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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Common Risk Factors in International Stock Markets |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Financial markets and portfolio management |
| Publisher | Springer |
| Geographical Reach | international |
| ISSN | 1934-4554 |
| Volume | 33 |
| Number | 3 |
| Page Range | 213 - 241 |
| Date | 2019 |
| Abstract Text | 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 often not realizable or at least significantly eroded due to transaction costs. |
| Related URLs | |
| Digital Object Identifier | 10.1007/s11408-019-00334-3 |
| Other Identification Number | merlin-id:6829 |
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| Keywords | Risk Factors, Value, Size, Momentum, International Equity Markets, Asset Pricing Anomalies, Trading Costs |