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

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  • Antonina Waszczuk

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.

Suggested Citation

  • Antonina Waszczuk, 2014. "Assembling International Equity Datasets – Review of Studies on the Cross-Section of Common Stocks," BIFEC Book of Abstracts & Proceedings, Research and Business Development Department, Borsa Istanbul, vol. 1(2), pages 34-65, March.
  • Handle: RePEc:bor:bifeca:v:1:y:2014:i:2:p:34-65
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    References listed on IDEAS

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    Cited by:

    1. Zaremba, Adam & Szyszka, Adam, 2016. "Is there momentum in equity anomalies? Evidence from the Polish emerging market," Research in International Business and Finance, Elsevier, vol. 38(C), pages 546-564.
    2. repec:eee:ememar:v:31:y:2017:i:c:p:1-15 is not listed on IDEAS

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