Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - Institut für Schweizerisches Bankwesen <Zürich> - 2011
-quality systematic risk factors from these data. This paper firstdocuments that appropriately screened data from Thomson Reuters … novel pan-European and country-specific momentum, size, and value risk factors.By comparing our pan-European market returns … and risk factors with their counterparts in the U.S., wefind that they are astonishingly highly correlated. The factors we …