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JosephFrank
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Joined: June 13th, 2003, 3:41 pm

Fama and french HML and SMB international factors

July 3rd, 2008, 3:32 pm

I was trying to obtain the HML and SMB factors from French's data library for UK and Japan http://mba.tuck.dartmouth.edu/pages/fac ... ormed.html. I went to the International country portfolios on the website but I was confused about how to obtain the estimations for these two factors given that they were giving four ratios BE/ME ,E/P , CE/P, and Yld. Is it possible to tell me hw the HML and SMB could be obtained using this data?thx
Last edited by JosephFrank on July 3rd, 2008, 10:00 pm, edited 1 time in total.