The Fama-French and momentum portfolios and factors in the UK

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The Fama-French and momentum portfolios and factors in the UK

Please use this identifier to cite or link to this item: http://hdl.handle.net/10036/86955

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Title: The Fama-French and momentum portfolios and factors in the UK
Author: Gregory, Alan
Tharyan, Rajesh
Huang, Angela
Publisher: University of Exeter Business School
Date Issued: 2009-11
URI: http://hdl.handle.net/10036/86955
Links: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1506960 http://xfi.exeter.ac.uk/workingpapers.php
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 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 from: http://xfi.exeter.ac.uk/researchandpublications/portfoliosandfactors/
Type: Working Paper
Description: Working paper
ISSN: 1743-548X


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