Data for: Data envelopment analysis and multifactor asset pricing models

Published: 16-04-2020| Version 2 | DOI: 10.17632/2xh658swv4.2
Contributors:
Pablo Solórzano Taborga,
Ana Belén Alonso Conde,
Javier Rojo Suárez

Description

The data series sample cover 2,101 European equity funds, with monthly data for the period January 2001 to October 2016, as provided by Morningstar. We use all funds sorted as Euro/Eurozone equity funds in Morningstar, traded in euros. Specifically, we include the following categories: Europe ex-UK Large-Cap Equity; Europe Equity-Currency Hedged; Europe ex-UK Small/Mid-Cap Equity; Europe Flex-Cap Equity; Europe Large-Cap Blend Equity; Europe Large-Cap Growth Equity; Europe Large-Cap Value Equity; Europe Mid-Cap Equity; Europe Small-Cap Equity; Eurozone Flex-Cap Equity; Eurozone Large-Cap Equity; Eurozone Mid-Cap Equity and Eurozone Small-Cap Equity. We omit those funds that hold exclusively domestic stocks, in order to avoid distorting our results on grounds of risk exposures that involve specific areas. The dataset comprises the following series: 1. Summary statistics for 2,101 Euro/Eurozone equity funds. 2. Summary statistics for 20 size portfolios, formed by 2,101 Euro/Eurozone equity funds. 3. DEA estimates for 20 size portfolios, formed by 2,101 Euro/Eurozone equity funds. 4. Monthly returns for the three classic factors of Fama and French and for the DEA factor. 5. Monthly returns for 20 size portfolios, formed by 2,101 Euro/Eurozone equity funds.

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