Fama-French 5-Factor Model
Description
This repository contains materials to replicate the work presented for my paper: Fama and French Five-Factor Model in emerging markets, including the Python data cleaning and modeling script and clean CSV tables.
FF5M.py
Python script for data cleaning, OLS estimations with robust errors and diagnostic tests. The code uses databases downloaded directly from French's website.
CSV files for analysis: please find original files in: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html