Capturing the Value Premium in the United Kingdom

By E. Dimson, Stefan Nagel, Garrett Quigley. 2003

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Constructing and Testing Alternative Versions of the Fama-French and Carhart Models in the UK (2011, unknown): “Following Agarwal and Taffler (2008), who note that 22% of UK firms have 4 We also construct and test our models using the alternative Dimson et al. (2003) 70th percentile breakpoints, the Al-Horani et al. 50th percentile breakpoints together with the Fletcher (2001) and Fletcher and Kihanda (2005) ”
The Worldwide Equity Premium: A Smaller Puzzle (2006, unknown): “This analysis therefore draws on, and complements, Fama and French (2002), Ibbotson and Chen (2003), and Arnott and Bernstein (2003).”
Which Money is Smart? Mutual Fund Buys and Sells of Individual and Institutional Investors (2008, background): “Our monthly Fama and French (1992, 1993) size and value factor realizations come from Dimson, Nagel, and Quigley (2003), who confirm the size and value effects in the United Kingdom.”