Common risk factors in international stock markets

Article Article scientifique Article Common risk factors in international stock markets eng 2019-09-20 2019-09 author Schmidt Peter Steffen 910035 author von Arx Urs author Schrimpf Andreas author Wagner Alexander F. author Ziegler Andreas 213-241 10.1007/s11408-019-00334-3 1934-4554 http://link.springer.com/10.1007/s11408-019-00334-3 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. Risk factors Value Size Momentum Profitability Investment International equity markets Asset pricing anomalies Trading costs Dewey 650 Swiss National Science Foundation The Effects of Corporate Social Responsibility and Environmental or Social Policy on Stock Returns: An Application of Modern Event Studies (D-A-CH/MFCL). 120387 CH Commission for Technology and Innovation of the Swiss Confederation 10603.2 PFES-ES Zürcher Kantonalbank Swiss National Science Foundation NCCR FINRISK: Financial Valuation and Risk Management (phase I) 67320 CH 116 Geneva Finance Research Institute S4 false Financial markets and portfolio management 33 3 69e5b293-0166-4245-82df-26ee7815de50 Article (Published version) Public Article_scientifique_from_crossref.pdf 365437 application/pdf OA NATIONAL dd58a6619d75c1572b50f783f198425407e6420b387282baaed1628e9727a965 openAccess Faculté d'économie et de management / Geneva Finance Research Institute

Title	Published in	Access level	OA Policy	Year	Views	Downloads

Common risk factors in international stock markets	Financial markets and portfolio management			2019	6	241

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Schmidt, Peter Steffen