jihwanw/fama-french-5factor: v1.0 — Fama-French 5 Factor Model

Zenodo (CERN European Organization for Nuclear Research) 2026 Open access

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Authors: Jihwan Woo
DOI: 10.5281/zenodo.18883751
Cited by: 0

Abstract

Initial release. Complete implementation of Fama-French (2015) five-factor model using WRDS data. Key features: 3 independent 2×3 sorts (Size×B/M, Size×OP, Size×Inv) SMB = average of 3 SMB components CMA sign correctly implemented (Conservative − Aggressive) Delisting return adjustment, NYSE breakpoints, value-weighted portfolios

Fields of Study & Subjects

Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Publication details

Journal / source
Zenodo (CERN European Organization for Nuclear Research)
Publication date
6 March 2026
Language
EN