R help - Jan 2010 - Forming Portfolios for Fama / French Regression

Hi mates, 

I have a problem. I am new to R and want to conduct the Fama/French asset
pricing test. As I am from Germany, I cannot use the already computed
factors from French's website, but need to compute them myself. So I have to
sort a number of stocks into different portfolios using one factor, then
subdivide these portfolios into several more using another factor, then
compute portfolio returns and so forth. Although I have used the search
function, I could not find any related post. Has somebody already done this
and could give me a hand?

All the best

Kai
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Kai,

 

Your question is best addressed to "r-sig-finance at
stat.math.ethz.ch" as
it is finance related question.

 

Jude

 

___________________________________________
Jude Ryan
Director, Client Analytical Services
Strategy & Business Development
UBS Financial Services Inc.
1200 Harbor Boulevard, 4th Floor
Weehawken, NJ 07086-6791
Tel. 201-352-1935
Fax 201-272-2914
Email: jude.ryan at ubs.com



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