Schmidt, Peter S.; Schrimpf, Andreas; Arx, Urs von; … - CER-ETH Center of Economic Research, Department of … - 2011
Demand is growing for a better understanding of how assets are priced in countries outside of the U.S. While financial data are available for many firms world-wide, it is important to have a reliable and replicable method of constructing high-quality systematic risk factors from these data. This...