Abstract

http://ssrn.com/abstract=1738315
 
 

References (42)



 
 

Citations (6)



 


 



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

January 4, 2011

Swiss Finance Institute Research Paper No. 10-58

Abstract:     
Demand is growing for a better understanding of how assets are priced in countries outside of the U.S. While financial data are available for many firms world-wide, it is important to have a reliable and replicable method of constructing high-quality systematic risk factors from these data. This paper first documents that appropriately screened data from Thomson Reuters Datastream and Thomson Reuters Worldscope can be used to replicate closely not only U.S. market returns and the corresponding momentum risk factor (as existing work has suggested), but also the widely-used U.S. size and value risk factors. We then build novel pan-European and country-specific momentum, size, and value risk factors. By comparing our pan-European market returns and risk factors with their counterparts in the U.S., we find that they are astonishingly highly correlated. The factors we compute are made available to other researchers.

Number of Pages in PDF File: 54

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  

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 (January 4, 2011). 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
Citations:  6

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