On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications
نویسندگان
چکیده
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. JEL classification: C89, G12, G15
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