Fama French industry classification

Kenneth French provides a data library with the Fama French factors and industry classifications.

The industry classification schedules is in /import for various classifications: 5, 10, 12, 17, 30, 38, 48, 49.

The industry classifications are downloaded from Kenneth French' page, e.g. for the 12 industry classification:

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_12_ind_port.html

Folder SAS holds macros for each of the seven industry classifications

Download the repository and move it into your SAS folder structure, e.g. \yourproject\SAS\git\fama-french. Then, use as follows, assuming your code is in yourproject\SAS.

/* load macro */
include 'git/fama-french/SAS/Siccodes49.sas';

/* create sample dataset */
data a_myfunda (keep = gvkey sich gvkey fyear at sale ceq);
set comp.funda;
if indfmt eq'INDL' and datafmt eq 'STD' and popsrc eq 'D' and consol eq 'C' ;
run;

/* append fama french 49 industry code */
%ff49(dsin=work.a_funda, dsout=work.b_ff, varname=ff49);

The SAS code is generated using scripts\make.js. To run the script, you need to have node and npm installed:

npm install
npm run make

For each industry classification file there is a matching template file in directory templates. Industry classifications that do not have a specification for industry other have an extra line of code where the industry is set to other if there was no matching industry.

See www.wrds.us for other code examples to use WRDS and SAS.