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

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).

本数据集汇总了自1990年1月至2018年12月期间，由Kenneth French网站及经合组织（OECD）统计数据库分别提供的所有回报及宏观经济数据。涵盖以下国家：奥地利、比利时、丹麦、芬兰、法国、德国、希腊、爱尔兰、意大利、荷兰、挪威、葡萄牙、西班牙、瑞典、瑞士和英国。数据集包含以下系列：
1. Fama-French因子，3因子模型，由Kenneth French提供（Europe_3_Factors.txt）。
2. Fama-French因子，5因子模型，由Kenneth French提供（Europe_5_Factors.txt）。
3. 25个规模-BE/ME投资组合的回报，由Kenneth French提供（Europe_25_Portfolios_ME_BE-ME.txt）。
4. 25个规模动量投资组合的回报，由Kenneth French提供（Europe_25_Portfolios_ME_Prior_12_2.txt）。
5. 加权平均人均消费增长率。首先，我们收集16个考虑国家（‘非耐用品’和‘服务’系列，LN-BQR度量）的非耐用品和服务消费的季度链式体积估计值，非季节性调整，以本国货币计价。其次，我们利用OECD提供的人口系列来确定每个国家的消费增长率系列。最后，我们估计考虑经济体的平均消费增长率，以人口为权重（Europe_Consumption_Q.txt）。
6. 加权平均消费者信心指数（CCI）。我们收集由OECD提供的月度CCI数据（‘OECD标准化CCI，振幅调整，季节性调整’系列，数据集‘综合先行指标’，MEI）。我们确定考虑经济体的平均CCI，以人口为权重（Europe_Indicators_Q.txt）。