Value Weighted Portfolio Construction

For questions regarding programming in the EViews programming language.

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Value Weighted Portfolio Construction

Postby Sabs » Tue May 08, 2018 5:21 pm

Hi. I have monthly data on firm`s returns and their Fundamentals. I now want to construct top vs. bottom portfolio on monthly based on their market capitalization.

Following I need to regress Fama & French model factors on the average return of these separate portfolios to see whether there outperform (alpha).

Since I am looking at a 25-year period I was wondering whether somebody could give me some advice whether this is possible in eviews via a coding a program. Help on the programming would be greatly appreciated!

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