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

DSpace/Manakin Repository

Open Research Exeter (ORE)

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

Show simple item record

dc.contributor.author Gregory, Alan en_GB
dc.contributor.author Tharyan, Rajesh en_GB
dc.contributor.author Huang, Angela en_GB
dc.date.accessioned 2009-11-26T14:20:49Z en_GB
dc.date.accessioned 2011-01-25T10:28:20Z en_US
dc.date.accessioned 2013-03-20T11:09:55Z
dc.date.issued 2009-11 en_GB
dc.description.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/ en_GB
dc.identifier.uri http://hdl.handle.net/10036/86955 en_GB
dc.language.iso en en_GB
dc.publisher University of Exeter Business School en_GB
dc.relation.ispartofseries Xfi Centre for Finance and Investment working papers en_GB
dc.relation.ispartofseries 09/05 en_GB
dc.relation.url http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1506960 en_GB
dc.relation.url http://xfi.exeter.ac.uk/workingpapers.php en_GB
dc.title The Fama-French and momentum portfolios and factors in the UK en_GB
dc.type Working Paper en_GB
dc.date.available 2009-11-26T14:20:49Z en_GB
dc.date.available 2011-01-25T10:28:20Z en_US
dc.date.available 2013-03-20T11:09:55Z
dc.identifier.issn 1743-548X en_GB
pubs.declined 2012-12-04T13:14:50.644+0000 en_US
dc.description Working paper en_GB


Files in this item

Files Size Format View
0905.pdf 378.8Kb PDF Thumbnail

This item appears in the following Collection(s)

Show simple item record

Browse

My Account

Local Links