25 portfolios from FF3 -factor model in SAS
Hey guys, I am having a hard time trying to construct 25 portfolios based on 5 deciles on size and 5 deciles on book-to-market. I was asked to get the datasets from CRSP ( wrds) website but I am not sure what variables I am supposed download. The only thing I am sure of is that I have to include monthly stock returns from NYSE,AMEX and NASDAQ; so I get a column that includes the sum of the three indexes from 1985 till 2019. The other two columns are date and total market cap. What am I supposed to do next? Any articles or videos are welcome.
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