SAS code to replicate Fama and French five factors Model - SAS Support Communities

Calcite | Level 5

Calcite | Level 5

SAS code to replicate Fama and French five factors Model

Posted 01-16-2025 04:04 AM (1781 views)

Hi all,

I want to replicate Fama and French five factors Model, Can someone kindly let me know about the codes for the same in BASE SAS.

2 REPLIES 2

Tourmaline | Level 20

Tourmaline | Level 20

Re: SAS code to replicate Fama and French five factors Model

Posted 01-16-2025 04:59 AM (1756 views) | In reply to Mansali

See this page to do it using SQL
https://quant.stackexchange.com/questions/35738/how-to-calculate-fama-french-factors

High-Performance SAS Coding - Third Edition

PROC Star

Re: SAS code to replicate Fama and French five factors Model

Posted 01-18-2025 01:02 AM (1645 views) | In reply to Mansali

If you are a WRDS user, I believe you will find sample code for Fama-French on their site.

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