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On the construction of common size, value and momentum factors in international stock markets: A guide with applications


Schmidt, Peter S; von Arx, Urs; Schrimpf, Andreas; Wagner, Alexander F; Ziegler, Andreas (2015). On the construction of common size, value and momentum factors in international stock markets: A guide with applications. CCRS Working Paper Series 01/11, University of Zurich.

Abstract

A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from Thomson Reuters Datastream and Thomson Reuters Worldscope can be used to construct high-quality systematic risk factors. We provide common risk factors for 23 countries across the globe.

Abstract

A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from Thomson Reuters Datastream and Thomson Reuters Worldscope can be used to construct high-quality systematic risk factors. We provide common risk factors for 23 countries across the globe.

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Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
03 Faculty of Economics > Center for Corporate Responsibility and Sustainability
Dewey Decimal Classification:330 Economics
Uncontrolled Keywords:Risk Factors, Value, Size, Momentum, International Equity Markets, Asset Pricing Anomalies
Language:English
Date:27 August 2015
Deposited On:09 Sep 2011 12:18
Last Modified:05 Apr 2016 15:00
Series Name:CCRS Working Paper Series
Number of Pages:53
Free access at:Official URL. An embargo period may apply.
Official URL:http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1738315
Related URLs:http://www.ccrs.uzh.ch
Other Identification Number:merlin-id:6829

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