Data for: Liquidity, time-varying betas and anomalies. Is the high trading activity enhancing the validity of the CAPM in the UK equity market?

Using all stocks listed in the London Stock Exchange for the period from January 1989 to December 2018, the dataset comprises the following series:

1. Annual returns for 20 asset growth portfolios, following Fama and French (1993) methodology.
2. Annual returns for 25 portfolios size-book to market equity, following Fama and French (1993) methodology.
3. Annual returns for 62 industry portfolios, using two-digit SIC codes.
4. Fama and French (1993) factors for their three-factor model (RM, SMB and HML).
5. Fama and French (2015) factors for their five-factor model (RM, SMB, HML, RMW, and CMA).
6. Variation of the Amihid illiquidy measure for the London Stock Exchange, following Amihud (2002) methodology.
7. Three-month interest rate of the Treasury Bill for the United Kingdom, as provided by the OECD database.

We have produced these series using the following data from Thomson Reuters Datastream: (i) total return index (RI series), (ii) market value (MV series), (iii) market-to-book equity (PTBV series), (iv) total assets (WC02999 series), (v) return on equity (WC08301 series), (vi) tax rate (WC08346 series), (vii) primary SIC codes, (viii) turnover by volume (VO series), and (ix) the market price (P series). Following Griffin et al. (2010), we use the generic rules provided by the authors for excluding non-common equity securities from Datastream data.

REFERENCES:
Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5, 31–56.
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.

本数据集覆盖1989年1月至2018年12月伦敦证券交易所上市的全部股票，包含以下序列：
1. 20个资产增长投资组合的年度收益率，遵循法玛-弗伦奇（Fama and French, 1993）的研究方法。
2. 25个市值-账面市值比投资组合的年度收益率，遵循法玛-弗伦奇（Fama and French, 1993）的研究方法。
3. 62个行业投资组合的年度收益率，采用两位行业分类标准（Standard Industrial Classification, SIC）代码进行划分。
4. 法玛-弗伦奇三因子模型（three-factor model）的因子数据（RM、SMB与HML）。
5. 法玛-弗伦奇五因子模型（five-factor model）的因子数据（RM、SMB、HML、RMW与CMA）。
6. 伦敦证券交易所的阿米胡德非流动性指标（Amihud illiquidity measure）变体，遵循阿米胡德（Amihud, 2002）的研究方法。
7. 英国国库券（Treasury Bill）三个月期利率，数据来源于经济合作与发展组织（Organisation for Economic Co-operation and Development, OECD）数据库。

本数据集基于汤森路透数据流数据库（Thomson Reuters Datastream）的以下数据构建：(i) 总回报指数（total return index，RI序列）、(ii) 市值（market value，MV序列）、(iii) 账面市值比（market-to-book equity，PTBV序列）、(iv) 总资产（total assets，WC02999序列）、(v) 净资产收益率（return on equity，WC08301序列）、(vi) 税率（tax rate，WC08346序列）、(vii) 主要行业分类标准代码、(viii) 成交量换手率（turnover by volume，VO序列）以及(ix) 市场价格（market price，P序列）。参考格里芬等（Griffin et al., 2010）的研究，我们采用作者提出的通用规则，从汤森路透数据流数据库中剔除非普通股证券。

参考文献：
Amihud, Y. (2002). 非流动性与股票收益率：横截面与时序效应. 《金融市场期刊》(Journal of Financial Markets), 5, 31–56.
Fama, E. F. and French, K. R. (1993). 股票与债券收益率中的共同风险因子. 《金融经济学期刊》(Journal of Financial Economics), 33, 3–56.
Fama, E. F. and French, K. R. (2015). 五因子资产定价模型. 《金融经济学期刊》(Journal of Financial Economics), 116, 1–22.
Griffin, J. M., Kelly, P., and 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》(Review of Financial Studies), 23, 3225–3277.