Background
- The vast majority of empirical asset pricing studies solely rely on US data. Karolyi (2016, p. 2049) documents that only “16% (23%) of all empirical studies published in the top four (fourteen) Finance journals examine non-US markets, a fraction that is well below measures reflecting their economic importance.” Therefore, empirical research focused on non-U.S. studies is underrepresented. Prior research has also shown that empirical asset pricing models based on local factors outperform models based on global returns for explaining local returns (see, e.g., Griffin, 2002 and Fama and French, 2012).
- This project aims to promote and stimulate the use of international (local) factor returns. We provide monthly returns for twelve common factors for various international markets. Besides the market, RMRF, all factors are constructed based on 2 x 3 sorts on size and the respective factor criteria and all returns are value-weighted. Our data set covers the global (ex-US) market (comprising 52 developed and emerging countries), global developed and emerging markets, developed and emerging market subregions, as well as 37 individual countries. The sample, region, and factor construction follow Hanauer and Windmueller (2021) and Hanauer (2020). Please refer to these articles when you use the provided factors in your research.