WebMar 11, 2024 · Standard Industrial Classification (SIC) Code in Compustat Fundamentals. I would like to sort companies according to the Fama-French 48 industry levels. For that, I … WebFama French 49 industry classification : variables: - dsin: input dataset - dsout: name of output dataset - sicvar: variable holding sic - varname: variable name to hold industry classification: sample usage: %ff49(dsin=work.input, dsout=work.output, varname=ff49); */
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http://kaichen.work/?p=294 WebJan 10, 2024 · Eugene F. Fama and Kenneth R. French introduced their three-factor model augmenting the capital asset pricing model (CAPM) nearly three decades ago.They proposed two factors in addition to CAPM to explain asset returns: small minus big (SMB), which represents the return spread between small- and large-cap stocks, and high minus … opening storefront
Fama and French 49 industry classification - need help - Statalist
WebThe data was adopted from Kenneth R. French’s data library, including Fama-French 5 factors (2x3) daily data and daily data of 49 value-weighted industry portfolio returns from the beginning of March 2024 to the end of December 2024Names of industries in the data are abbreviated. , and are able to be consulted at French’s data library. WebOct 2, 2024 · The three factors are market risk, company size (SMB) and value factors (HML). The Fama-French model is an extension to the one-factor Capital Asset Pricing Model (CAPM). A new model was created because CAPM isn’t flexible and doesn’t take into consideration overperformance. WebSTATA program to create Fama-French 48 Industries from SIC. * industry classification. * Revised by Malcolm Wardlaw, Uiversity of Texas at Dallas (November 1, 2011) syntax varlist (min=1 max=1 numeric) [if] [in], Generate (string) Type (numlist max=1 min=1) qui gen `generate'=. label variable `generate' "Fama-French industry code (``ftyp ... opening stone crab claws