The measure o fsystematic risk, BETA, i sconstructed as in Fama and French(1992).
Firm size is measured by the market value of equity(ME)—the product o fmonthly closing price and outstanding share numbers. Following Fama and French(1992), Iconstruct book-to-market equity(BE/ME) as the fiscal year-end book value of common equity divided by the calendar year-end market value o fequity.
这上面的BETA,ME,BE/ME是如果从FAMA AND FRENCH(1992)里面求得的,可以给出具体的求解方法不,需要用到什么数据,哪些变量,回归方程是什么,这些,或者给出这求法的中文文献,英文太难看懂了,万分感激