83 Pages Posted: 12 Jan 2011 Last revised: 11 Feb 2017
Date Written: February 8, 2017
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: 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