# Fama-French

**Repository Path**: supercrown/Fama-French

## Basic Information

- **Project Name**: Fama-French
- **Description**: Replication and extension of the study by Fama and French (1993) for three-factor asset pricing model (2016) 
- **Primary Language**: Unknown
- **License**: Not specified
- **Default Branch**: master
- **Homepage**: None
- **GVP Project**: No

## Statistics

- **Stars**: 0
- **Forks**: 11
- **Created**: 2021-07-12
- **Last Updated**: 2021-07-12

## Categories & Tags

**Categories**: Uncategorized

**Tags**: None

## README

# Fama-French

The project replicates the study by Eugene Fama and Kenneth French (1993), where they designed and tested their notorious three-factor model. The time span of the original study is extended till October 2016. The effect of the three factors, Rm-Rf, SMB, and HML, on stock returns is tested for structural break.  

The analysis is performed using Stata. The used data and Stata code (do-file) are provided.