Fama-French factors and Benchmark portfolios for the UK

Tharyan, Rajesh (2018). Fama-French factors and Benchmark portfolios for the UK. [Data Collection]. Colchester, Essex: UK Data Archive. 10.5255/UKDA-SN-852704

The twin aims of this research project are first to provide a more satisfactory model of the cost of capital and asset pricing in the UK and second to facilitate the creation and maintenance of high quality, survivorship bias free, standardised and regularly updated set of specific financial data for free use by academics, researchers and also potentially by regulatory bodies such as the Competition Commission, Office of Fair Trading (OFT), Water Services Regulation Authority (OFWAT), communications regulator(OFCOM) and other regulators. This will build on the Fama-French and Momentum portfolios and factors for the UK market established by Gregory, Tharyan and Huang (2009). Our first objective is to expand this dataset to include the full range of portfolios available for the US. Second, we will expand the available factor and portfolio data to encompass ongoing developments in literature relating to returns and asset pricing. Third, we will undertake a comprehensive range of asset pricing model tests to develop a more convincing model of the cross-section of UK stock returns. Lastly we will develop the UK literature on implied cost of capital (ICC). With reference to the latter, we will both test alternative models of Implied cost of capital and examine the role of implied, rather than realised, returns in asset pricing tests.

Data description (abstract)

Datasets containing the Daily, Monthly and Annual SMB, HML and momentum factors for the UK market 1980OCT-2015JUN (daily from 1988OCT to 2015JUN) and datasets containing the Fama-french and momentum portfolios used to create the SMB, HML and UMD factors and other benchmark portfolios. For the benchmark portfolios, equal and value weighted returns data files are available and a file containing information on the number of portfolios per year and the cutoffs points used to create the portfolios is also included.

Data creators: