I am trying to apply french fama 3 factors model on the Moroccan market and I am trying to construct the factors by myself :
the factors are computed using 6 portfolios using size and book to market.
*Am I supposed to gather all the stocks in the Moroccan market and sort them by size and book to market criteria ?
*I read in french fama article that they 're using ' The Size breakpoint :is the NYSE median market cap' I didn't understand this statement very well and what would be the alternative in my case?Or I can use the median of the stocks that I gathered from the Moroccan market
*And the division of the data is been made each june that it mean that I must do this sort each year in june?
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