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Common Risk Factors in International Stock Markets


Schmidt, Peter S; von Arx, Urs; Schrimpf, Andreas; Wagner, Alexander F; Ziegler, Andreas (2019). Common Risk Factors in International Stock Markets. Financial Markets and Portfolio Management, 33(3):213-241.

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. To demonstrate the use of this dataset, we present evidence of an "extreme" size premium in a large number of countries. These premia, however, are often not realizable or at least significantly eroded due to transaction costs.

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. To demonstrate the use of this dataset, we present evidence of an "extreme" size premium in a large number of countries. These premia, however, are often not realizable or at least significantly eroded due to transaction costs.

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3 citations in Scopus®
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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Social Sciences & Humanities > Accounting
Social Sciences & Humanities > Finance
Uncontrolled Keywords:Risk Factors, Value, Size, Momentum, International Equity Markets, Asset Pricing Anomalies, Trading Costs
Language:English
Date:20 September 2019
Deposited On:14 Feb 2020 08:50
Last Modified:29 Jul 2020 14:29
Publisher:Springer
ISSN:1934-4554
OA Status:Closed
Publisher DOI:https://doi.org/10.1007/s11408-019-00334-3
Related URLs:http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1738315 (Organisation)
https://link.springer.com/article/10.1007/s11408-019-00334-3 (Publisher)
Other Identification Number:merlin-id:6829

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