Building Country-Specific Industry Portfolios for Equity Research
Summary
The document asks how to construct industry portfolios for markets such as the UK and Japan when a familiar US industry classification may not be available or current. The intended use is to study relationships between stock returns and economic variables at quarterly or yearly frequencies. The question highlights two practical obstacles: classifications built from current sector and market-cap data may omit delisted firms and require historical reconstruction, while index returns may be inaccessible without a license.
The only proposed lead is to investigate Refinitiv’s business and industry classification codes. No portfolio construction procedure, database coverage details, or empirical results are provided, so this is a starting point rather than a validated solution. Researchers would still need to check historical classification coverage, delisting treatment, and access to returns for the exchanges and periods they study.
Key ideas
- Industry portfolio research outside the US requires classifications that fit each market and historical period.
- Using current sector and market-cap groupings risks omitting delisted firms and may require rebuilding classifications through time.
- Licensed index returns can constrain access to ready-made industry portfolios.
- Refinitiv business and industry codes are suggested as a possible classification source, but their suitability is not assessed.
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# How to create Industry Portfolios per country? # How to create Industry Portfolios per country? Regarding the industry portfolio as created by Kennth R. French like here: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_17_ind_port.html I was wondering how I could do this for other markets. They specifically use SIC codes but for other countries I can't find a comparable classification which is still in active. My question is for the sake of finding a relationship between stock returns and another economic variable in quarterly and yearly format. I tried to: - make a classification where I would classify use sectors and market cap (for the sake of time), but I quickly realized that this would need to be done for each year in my sample period (40-60 years) in order to keep it representative and include stocks which have been delisted but where relevant in the past. I cannot seem to find a database for this. - use indices, but I don't have the license to access those returns. So I am currently stuck and out of ideas. Is there any other database which I can access which contains returns of all the stocks of the LSE and the TSE (and preferably more) which are classified per industry and/or sector? Or alternatively any way other way I have not mentioned? Also, any other advice or help is welcome! Thanks in advance. ## Answer by Bob Jansen (score 0) https://quant.stackexchange.com/a/73328 You could try to use these codes provided by Refinitiv: https://www.refinitiv.com/en/financial-data/reference-data/classifications/business-and-industry-classifications
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