Data for: Liquidity, time-varying betas and anomalies. Is the high trading activity enhancing the validity of the CAPM in the UK equity market?

Published: 25-06-2020| Version 2 | DOI: 10.17632/56n2yxgpcf.2
Contributors:
Javier Rojo Suárez,
Ana Belén Alonso Conde,
Ricardo Ferrero Pozo

Description

Using all stocks listed in the London Stock Exchange for the period from January 1989 to December 2018, the dataset comprises the following series: 1. Annual returns for 20 asset growth portfolios, following Fama and French (1993) methodology. 2. Annual returns for 25 portfolios size-book to market equity, following Fama and French (1993) methodology. 3. Annual returns for 62 industry portfolios, using two-digit SIC codes. 4. Fama and French (1993) factors for their three-factor model (RM, SMB and HML). 5. Fama and French (2015) factors for their five-factor model (RM, SMB, HML, RMW, and CMA). 6. Variation of the Amihid illiquidy measure for the London Stock Exchange, following Amihud (2002) methodology. 7. Three-month interest rate of the Treasury Bill for the United Kingdom, as provided by the OECD database. We have produced these series using the following data from Thomson Reuters Datastream: (i) total return index (RI series), (ii) market value (MV series), (iii) market-to-book equity (PTBV series), (iv) total assets (WC02999 series), (v) return on equity (WC08301 series), (vi) tax rate (WC08346 series), (vii) primary SIC codes, (viii) turnover by volume (VO series), and (ix) the market price (P series). Following Griffin et al. (2010), we use the generic rules provided by the authors for excluding non-common equity securities from Datastream data. REFERENCES: Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5, 31–56. Fama, E. F. and French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3–56. Fama, E. F. and French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116, 1–22. Griffin, J. M., Kelly, P., and Nardari, F. (2010). Do market efficiency measures yield correct inferences? A comparison of developed and emerging markets. Review of Financial Studies, 23, 3225–3277.

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