Schmidt, Peter S.; Schrimpf, Andreas; Arx, Urs von; … - CER-ETH Center of Economic Research, Department of … - 2011
-quality systematic risk factors from these data. This paper first documents that appropriately screened data from Thomson Reuters … momentum risk factor (as existing work has suggested), but also the widely-used U.S. size and value risk factors. We then build … novel pan-European and country-specific momentum, size, and value risk factors. By comparing our pan-European market returns …