Data for: Consumer sentiment and time-varying betas: Testing the validity of the consumption CAPM on the Johannesburg Stock Exchange

Published: 20 August 2020| Version 3 | DOI: 10.17632/nwr2j4pbhz.3
Contributors:
Javier Rojo-Suárez,
Ana Belén Alonso-Conde

Description

Using all stocks listed in the Johannesburg Stock Exchange and macroeconomic data for South Africa, the dataset comprises the following series: 1. Monthly returns for 6 size-asset growth portfolios, following the Fama and French (1993) methodology. (Raw data source: Datastream database) 2. Monthly returns for 6 size-return on assets portfolios, following the Fama and French (1993) methodology. (Raw data source: Datastream database) 3. Monthly returns for 10 size-price to cash flow portfolios, following the Fama and French (1993) methodology. (Raw data source: Datastream database) 4. Monthly returns for 15 book-to-market equity portfolios, following the Fama and French (1993) methodology. (Raw data source: Datastream database) 5. Consumer Confidence Index (CCI) for South Africa. (Raw data source: OECD) 6. Private final consumption expenditure, in national currency and constant prices, non-seasonally adjusted, for South Africa. (Raw data source: OECD) 7. Fama and French (1993) factors (RM, SMB and HML), following the Fama and French (1993) methodology. (Raw data source: Datastream database) 8. Fama and French (2015) factors (RM, SMB, HML, RMW, and CMA), following the Fama and French (2015) methodology. (Raw data source: Datastream database) 9. Three-month interest rate of the Treasury Bill for South Africa. (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) return on equity (WC08301 series), (v) total assets (WC02999 series), (vi) price-to-cash flow ratio (PC series), and (vii) tax rate (WC08346 series). We have used the generic 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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