Stata Codes for Fama and French Model

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 cost of equity calculations. While it is extremely difficult 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 includes 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.

Pricing Options


  • Source Code
  • Comments
  • Email Support


Most Popular

  • Source Code
  • Data Handling
  • Comments
  • Email Support


  • Source Code
  • Example Dataset
  • Comments
  • Email Support

Package includes the source code, comments, and email support.

Package includes the source code, comments, and an example dataset that matches the code. The example dataset facilitates the application of the code as all the variable names in the code match exactly the variable names in the dataset.

Package includes the source code, comments, and client's data handling which include merging different datasets, importing data from Excel or CSV files, data cleaning, etc.

For further pricing details of these codes, please contact at

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