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.

本数据集涵盖约翰内斯堡证券交易所全部上市股票及南非宏观经济数据，包含以下序列：
1. 遵循法玛-弗伦奇（Fama and French, 1993）方法构建的6组规模-资产增长投资组合的月度收益率（原始数据来源：Datastream数据库）
2. 遵循法玛-弗伦奇（Fama and French, 1993）方法构建的6组规模-资产收益率投资组合的月度收益率（原始数据来源：Datastream数据库）
3. 遵循法玛-弗伦奇（Fama and French, 1993）方法构建的10组规模-市现率投资组合的月度收益率（原始数据来源：Datastream数据库）
4. 遵循法玛-弗伦奇（Fama and French, 1993）方法构建的15组账面市值比投资组合的月度收益率（原始数据来源：Datastream数据库）
5. 南非消费者信心指数（Consumer Confidence Index, CCI）（原始数据来源：经济合作与发展组织（OECD））
6. 南非私人最终消费支出，以本国货币计价、经不变价格调整且未经季节性调整（原始数据来源：OECD）
7. 遵循法玛-弗伦奇（Fama and French, 1993）方法构建的三因子（RM、SMB、HML）（原始数据来源：Datastream数据库）
8. 遵循法玛-弗伦奇（Fama and French, 2015）方法构建的五因子（RM、SMB、HML、RMW、CMA）（原始数据来源：Datastream数据库）
9. 南非国库券三个月期利率（原始数据来源：OECD）

本数据集的全部收益率序列均通过Datastream数据库的以下数据生成：(i) 总收益指数（RI序列）、(ii) 市值（MV序列）、(iii) 市净率（PTBV序列）、(iv) 净资产收益率（WC08301序列）、(v) 总资产（WC02999序列）、(vi) 市现率（PC序列），以及(vii) 税率（WC08346序列）。

本研究采用格里芬、凯利与纳尔达里（Griffin, Kelly, & Nardari, 2010）提出的通用规则，从Datastream数据中剔除非普通股证券。

参考文献：
Fama, E. F. 与 French, K. R. (1993). 股票与债券收益中的共同风险因子. 《金融经济学杂志》, 33, 3–56.
Fama, E. F. 与 French, K. R. (2015). 五因子资产定价模型. 《金融经济学杂志》, 116, 1–22.
Griffin, J. M., Kelly, P. 与 Nardari, F. (2010). 市场效率测度能否得出正确推论？发达市场与新兴市场的比较. 《金融研究评论》, 23, 3225–3277.