U.S. stock returns and liquidity and green factors

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).