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.
