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 - Department of Banking and Finance

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; Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI); Swiss Finance Institute

Andreas Ziegler


University of Kassel

June 7, 2016

Swiss Finance Institute Research Paper No. 10-58

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 most likely not realizable due to a low stock market depth.

Number of Pages in PDF File: 84

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: June 9, 2016

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 (June 7, 2016). 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 - Department of Banking and Finance ( email )
Schönberggasse 1
Zürich, 8001
Switzerland
Urs Von Arx
ETH Zürich ( 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)
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
Swiss Finance Institute ( email )
Switzerland
HOME PAGE: http://www.alex-wagner.com
Andreas Ziegler
University of Kassel ( email )
Fachbereich 05
Nora-Platiel-Straße 1
34109 Kassel, Hessen 34127
Germany
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References:  42
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