Data for: Relative entropy and minimum-variance pricing kernel in asset pricing model evaluation

Published: 23-06-2020| Version 2 | DOI: 10.17632/jxyznh57kz.2
Contributors:
Javier Rojo Suárez,
Ana Belén Alonso-Conde

Description

Using all stocks listed in the Australian Securities Exchange and macroeconomic data for Australia, the dataset comprises the following series: 1. Monthly returns for 20 size-price to cash flow portfolios, following the Fama and French (1993) methodology. (Raw data source: Datastream database) 2. Monthly returns for 25 size-book to market equity portfolios, following the Fama and French (1993) methodology. (Raw data source: Datastream database) 3. Monthly returns for 41 industry portfolios. (Raw data source: Datastream database) 4. Private final consumption expenditure, in national currency and constant prices, non-seasonally adjusted, for Australia. (Raw data source: OECD) 5. Fama and French (1993) factors (RM, SMB and HML), following the Fama and French (1993) methodology. (Raw data source: Datastream database) 6. Fama and French (2015) factors (RM, SMB, HML, RMW, and CMA), following the Fama and French (2015) methodology. (Raw data source: Datastream database) 7. Three-month interest rate of the Treasury Bill for Australia. (Raw data source: OECD) We have produced all return series using the following data from Datastream: (i) total return index (RI series), (ii) market value (MV series), (iii) market-to-book equity (PTBV series), (iv) price-to-cash flow ratio (PC series), (v) primary SIC codes, and (vi) tax rate (WC08346 series). We use the rules suggested by Griffin, Kelly, & Nardari (2010) for excluding non-common equity securities from Datastream data. REFERENCES: 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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