Data for: Can the seasonal pattern of consumption growth reproduce habits in the cross-section of stock returns? Evidence from the European equity market

Published: 13-10-2020| Version 2 | DOI: 10.17632/frpm7rywcn.2
Javier Rojo-Suárez,
Ana Belén Alonso-Conde,
Ricardo Ferrero Pozo


We compile all return and macroeconomic data from Kenneth French's website and the OECD statistical data warehouse, respectively, for the period from January 1990 to December 2018. All return and macroeconomic data include the following countries: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and United Kingdom.The dataset comprises the following series: 1. Fama-French factors, 3-factor model, as provided by Kenneth French (Europe_3_Factors.txt). 2. Fama-French factors, 5-factor model, as provided by Kenneth French (Europe_5_Factors.txt). 3. Returns for 25 size-BE/ME portfolios, as provided by Kenneth French (Europe_25_Portfolios_ME_BE-ME.txt). 4. Returns for 25 size-momentum, as provided by Kenneth French (Europe_25_Portfolios_ME_Prior_12_2.txt). 5. Weighted average per capita consumption growth. We first collect quarterly chained volume estimates for consumption in nondurables and services, non-seasonally adjusted, in national currency, for the 16 countries under consideration (‘Non-durable goods’ and ‘Services’ series, LNBQR measure). Second, we use the population series provided by the OECD to determine per capita consumption growth series for each country. Finally, we estimate the average consumption growth for the economies under consideration, weighting by population (Europe_Consumption_Q.txt). 6. Weighted average consumer confidence index (CCI). We collect monthly CCI data as provided by the OECD (‘OECD Standardised CCI, Amplitude adjusted, sa’ series, dataset ‘Composite Leading Indicators’, MEI). We determine the average CCI for the economies under consideration, weighting by population (Europe_Indicators_Q.txt).