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Fama French Regression.

Posted: Mon Jul 24, 2017 12:05 pm
by Rahaan
I'm trying to figure out how to perform CAPM, the fama french 3 Factors and 5 Factors and the Carhart 4 factors regressions in Eviews.

I downloaded all the data from French's website. The 3 Factors data, 5 factors data and the monthly return on 25 portfolios sorted on size and Book-to-Market-Value.

1st Question:
The Picture attached is a screenshot of the monthly return for the 25 portfolios sorted on size and Book-to-market value obtained from French's website, What value should I use for the monthly returns of let's say year 1926?

2nd Question:

For the Regression in Eviews, Should I input the Fama French 3 Factors( Smb, hml mkt-rf, rf) together with the returns in question 1 in this equation:
Rit - Rf = ai + Ei (Rmt - Rf) + si SMB + hiHML + Ht