Fama-French 5-Factor Model

Code script and databases for emerging markets

Description

This repository contains materials to replicate the work presented for the linear programming class: Fama and French Five-Factor Model in emerging markets, including the Python data cleaning and modeling script and clean CSV tables.

Paper Download

📄 Academic Paper Linear Programming

Fama-French 5-Factor Model: Application in emerging markets (PDF)

Paper submitted for the Linear Programming class

Script Download

🐍 Python Script Data Analysis

lineal.py

Python script for data cleaning, OLS estimations with robust errors and diagnostic tests. The code uses databases downloaded directly from French's website.

Clean Databases

CSV files already processed and ready for analysis:

📊 factores-limpios.csv

Fama-French Emerging 5 Factors (monthly, in proportion).

Download

📊 portafolios-limpios.csv

Returns of the 6 Size–Book-to-Market portfolios (2×3), value-weighted.

Download

📊 merged.csv

Union of factors and portfolios by date, ready for modeling.

Download

Original Data Sources

Download the official CSVs from Kenneth R. French's website:

Emerging 5 Factors (CSV)

Market factors for emerging markets

View Source

6 Portfolios Size–Book-to-Market (2×3) (CSV)

Size and value portfolios for emerging markets

View Source

Contact

For questions or contributions, write to me at:

Primary Email

amarin@berkeley.edu

UNAM Email

marin_alfonso@comunidad.unam.mx