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Finding European Fama–French Factors by Market

Article Quant Q&A · Author: peter
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Summary

The post answers how to obtain size and value factors for European equity markets when the commonly used Fama–French library is associated with U.S. data. It points readers to pooled European factors from Kenneth French’s data library and describes several country-specific alternatives: German factors, monthly factors covering France and other markets, and daily factors for the United Kingdom.

The answer also gives important coverage limitations. It says the German series may have stopped updating in 2016, the cited monthly country data end in 2013, and the UK daily series end in June 2015. These dates make the suggestions useful for locating historical research data, but they may not describe current availability. The post does not explain factor construction, compare the datasets’ definitions, or assess their suitability for a particular model. Researchers should check each source’s latest releases and methodology before combining or comparing series.

Key ideas

  • Pooled European size and value factors are available through Kenneth French’s data library.
  • Country-level alternatives include German, French, and UK factor datasets.
  • The cited country series have differing historical endpoints, so their coverage should be verified.
  • The post identifies data sources but does not compare their construction methods.

Tags

EquitiesFactor investing
Full text
# FF 3 Factor Data for Europe


# FF 3 Factor Data for Europe












Since FF library is for US. How can I get the SMB and HML fators for European markets (UK, France, Germany, etc)?

## Answer by Forgottenscience (score 2)

https://quant.stackexchange.com/a/32592

You can get a pooled European market at Kenneth French's website, you just have to scroll down. These are current.

German factors are here, but I think they might have stopped updating them in 2016: https://www.wiwi.hu-berlin.de/de/professuren/bwl/bb/data/fama-french-factors-germany/fama-french-factors-for-germany

Stefano Marni has a large set of monthly factors, including France, however, they stop in 2013.

http://homepage.sns.it/marmi/Data_Library.html

Similarly, Tharayan and Christidis offer daily UK factors, they stop in June 2015.

http://business-school.exeter.ac.uk/research/centres/xfi/famafrench/

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.