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  • SHoF Data center – a national mission
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Fama French Factors

The Fama-French three-factor model (market, size, value), developed by Eugene Fama and Kenneth French, improves on the traditional CAPM model by explaining a larger fraction of long-term expected return variations. This data set also includes the momentum factor proposed by Mark Carhart.

Fama and French factors calculated over Swedish stocks from 1983 to 2019, aggregated by day, week and month.

Fields definitions

  • rm: market return (SIXRX index)
  • rf: risk-free rate (1 month Swedish T-Bill)
  • rm_rf: market return in excess of the risk-free rate
  • SMB_ew: Small minus Big (equally weighted)
  • HML_ew: High minus Low (equally weighted)
  • MOM_ew: Winners minus Losers (equally weighted)
  • SMB_vw: Small minus Big (value weighted)
  • HML_vw: High minus Low (value weighted)
  • MOM_vw: Winners minus Losers (value weighted)

 

METHODOLOGY

Construction of the Fama-French-Carhart four factors model for the Swedish Stock Market using the Finbas data

Huseyin Aytug, Yao Fu and Paolo Sodini

This document explains the construction of the four-factor model using stock price and accounting data of Swedish listed companies following the Fama and French (1993) and the Carhart (1997) four-factor model. It uses data from the Finbas dataset collected and distributed by the SHoF National Data Center Website from 1983 to 2019. The variables used to construct stock portfolios and risk factors are defined and explained in detail.

"The Fama-French Carhart model is used to explain the cross-section of stock returns and improves dramatically on the CAPM model. It is not only used in many areas of research, such as fund performance evaluation, but also is the center of research investigation itself. We do not know yet if the FF-factors have a rational or behavioral explanation", says Paolo Sodini.

Access the dataset

Link opens in a new page.

Database available for SSE students and staff, as well as to the Swedish Academic Community through SWAMID.

When using this database, please refer to:

Sodini, Paolo, Yao Fu, and Huseyin Aytug. “Construction of the Fama-French-Carhart Four Factors Model for the Swedish Stock Market Using the Finbas Data.” Swedish House of Finance Research Data Center. Accessed September 7, 2022.

Construction of the Fama-French-Carhart four factors model for the Swedish Stock Market using the Finbas data

Questions

For further information or questions regarding our datasets, please refer to our support website →

Article: Describing the past or predicting the future?

Fama-French (FF) and Carhart factors are now available for the Swedish market in a new database available at the Swedish House of Finance Data Center. Factors are updated continuously and open to the public.

Read more

"Using and Abusing Factors" - SHoF FF-Factor Launch Event featuring Ken R. French

The Data Center at SHoF is happy to announce that we now will make Fama-French (FF) and Carhart factors (size, value and momentum) available for the Swedish market. The FF factors are widely used both for research and practice but have not been easily obtainable for Sweden up to this point. The SHoF FF factors are updated continuously and available at the Data Center website. To celebrate the launch of the FF factors in Sweden, we had the Launch Event with guest speaker Professor Ken R. French, followed by the Nasdaq Master Thesis Award Ceremony.

Read more

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