Fama French factors

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Contributor
Posts: 27

Fama French factors

Hi guys, am trying to generate fama french factors. First i need to rank stock according to their size. How do i code this in Sas so that i have Small(s) and Big(B).

My size Variable is MC, DATE and i have a mixtures of different stocks categorised by TICKER and COUNTRY code.

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Re: Fama French factors

Posted in reply to ivanpersie

I'm not familiar with Fama-French factors, but the following page might provide what you need: Vora's Source Code

Contributor
Posts: 27

Re: Fama French factors

Thanks Arthur. So much helpful so far.

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