Common risk factors in international stock markets
Peter S. Schmidt (peter.schmidt@unige.ch),
Urs von Arx,
Andreas Schrimpf,
Alexander Wagner and
Andreas Ziegler
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Peter S. Schmidt: University of Geneva
Urs von Arx: Valex Capital AG
Andreas Ziegler: University of Kassel
Financial Markets and Portfolio Management, 2019, vol. 33, issue 3, No 1, 213-241
Abstract:
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.
Keywords: Risk factors; Value; Size; Momentum; Profitability; Investment; International equity markets; Asset pricing anomalies; Trading costs (search for similar items in EconPapers)
JEL-codes: C89 G12 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (19)
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Persistent link: https://EconPapers.repec.org/RePEc:kap:fmktpm:v:33:y:2019:i:3:d:10.1007_s11408-019-00334-3
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DOI: 10.1007/s11408-019-00334-3
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