- The vast majority of empirical asset pricing studies solely rely on US data. Karolyi
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.,
2002 and Fama and French, 2012).
- The goal of this project is 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 50 developed and emerging countries), the developed market subregions
Europe and Asia Pacific (ex-Japan), emerging markets, as well as 37 individual countries. The
sample, region, and factor construction follow Hanauer
and Windmueller (2019) and Hanauer
(2020). Please refer to these articles when you use the provided factors in your