinSJ Sep 15 '17 at 17:37

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