Working paperThe 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
