Fama and French three factors model and Fama and French five factors model are widely used in the performance evaluations of stocks and portfolios and for the cost of equity calculations. While it is challenging to build its risk factors in conventional spreadsheet programs such as MS Excel, the job is relatively easier in programmable statistical software such as Stata and R. For this reason, we have developed efficient Stata codes to estimate Small minus Big (SMB), High minus Low (HML), left-hand side (LHS) portfolios and their returns, and other related tasks. These codes are easy to implement and understand or modify for unique problems.

GRS tests

We have also developed model testing codes that include Gibson, Ross, and Shanken (GRS) test in Stata, the Fama and French (2015) tests of the average absolute value of the intercepts, A|ai|, A|ai|/A|ri|, the average absolute value of the intercept ai over the average absolute value of ri , which is the average return on portfolio i minus the average of the portfolio returns, the average squared intercept over the average squared value of ri , corrected for sampling error in the numerator and denominator.

Is our code accurate?

The code has been tested for more than 10 times on different data sets and has been confirmed by different researchers. Further, the code produces virtually identical results as reported in the Fama and French papers, when applied on the data sets that are available on the Fama and French website.

For further pricing details of these codes, please contact at attaullah.shah@imsciences.edu.pk

Silver

$149
  • Source Code
  • Example Data
  • Email Support

Gold

$199
  • Source Code
  • Complete Data Handling
  • Email Support

Bronze

$99
  • 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

 

See our full list of completed projects