Fama-French Canadian Factors
The Fama-French factors for Canadian companies are available here :
Daily factors 1995-2009 (Excel - 533 Ko)
Daily factors 1995-2009 (Tab-delimited text file - 219 Ko)
Monthly factors 1990-2009 (Excel - 79 Ko)
Monthly factors 1990-2009 (Tab-delimited text file - 17 Ko)
Suggested citation :
FRANCOEUR, Claude, CGA Professorship in Strategic Financial Information, HEC Montreal.
http://expertise.hec.ca/professorship_information_financiere_strategique/
The following studies were performed using these factors :
FRANCOEUR, C. (2006). The Long-Run Performance of Cross-Border Mergers and Acquisitions : Evidence to Support the Internalization Theory. Corporate Ownership and Control, 4(2), 312-323.
FRANCOEUR C., R. LABELLE and B. SINCLAIR-DESGAGNÉ (2008). Gender Diversity in Corporate Governance and Top Management. Journal of Business Ethics, 81(1), 83-95.
FRANCOEUR C. and A. NIYUBAHWE (2009). Sell-offs, Internal Capital Markets and Long Run Abnormal Returns : Canadian evidence. Forthcoming in International Journal of Managerial Finance.
The Fama-French factors for Canadian and US companies are also available on the Eventus software website :
Eventus - Software for Event Studies and Financial Market Research
