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