Risk Factors for the UK

The aim of this data-page is to make available the equivalent of the Fama-French Five factor (Fama-French 2015) and Q-model (Hou et al. 2015) risk factors for the UK market as described in 

Tharyan, Rajesh and Gregory, Alan and Chen, Biying, An investigation of multi-factor asset pricing models in the UK (2024). https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4933529

While Kenneth French’s data library and the Hou-Xue-Zhang global-q.org provides these free of charge for the US market and as far as we are aware, there is currently no equivalent for the UK market. We attempt to remedy this situation by making the data freely downloadable and in doing so we hope that this will be a useful and valuable resource to the research community.

Citation

If you use the data, please cite the following papers.

Tharyan, Rajesh and Gregory, Alan and Chen, Biying, An investigation of multi-factor asset pricing models in the UK (July 01 2024). Available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4933529

Gregory, A., Tharyan, R., & Christidis, A. (2013). Constructing and testing alternative versions of the Fama–French and Carhart models in the UK. Journal of Business Finance & Accounting, 40(1-2), 172-214.

Disclaimer

The data is provided free of charge on an as is basis. While we have taken considerable care in the preparation of the data and related materials, we can assume no responsibility or liability for any injury, loss or damage incurred as a result of any use or reliance upon the information and material downloaded from these pages.