The Fama-French and Momentum Portfolios and Factors in the UK
Finance & Accounting
|Speaker:||Alan Gregory and Rajesh Tharyan., University of Exeter|
|Date:||Friday 19 March 2010|
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 30th 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.