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Assembling International Equity Datasets – Review of Studies on the Cross-Section of Common Stocks

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  • Antonina Waszczuk
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    Abstract

    This paper reviews the data sources used in the research on the cross-section of international stock returns. Covering the wide range of internationally focused papers I give an overview of the applied data, sample coverage, classification schemes and data cleaning methods. I address the quality concerns in case of the non-U.S. data and methodologically relevant specifics of international data analysis providing references to available solutions. In regards to data cleaning I give an overview of applied screens, pointing out their diversity across studies. On that way I offer a structured insight into challenges and specifics of rapidly increasing amount of papers discussing the cross-section of common stocks in both single-country and multiple country frameworks.

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    Bibliographic Info

    Article provided by Research and Business Development Department, Borsa Istanbul in its journal BIFEC Book of Abstracts & Proceedings.

    Volume (Year): 1 (2014)
    Issue (Month): 2 (March)
    Pages: 34-65

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    Handle: RePEc:bor:bifeca:v:1:y:2014:i:2:p:34-65

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    Related research

    Keywords: cross-section of stocks; data quality; data cleaning; empirical research; data errors;

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