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Visualizing Companies in Fama-French Portfolio Sorts

Pub: 10.09.15

| By Anonymous

In Finance.

Tags: academic finance fama-french portfolio companies sorting .

Check out a nifty visualization of companies in CRSP sorted into Fama-French portfolios. This is actually what is happening within the double sort according to book-to-market and size variables.

This allows to see how much portfolios change from one year to the next. Some companies are really stable. Others, however, move around the space quite a bit.

The above animation is based on output from my own implementation of Fama-French portfolio sorts in MS SQL. It is mostly based on SAS code from: https://sites.google.com/site/jamesicbsfinance/research/reference.

Some similar code: http://pages.stern.nyu.edu/~adesouza/out/vora_palacios_amended_justbe.sas.pdf.

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