The project replicates the study by Eugene Fama and Kenneth French (1993), where they designed and tested their notorious three-factor model. The time span of the original study is extended till October 2016. The effect of the three factors, Rm-Rf, SMB, and HML, on stock returns is tested for structural break.
The analysis is performed using Stata. The used data and Stata code (do-file) are provided.