Skip to Content

Stefan Nagel

 

Data

Data used in Dimson, Nagel, and Quigley (2003): 

  1. Monthly returns, 1955-2001, on UK SMB, HML, and Market factors .csv file 
    + Portfolio characteristics: value-weighted average book-to-market .csv file , sum of market cap .csv file
  2. Monthly returns, 1995-2001, on UK SMB and HML basis portfolios .csv file
  3. Monthly returns, 1955-2001, on dividend-yield based UK SMB and IMC factors, incl. basis portfolios .csv file
  4. Monthly returns, 1955-2001, on 16 UK size and book-to-market portfolios .csv file
    + Portfolio characteristics: value-weighted average book-to-market .csv file , sum of market cap .csv file
          

The database of accounting information used in this paper is described in: Accounting Information Free of Selection Bias, revised October 2001.

Back to Top