Abstract

http://ssrn.com/abstract=1738315
 
 

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On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications


Peter Steffen Schmidt


University of Zurich - Center für Nachhaltigkeit und unternehmerische Verantwortung (CCRS); University of Zurich - Swiss Banking Institute (ISB)

Urs Von Arx


ETH Zürich; University of Zurich - Center für Nachhaltigkeit und unternehmerische Verantwortung (CCRS)

Andreas Schrimpf


Bank for International Settlements (BIS) - Monetary and Economic Department

Alexander F. Wagner


University of Zurich - Department of Banking and Finance; Harvard University; Swiss Finance Institute; Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI)

Andreas Ziegler


ETH Zürich - Department of Management, Technology, and Economics (D-MTEC); University of Zurich

August 14, 2014

Swiss Finance Institute Research Paper No. 10-58

Abstract:     
How are assets priced in countries outside of the U.S.? To advance research on this broad question, we make a methodological and a substantive contribution. First, on the methodological side, 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. On the substantive side, we document two results: First, an “extreme” size premium (between the smallest and the largest quintiles and deciles of firms) exists in a large number of countries. Second, the profitability of momentum strategies declines sharply with market capitalization, and a significant size premium (even outside extreme quantiles of the size distribution) exists in all countries for the highest 30% of the momentum stocks.

Number of Pages in PDF File: 81

Keywords: Risk Factors, Value, Size, Momentum, International Equity Markets, Asset Pricing Anomalies

JEL Classification: C89, G12, G15

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Date posted: January 12, 2011 ; Last revised: August 15, 2014

Suggested Citation

Schmidt, Peter Steffen and von Arx, Urs and Schrimpf, Andreas and Wagner, Alexander F. and Ziegler, Andreas, On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications (August 14, 2014). Swiss Finance Institute Research Paper No. 10-58. Available at SSRN: http://ssrn.com/abstract=1738315 or http://dx.doi.org/10.2139/ssrn.1738315

Contact Information

Peter Steffen Schmidt
University of Zurich - Center für Nachhaltigkeit und unternehmerische Verantwortung (CCRS) ( email )
Zähringerstrasse 24
Zurich, 8001
Switzerland
University of Zurich - Swiss Banking Institute (ISB) ( email )
Plattenstrasse 14
CH-8032 Zurich, Zurich 8032
Switzerland
Urs Von Arx
Swiss Federal Institute of Technology Zurich ( email )
Zürichbergstrasse 18
Zurich, 8032
Switzerland
University of Zurich - Center für Nachhaltigkeit und unternehmerische Verantwortung (CCRS) ( email )
Kuenstlergasse 15a
Zurich, 8001
Switzerland
Andreas Schrimpf
Bank for International Settlements (BIS) - Monetary and Economic Department ( email )
Centralbahnplatz 2
CH-4002 Basel
Switzerland
Alexander F. Wagner (Contact Author)
University of Zurich - Department of Banking and Finance ( email )
Plattenstrasse 14
Zürich, 8032
Switzerland
+41 44 634 3963 (Phone)
Harvard University ( email )
1875 Cambridge Street
Cambridge, MA 02138
United States
Swiss Finance Institute ( email )
c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Switzerland
HOME PAGE: http://www.alex-wagner.com

Centre for Economic Policy Research (CEPR) ( email )
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
European Corporate Governance Institute (ECGI) ( email )
c/o ECARES ULB CP 114
B-1050 Brussels
Belgium
Andreas Ziegler
Swiss Federal Institute of Technology Zurich - Department of Management, Technology, and Economics (D-MTEC) ( email )
Zürichbergstrasse 18
Zurich, 8032
Switzerland
+41 (0) 44632 0398 (Phone)
+41 (0) 44632 1362 (Fax)
University of Zurich
Künstlergasse 15a
Zurich, 8001
Switzerland
+41 (0) 44634 4020 (Phone)
+41 (0) 44634 4900 (Fax)
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References:  42
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