Jean-Marie Dufour, Lynda Khalaf, and Marie-Claude Beaulieu, 
"Multivariate Residual-Based Finite-Sample Tests for Serial Dependence 
and ARCH Effects with Applications to Asset Pricing Models", Journal of 
Applied Econometrics, Vol. 25, No. 2, 2010, pp. 263-285.

All data are in the file dkb-data.dat, an ASCII file in DOS format which is
zippedmin the file dkb-data.zip. Unix/Linux users should use "unzip -a".

Data description:

We use Fama and French's data base on monthly returns of 25 value-weighted
portfolios from 1961-2000. These returns appear under the headings
RET1 ... RET25 in the data file. The portfolios, which are constructed at
the end of June, are the intersections of five portfolios formed on size
(market equity) and five portfolios formed on the ratio of book equity to
market equity. The size breakpoints for year t are the New York Stock
Exchange (NYSE) market equity quintiles at the end of June of year t.
The ratio of book equity to market equity for June of year t is the
book equity for the last fiscal year end in t-1 divided by market
equity for December of year t-1. The ratio of book equity to market
equity are NYSE quintiles. The portfolios for July of year t to June
of year t+1 include all NYSE, AMEX, NASDAQ stocks for which market
equity data is available for December of year t-1 and June of year t, 
and (positive) book equity data for t-1.

The factors considered include:
  the return on the market portfolio (market);
  the average return on three small portfolios minus the average return on
    three large portfolios (SMB);
  the average return on two value portfolios minus the average returns on
    two growth portfolios (HML).
These returns appear under the headings market, SMB, and HML in the data file.

The benchmark factors are defined as follows:

(1) the excess return on the market is the value-weighted return on all 
NYSE, AMEX, and NASDAQ stocks [from the University of Chicago's Center for
Research in Security Prices (CRSP)] minus the one-month Treasury bill rate
[from Ibbotson Associates];

(2) SMB is the average return on three small portfolios minus the average
return on three big portfolios,

and

(3) HML is the average return on two value portfolios minus the average
return on two growth portfolios.

The Fama and French benchmark factors, SMB and HML, are constructed from six
size/book-to-market benchmark portfolios that do not include ranges and do
not incur transaction costs. The portfolios for these factors are rebalanced
quarterly using two independent sorts, on size (market equity, ME) and
book-to-market (the ratio of book equity to market equity, BE/ME). The size
breakpoint (which determines the buy range for the small and big portfolios)
is the median NYSE market equity. The BE/ME breakpoints (which determine the
buy range for the growth, neutral, and value portfolios) are the 30th and
70th NYSE percentiles.