Fama French 4 Factors for Canadian stock markets

1- The Fama/French 3 factors for Canadian stock markets

they are constructed using the 6 value-weight portfolios formed on size and book-to-market.

Monthly Returns: from July 1999 —

SMB (Small Minus Big) is the average return on the three small portfolios minus the average return on the three big portfolios.

SMB = 1/3 (Small Value + Small Neutral + Small Growth) – 1/3 (Big Value + Big Neutral + Big Growth)

HML (High Minus Low) is the average return on the two value portfolios minus the average return on the two growth portfolios.

HML = 1/2 (Small Value + Big Value) – 1/2 (Small Growth + Big Growth)

Rm-Rf, the excess return on the market, value-weight return of all Compustat – Security Monthly firms issuing common stocks in Canada and listed on the Toronto, Montreal, Canadian Venture or Alberta exchanges that have a Compustat exchange code between 7 and 10, issue type code of 0, monthly share outstanding and price data at the beginning of month t, and return data for t minus the Canadian one-month Treasury bill rate at the end of month t (from Statistics Canada: https://www150.statcan.gc.ca/t1/tbl1/en/cv.action?pid=1010013901).

Rm-Rf includes all firms issuing common stocks on the Canadian exchanges. SMB and HML for July of year t to June of t+1 include all the firms for which we have market equity data for December of t-1 and June of t, and (positive) book equity data for t-1.

Formation of size and BE/ME portfolios

The portfolios, which are constructed at the end of each June, are the intersections of 2 portfolios formed on size (market equity, ME) and 3 portfolios formed on the ratio of book equity to market equity (BE/ME). The size breakpoint for year t is the median Toronto exchange market equity at the end of June of year t. BE/ME for June of year t is the book equity for the last fiscal year end in t-1 divided by ME for December of t-1. The BE/ME breakpoints are the 30th and 70th Toronto exchange percentiles.

2- Momentum Factor for Canadian stock markets

Monthly Returns: From Apr. 1998 —

Construction: The momentum factor is constructed using the 6 value-weight portfolios formed on size and prior (2-12) returns. The portfolios, which are rebalanced monthly, are the intersections of 2 portfolios formed on size (market equity, ME) and 3 portfolios formed on prior (2-12) return.

Mom is the average return on the two high prior return portfolios minus the average return on the two low prior return portfolios.

Mom = 1/2 (Small High + Big High) – 1/2 (Small Low + Big Low)

The monthly size breakpoint is the median Toronto exchange market equity. The monthly prior (2-12) return breakpoints are the 30th and 70th Toronto exchange percentiles.

The six portfolios used to construct Mom each month include all Compustat – Security Monthly firms issuing common stocks in Canada and listed on the Toronto, Montreal, Canadian Venture, or Alberta exchanges. To be included in a portfolio for month t (formed at the end of month t-1), a stock must have monthly share outstanding and a price at the end of month t-1 (so that the stock has ME for the end of month t-1), return at the end of month t, and a price at the end of month t-13 and t-2.