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

83 Pages Posted: 12 Jan 2011 Last revised: 11 Feb 2017

Peter Steffen Schmidt

University of Zurich - Department of Banking and Finance; University of Bern - Institute for Financial Management

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

Date Written: February 8, 2017

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.

Keywords: Risk factors; value; size; momentum; international equity markets; asset pricing anomalies

JEL Classification: C89, G12, G15

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 (February 8, 2017). Swiss Finance Institute Research Paper No. 10-58. Available at SSRN: https://ssrn.com/abstract=1738315 or http://dx.doi.org/10.2139/ssrn.1738315

Peter Steffen Schmidt

University of Zurich - Department of Banking and Finance ( email )

Schönberggasse 1
Zürich, 8001
Switzerland

University of Bern - Institute for Financial Management ( email )

Engehaldenstrasse 4
Bern, CH-3012
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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