Assembling International Equity Datasets – Review of Studies on the Cross-Section of Common Stocks

Antonina Waszczuk

BIFEC Book of Abstracts & Proceedings, 2014, vol. 1, issue 2, 34-65

Abstract: This paper reviews the data sources used in the research on the cross-section of international stock returns. Covering the wide range of internationally focused papers I give an overview of the applied data, sample coverage, classification schemes and data cleaning methods. I address the quality concerns in case of the non-U.S. data and methodologically relevant specifics of international data analysis providing references to available solutions. In regards to data cleaning I give an overview of applied screens, pointing out their diversity across studies. On that way I offer a structured insight into challenges and specifics of rapidly increasing amount of papers discussing the cross-section of common stocks in both single-country and multiple country frameworks.

Keywords: cross-section of stocks; data quality; data cleaning; empirical research; data errors (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:bor:bifeca:v:1:y:2014:i:2:p:34-65

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