The Fama-French and Momentum Portfolios and Factors in the UK

Abstract

The primary aim of this paper is to make available the Fama-French and Momentum portfolios and factors for the UK market to the wide community of UK academic and post-graduate researchers. As Michou, Mouselli and Stark (2007) note, there is no freely downloadable equivalent to the data on Ken French's US website, and this paper is directed at remedying this situation. We depart from the majority of previous UK studies (with the exception of Agarwal and Taffler, 2008) by forming portfolios on 30 th September each year, which we argue is more appropriate for the UK.Although we construct factors and portfolios for the UK, by extending tests to portfolios formed on differing bases, we add to the caution expressed in Michou, Mouselli and Stark (2007) on whether such factor models completely capture risk in the UK. Our recommendation is that any tests of long run abnormal returns in UK be based on characteristic-matched portfolios. The data underlying this paper can be downloaded from:

Higher co-moments and asset pricing on London Stock Exchange

“…The market portfolio returns are proxied by the FTSE All Share Index returns and the risk-free rate by the UK interbank rate. For the benchmark asset pricing tests, we use the size, value and momentum factors constructed for the UK market by Gregory et al (2009). 2 We follow the approach of Harvey and Siddique (2000) to estimate the degree of coskewness and cokurtosis for each share listed on LSE at a given month t. Using a rolling window of 60 monthly excess returns for each share i, R i;t À R f t , we employ the CAPM regression:…”

On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications

“…Schrimpf et al (2007) and Ziegler et al (2007) use a database maintained at Humboldt University, Berlin, Germany. Further countryspecific studies include Ammann and Steiner (2008) (Switzerland), Artmann et al (2012) (Germany), Dimson et al (2003), Gregory et al (2009), Nagel (2001 (all three U.K.). Additional examples of studies that have employed non-US data to study empirical asset pricing models include, besides the studies already mentioned, An and Ng (2010), Ang et al (2008), Asness and Frazzini (2013), , Eun et al (2010), Fama andFrench (1998, 2012), Ferreira et al (2013), Heston et al (1999), Hou et al (2011), Leippold andLohre (2012a, 2012b), Liew and Vassalou (2000), and Rouwenhorst (1998).…”

Evidence to Support Multifactor Asset Pricing Models: The Case of The Istanbul Stock Exchange

“…The F (GRS) test of Gibbons, Ross and Shanken (1989) is usually recommended during studies in order to determine whether the alpha value is significantly different from zero (Fama and French 1996, Campel;Lo;Mckinlay 1997, Gregory;Tharyan;Huang 2009). …”