Replication of Fama-French Factors based on Taiwanese Data

Description

• Purpose: I create this project to replicate the market, SMB, and HML factors introduced by Fama and French (1993) using Taiwanese data.
• Brief Instruction: You can run the master.do to get the factors based on Taiwanese data.

Data and Code Availability Statement

• Data Sources: Taiwan Economic Journal (TEJ)
• Source Codes: GitHub repository

Machine Requirements

• Operating System: Windows 10
• CPU: intel CORE i7 8th Gen
• Memory: 16GB

Instructions for Data Preparation and Analysis

Notes:

• The program genbp.do generates breakpoints of market equities and book-to-market ratios.
• The program genfact.do uses the breakpoint data and other raw data from the TEJ to generate factors.
• You can run the master.do, which shows the pipeline of the factor construction, to conduct the genbp.do and genfact.do.
• This project is part of my research project ecosystem. I share it because it may be useful for those interested in replicating Fama-French factors using data from different countries.
• Since I am busy, I did not add sufficient comments in my codes. Therefore, feel free to email me via kenpywang@gmail.com if you still cannot understand some parts of the codes after searching on the Internet or talking with AI chatbots, such as the ChatGPT.

References

Bibliography

• Fama, Eugene F., and Kenneth R. French. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33 (1): 3–56. https://doi.org/10.1016/0304-405X(93)90023-5.

Others

• Source of this README Template
• Complete Version of the README Template
• AEA Data Editor