EUROFIDAI benchmark indices: Europe


Database version: July 15, 2018
"Presentation" and "Documentation" sections are publicly available, but you must be a member to access the other sections.

Data range and origin

EUROFIDAI benchmark indices are computed by EUROFIDAI with EUROFIDAI quality stock data. EUROFIDAI stock data is Six Financial Information data, screened and verified by EUROFIDAI. Benchmark indices are provided in $ and €. 

  • Indices for Europe, by country and by sector (value-weighted and equally-weighted)
    • Period:
      • France: January 4, 1977 - December 31, 2017
      • Europe: January 2, 1988 - December 31, 2017
        (period may vary depending on the country)
    • Number of indices: 970
    • Number of observations: 4 887 994
  • Factor indices and benchmark portfolios (portfolios formed on size, book-to-market, momentum and market premium)
    • Period:
      • France: July 1, 1983 - December 31, 2017
      • Europe: January 2, 1988 - December 31, 2017
        (period may vary depending on the country)
    • Number of indices: 648
    • Number of observations: 3 636 227
  • Data overview: download

The period, number and type of benchmark indices may vary depending on the information available for each country. Please read the documentation for more details.

NEW: sector, factor indices and benchmark portfolios (except for Europe) are now calculated in 2 ways, with or without foreign stocks quoted on local stock exchanges.

Indices for Europe, by country and by sector

EUROFIDAI computes indices per country (27 countries) and region, including two indices for Europe (a 11 country index and a 17 country index quoted in dollars and in euros). It also provides indices per sector.

This database contains prices and returns for all EUROFIDAI indices (with or without dividends). These indices are built in the same manner as CRSP indices, meaning that all (class A) stocks are taken into consideration.

Indices are also calculated with or without foreign stocks quoted on local stock exchanges.

  • General (for Europe and by country) benchmark indices: one equally-weighted, the other capitalization weighted
  • Sector indices covering ten general economic sectors (this number may vary depending on the stock exchange)

Types of data

  • Index return (daily and monthly), calculated from adjusted closing index (with or without reinvested dividends)
  • Index holding value (with or without reinvested dividends)
  • Number of stocks covered by the index (the default settings calculate the indices without the foreign stocks quoted in the considered country. An option is available to calculate them with the foreign stocks)

Factor indices and benchmark portfolios

This database provides returns for factor indices and benchmark portfolios. Factor-mimicking (portfolio benchmark) indices are computed in the spirit of the papers of Fama and French (1992, 1993) and Carhart (1997).

EUROFIDAI computes factors and benchmark portfolios for 2 geographical areas including 11 or 17 European countries. 

  • Factor indices: size, book-to-market and momentum factors
  • Benchmark portfolios:
    • portfolios formed on size
    • portfolios formed on book-to-market
    • portfolios formed on momentum
  • Market premium

Types of data

  • Index holding return (with reinvested dividends) 

The Indices database documentation is available on demand for free: just fill the on line form (follow the link to get access to the form) to receive an automatic email with the requested documentation.

If you already are a subscriber of EUROFIDAI, just connect by clicking on the padlock on the top right corner of this page and get a direct access to the documentation.

Data download is accessible through a subscription:

  • We can provide on demand a trial account which allows you to access the private pages of the website of EUROFIDAI: give a try out to the data extraction forms and visualize the available data.
     
  • Contact us to receive more information about our subscription fees.
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    Contact our team if you need any help !
    Warning, you are not able to access this page for one of the following reasons:
      – You are not part of EUROFIDAI subscribers.
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      – You are part of EUROFIDAI subscribers but your research center does not have access to this database.
      – Your research center contract’s ended.
    Contact our team if you need any help !

    TAILORED SERVICES

    • In addition to regional, sectoral and factor-mimicking benchmark indices, EUROFIDAI provides tailor-made benchmark indices upon demand.
    • EUROFIDAI can provide on demand the composition of the indices.