The goal of this application is to reproduce, as closely as possible, the Fama-French SMB and HML factors in order to provide researchers with a set of programs that can be modified to further advance research in this area. This tutorial presents a step-by-step replication of the SMB and HML Fama-French factors using SAS, including:

• Using Compustat data to calculate book value of equity
• Using CRSP stock data for portfolio formation
• Merging of CRSP and Compustat data
• Portfolio formation
• Calculating the Fama-French factors
• Comparison of results with Ken French's data

A series of additional videos describes each of the calculations behind these steps in more detail.