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 … correspondingmomentum risk factor (as existing work has suggested), but also the widely-used U.S. size and value riskfactors. We then build … novel pan-European and country-specific momentum, size, and value risk factors.By comparing our pan-European market returns …