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 â€œGet Dataâ€
Step 2: Go to â€œStock pricesâ€
Step 3: Go to â€œIndices and Factorsâ€ and click on â€œFama French & Liquidity Factorsâ€
Step 4: Click on â€œFactors-Monthly Frequencyâ€
Step 5: Under â€œStep 1: Choose your date range.â€ Change the cell on the left to â€œ1980-01â€. 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 â€œJanâ€. Repeat these same steps for the box on the right to get to â€œ2017-12â€.
Step 6: Under â€œStep 2: Choose factors for queryâ€ 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 â€œStep 3: Select Query Outputâ€, please select â€œExcel spreadsheet (*.xlsx)â€ and â€œNoneâ€ under compression type and select a date format of your choosing.
Step 8: Click on the blue box â€œSubmit Queryâ€
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: https://wrds-www.wharton.upenn.edu
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