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

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.