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Assignment: Seminar in Finance

Replication of Fama and French (1992) and Petingal (1997)

Note: The assignments need to be done in a group of two or individually. For replicating the above two papers, the folloiwng points need to be taken account of:

  1. Minimum number of firms for each paper is 80, making 20 portfolios, each one having 4 firms 
  2. Minimu number of years are 5 years, using weekly or daily frequency
  3. Use actual data, which you may easily download from here [download ]