<p>I am trying to replicate the Fama-French three-factor model. I am having issues in the dataset.</p>

<p>1) Using the CRSP/COMPUSTAT merged dataset for firm fundamentals from WRDS, and then dropping data on financial and non-US firms, I have much fewer firms than what FF have in the dataset in French's website. Any suggestions on why this is happening?</p>

<p>2) I am unable to obtain data as far back as 1926 from WRDS.</p>

<p>Any suggestions would be very helpful.</p>

CC BY-SA 3.0
2017-09-07T10:22:11.383Z
Have you seen this previous thread? https://economics.stackexchange.com/questions/10699/question-on-fama-french-three-factor-model Does it help you?
Jan Höffler
CC BY-SA 3.0
2017-09-15T17:37:57.263Z
Yes, I did. I am aware of French's website but I want to be able to download the data by myself and match their calculations of the factors.
FinSJ
<finance><asset-pricing><replication>
Dataset - Fama French Replication
FinSJ
# Dataset - Fama French Replication

(Asked by: username_0 on 2017-04-03)

I am trying to replicate the Fama-French three-factor model. I am having issues in the dataset.

1) Using the CRSP/COMPUSTAT merged dataset for firm fundamentals from WRDS, and then dropping data on financial and non-US firms, I have much fewer firms than what FF have in the dataset in French's website. Any suggestions on why this is happening?

2) I am unable to obtain data as far back as 1926 from WRDS.

Any suggestions would be very helpful.

**Tags:** finance, asset-pricing, replication

> **Comments:**
> **username_1**: Have you seen this previous thread? https://economics.stackexchange.com/questions/10699/question-on-fama-french-three-factor-model Does it help you?  
> **username_0**: Yes, I did. I am aware of French's website but I want to be able to download the data by myself and match their calculations of the factors.  

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## 0 answers

