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

University of Exeter Business School, Xfi Centre for Finance and Investment Paper No. 09/05

31 Pages Posted: 17 Nov 2009 Last revised: 21 Jan 2010

Alan Gregory

University of Exeter - Xfi Centre; University of Exeter Business School

Rajesh Tharyan

University of Exeter; University of Exeter Business School

Angela Christidis

University of Exeter Business School

Date Written: December 2009

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.

Suggested Citation

Gregory, Alan and Tharyan, Rajesh and Christidis, Angela, The Fama-French and Momentum Portfolios and Factors in the UK (December 2009). University of Exeter Business School, Xfi Centre for Finance and Investment Paper No. 09/05. Available at SSRN: https://ssrn.com/abstract=1506960 or http://dx.doi.org/10.2139/ssrn.1506960

Alan Gregory (Contact Author)

University of Exeter - Xfi Centre ( email )

University of Exeter
Xfi Building, Rennes Dr.
Exeter, EX4 3BZ
United Kingdom

University of Exeter Business School ( email )

Streatham Court
Xfi Building Rennes Dr.
Exeter, EX4 4JH
United Kingdom

Rajesh Tharyan

University of Exeter ( email )

Northcote House
The Queen's Drive
Exeter, Devon EX4 4QJ
United Kingdom

University of Exeter Business School ( email )

University of Exeter
Xfi Building, Rennes Dr.
Exeter, EX4 4ST
United Kingdom
01392262544 (Phone)

HOME PAGE: http://business-school.exeter.ac.uk/about/whoswho/index.php?web_id=Rajesh_Tharyan

Angela Christidis

University of Exeter Business School ( email )

University of Exeter
Xfi Building, Rennes Dr.
Exeter, EX4 4ST
United Kingdom

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