U.S. stock returns, liquidity and green factors

Published: 24 February 2026| Version 1 | DOI: 10.17632/y5p8sz5c5h.1
Contributors:
Javier Rojo Suárez,
,
,

Description

The dataset comprises data series for the U.S. liquidity and ESG factors, publicly available from Ľuboš Pástor’s data repository (https://faculty.chicagobooth.edu/lubos-pastor/data), as well as U.S. return data from the Kenneth R. French data library (https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html). Stock return data include 6 size-book-to-market equity portfolios, 6 size-dividend yield portfolios, 6 momentum portfolios, 6 size-operating profitability portfolios, 6 size-investment portfolios, 10 industry portfolios, and 15 market beta portfolios. The dataset also includes factor data compiled from the AQR data repository (https://www.aqr.com/Insights/Datasets), and the following data series from LSEG Workspace: the CBOE Volatility Index (VIX), the credit spread, the 3-month Treasury bill rate, the term spread, U.S. ESG fund flows, and U.S. green bond issuance.

Files

Institutions

Categories

Financial Market, Asset Pricing, Stock Exchange, Stock Market Valuation, Stock Price, Capital Asset Price Model, Sustainable Investment, Sustainable Finance

Licence