Dear class:

I hope all is well. As we mentioned in class this past week, we plan to begin working on your project in the next two to three class lectures. For this reason, I am sending this email to give you the steps needed for collecting the data and to encourage you to try the steps on your own and schedule office hours or spend some time after class with your laptop so we can work together to collect the data. Please make sure that you include these steps in your write up in your own words, they are listed below:

Once you log in using the username and password given in the class lecture and the website provided in the guidelines for the project:

Step 1: Go to “Get Data”

Step 2: Go to “Stock prices”

Step 3: Go to “Indices and Factors” and click on “Fama French & Liquidity Factors”

Step 4: Click on “Factors-Monthly Frequency”

Step 5: Under “Step 1: Choose your date range.” Change the cell on the left to “1980-01”. To do this just click on the cell and then keep hitting the left arrow until you get to 1980 and then click on the box that says “Jan”. Repeat these same steps for the box on the right to get to “2017-12”.

Step 6: Under “Step 2: Choose factors for query” and select all circles except momentum. Please also click on the question mark to see the explanation of each variable as it may aid you in providing a brief explanation/interpretation for each variable.

Step 7: Under “Step 3: Select Query Output”, please select “Excel spreadsheet (*.xlsx)” and “None” under compression type and select a date format of your choosing.

Step 8: Click on the blue box “Submit Query”

Once the output is complete a link to an excel spreadsheet will become available. Once you click on this link, it should open up a spreadsheet containing monthly data containing the Fama French factors.

Please let me know if you have any more issues with collecting these data or your company data. The company data can be collected from WRDS following an analogous procedure or google finance or yahoo finance. Please feel free to email me or come to office hours or stay after class lecture with me during any class to sit down with you with your laptop to collect these data as well. Once we have all these data, we can begin the regression analysis in week 6.

Have a nice weekend and see you next week.

Here is the website:


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