Published March 6, 2026 | Version v1.0
Software Open

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

Authors/Creators

  • 1. AWS

Description

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

Files

jihwanw/fama-french-5factor-v1.0.zip

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Additional details

Related works

Is supplement to
Software: https://github.com/jihwanw/fama-french-5factor/tree/v1.0 (URL)

Software

Repository URL
https://github.com/jihwanw/fama-french-5factor