Eventus
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Eventus Features
Eventus annual subscribers (about 50% of our Windows users, and all subscribers that have Eventus for WRDS access): we now offer you pre-built data sets for download.
Fama-French Factors
Also of potential interest: Canadian Fama-French factors below.
Eventus 8 and 9 for Windows Users: Go to the Windows Start Menu folder for Eventus and select Fama-French Factor Installer, or if your organization has an annual subscription, you also have the option to download the pre-built data sets from the link below.
The optional pre-built PC SAS data sets for Eventus annual subscribers are in the zip file FF_Factors_for_Eventus_Thru_200910.zip; download to My Documents\Eventus\Datasets (a folder with this or a similar name is built by default when you install Eventus 8 and higher) and extract the zipped files, overwriting any existing copies. The data sets currently downloadable reflect the data available on Professor Ken French's web site as of November 28, 2009.
Eventus for WRDS Users: The factors are available through the SAS library name FF. Maintenance of the installed data set on WRDS is the responsibility of WRDS staff. If you prefer, you can use the Unix version below, or the Windows version above with PC SAS.
Eventus 8 or 9 for Linux or Unix Users: Download
http://www.eventstudy.com/FFFdatasets/fff.cport (binary) and run the
following SAS program from the directory containing the file:
libname evdata 'path to directory where you want the SAS data sets';
proc cimport file='fff.cport' library=evdata;
run;
Canadian FF Factors from Professor Francoeur
We are delighted to introduce Canadian Fama-French factors kindly provided by Professor Claude Francoeur at HEC Montr�al.
The optional pre-built data PC SAS/Eventus for Windows sets for Eventus annual subscribers are in the zip file Canadian_FF_Factors_for_Eventus_Thru_2009.zip; download to My Documents\Eventus\Datasets (a folder with this or a similar name is built by default when you install Eventus 8 or 9) and extract the zipped files, overwriting any existing copies. The data sets currently downloadable reflect the data available on Professor Claude Francoeur's web site as of October 10, 2010.
Eventus 8 or 9 for Linux or Unix Users: Download
http://www.eventstudy.com/FFFdatasets/ffcanada.cport (binary) and run the
following SAS program from the directory containing the file:
libname evdata 'path to directory where you want the SAS data sets';
proc cimport file='ffcanada.cport' library=evdata;
run;
The same data are available in Excel and tab-delimited
formats on Professor Francoeur's web site:
http://expertise.hec.ca/professorship_information_financiere_strategique/fama-french-canadian-factors/
UK Fama-French Factors from University of Exeter
The Department of Finance at the University of Exeter is kindly making UK Fama-French and momentum factors freely available for academic research. Please see http://xfi.exeter.ac.uk/researchandpublications/portfoliosandfactors/index.php.
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Questions are welcome.