I am currently taking an econometrics course, and the final assignment in that course is to write a research paper using econometric ideas. I have read Fama and French paper on the three-factor model and was impressed by the model. I would like to write my research paper using the same methodology for the Hong Kong stocks and see if I get the same results.I am wondering if it's possible for me to run regression using the same data sets that Fama and French used in the model on the U.S. stocks. It will help me to see if I am on the right track. If I get the same numerical values and results as theirs, it shows that I am doing it correctly. Then I can use the methodology to the Hong Kong stocks. I want to obtain the data used in the Cross-Section of Expected Stock Returns paper.How should I go about doing analysis to get the exactly the same result as theirs?

This might help -Fenneth R French website

That is a big job, first year PhD level project IMHOFor the US you will need access to the CRSP Compustat merged databaseCheck if your university provides accessFor HK, I don't know what the equivalent would be. Might be expensive to get accounting data for many companies over many years.

Oh really?Didn't know that it's that difficulty, although I knew that it would be arduous to get all the necessary data and make adjustments.My university has access to CRSP.Do you know any other financial topics using an econometric model that is easier than this?I am an undergrad student.