Finding Research That Uses the Kenneth French Factor Data Library

Summary

The discussion answers a dissertation researcher seeking published work that uses the Kenneth French data library’s Fama-French three-factor data, so the researcher can cite precedent rather than calculate factors independently. The response notes that Fama and French use their own data and points to David Blitz’s paper, “Factor investing revisited,” as an example by another author that explicitly says it uses the factors.

The answer supplies one suggested citation lead rather than a systematic literature review. It does not provide publication details, verify the paper’s journal status, or list additional studies, so the example should be checked against the original publication and the dissertation’s citation requirements. The broader lesson is that factor-data provenance can be documented by finding papers that explicitly state which library or factor series they use; this short exchange does not assess the factor construction or the suitability of the data for any particular empirical design.

Key ideas

• The question concerns published research using the Kenneth French data library’s Fama-French factors.
• The response identifies David Blitz’s “Factor investing revisited” as one paper that explicitly uses the factors.
• The suggested example is a starting point, not a comprehensive review of the literature.
• Researchers should confirm publication details and data usage in the original paper before citing it.

Tags

# Studies utilizing Fama French factors


# Studies utilizing Fama French factors












Are there any studies in reputed academic journals that have used the data library offered by Kenneth R. French regarding the Fama French 3 factor model? I wish to use this data in my master's dissertation as I don't want to calculate my own factors, and my supervising professor requires me to cite at least one such study.

The data can be found here: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

## Answer by Bob Jansen (score 2)

https://quant.stackexchange.com/a/40714

Fama & French use their own data and are certainly reputable and well published.

From the top of my head, one paper by another author is this paper that explicitly states using the factors:

Factor investing revisited, David Blitz

but there must be more.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.