Fama-French (Calendar Time) Individual Firm CARs

With some regularity we are asked whether it's possible to obtain an output file of ARs or CARs using the Fama-French three-factor calendar-time portfolio regression approach.

The problem with looking for individual firm ARs or CARs from a calendar-time portfolio regression is that the method is what its name says: a portfolio-level regression. The model is not estimated at the security level. There simply are no individual firm ARs or CARs in this research design. It would not make sense to try to apply the parameter estimates to individual securities, as the model is estimated across time and any one security may not be in the portfolio in a particular period.

The Fama-French three-factor model can also be used in a traditional two-step event study (EvtStudy statement option combination FamaFrench TwoStep). In this case obtaining a file of individual firm results works the same way as with the market model or market-adjusted returns. Please see the Eventus 9 new features documentation for the various options for obtaining this type of data in a SAS, Stata, Excel, CSV or text file.