Silver
- Source Code
- Example Data
- Email Support
Gold
- Source Code
- Complete Data Handling
- Email Support
Bronze
- Source Code
- No Data
- Email Support
Silver Details:
Under the Silver option, you shall get the source code, that is well-commented. You shall also get an example dataset that is useful in seeing the code in action as all the variable names in the example dataset match the code. You shall also have email support in case you have any question. Gold Details:
The primary feature of the Gold option is that we take your raw data file, clean them, merge them, and make them ready for running the code. At the end, you shall get the source code of the data processing steps along with comments. You shall also get the source code of the main model. You shall also have email support in case you have any question. Bronze Details:
Under the Bronze option, you shall get the source code, that is well-commented. You shall also have email support in case you have any question.
For further details, please contact us at:
attaullah.shah@imsciences.edu.pk
Stata.Professor@gmail.com
Page tags: Stata Codes for Fama and French (1993); Stata Codes for Fama and French (1991); Stata Codes for Fama and French (2015); Stata Codes for Fama and French 3 Factors model; Stata Codes for Fama and French Five Factors Model; Application of Fama and French model in Stata; Estimation of Fama and French Model in Stata; Eviews; SPSS; R; SAS;
References
- Christie, W. G., & Huang, R. D. (1995). Following the pied piper: Do individual returns herd around the market?. Financial Analysts Journal, 51(4), 31-37.
- Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking & Finance, 24(10), 1651-1679.
No doubt, the estimation of Fama-French Models is a tedious task and there was a need for a routine in Stata that could help us. To me, it is a great service to researchers in Eco & Fin and I’d like to appreciate Shah Sahib for this contribution.
Dear Professor,
it is written “Since the assumption is that the financial year ends in June”. Where does this assumption come from or is this just an example how we would work if a companies fiscal year would end in June?
Thank you!
Dear Professor,
it is written “Since the assumption is that the financial year ends in June”.
Where does this assumption come from or is this just an example how we would work if a companies fiscal year would end in June?
Thank you in advance!
Majority of research papers state that the financial year in the given country(ies) end in June. However, if majority of the companies in your country have financial year ending in some other month, you would use that month as reference.