IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

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

  • Antonina Waszczuk
Registered author(s):

    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.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.bifec.com/docs/default-source/default-document-library/book-of-abstracts-and-proceedings.pdf
    Download Restriction: no

    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

    as
    in new window

    Handle: RePEc:bor:bifeca:v:1:y:2014:i:2:p:34-65
    Contact details of provider: Postal: Reşitpaşa mh. Tuncay Artun Cd. Emirgan, 34467 İstanbul
    Phone: (90 212) 298 2100
    Fax: (90 212) 298 2189
    Web page: http://www.borsaistanbul.com
    Email:


    More information through EDIRC

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. Enrique G. Mendoza & Emine Boz, 2010. "Financial innovation, the Discovery of Risk, and the U.S. Credit Crisis," IMF Working Papers 10/164, International Monetary Fund.
    2. Duffie Darrell & Rahi Rohit, 1995. "Financial Market Innovation and Security Design: An Introduction," Journal of Economic Theory, Elsevier, vol. 65(1), pages 1-42, February.
    3. Upper, Christian & Worms, Andreas, 2002. "Estimating Bilateral Exposures in the German Interbank Market: Is there a Danger of Contagion?," Discussion Paper Series 1: Economic Studies 2002,09, Deutsche Bundesbank, Research Centre.
    4. Shleifer, Andrei & Vishny, Robert W., 2010. "Unstable banking," Journal of Financial Economics, Elsevier, vol. 97(3), pages 306-318, September.
    5. Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2010. "Neglected risks, financial innovation and financial fragility," Economics Working Papers 1251, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010.
    6. Laeven, Luc & Levine, Ross & Michalopoulos, Stelios, 2009. "Financial Innovation and Endogenous Growth," CEPR Discussion Papers 7465, C.E.P.R. Discussion Papers.
    7. W. Scott Frame & Lawrence White, 2002. "Empirical Studies of Financial Innovation: Lots of Talk, Little Action?," Working Papers 02-18, New York University, Leonard N. Stern School of Business, Department of Economics.
    8. Lerner, Josh, 2006. "The new new financial thing: The origins of financial innovations," Journal of Financial Economics, Elsevier, vol. 79(2), pages 223-255, February.
    9. Thorsten Beck & Tao Chen & Chen Lin & Frank M. Song, 2012. "Financial Innovation: The Bright and the Dark Sides," Working Papers 052012, Hong Kong Institute for Monetary Research.
    10. Bhattacharyya, Sugato & Nanda, Vikram, 2000. "Client Discretion, Switching Costs, and Financial Innovation," Review of Financial Studies, Society for Financial Studies, vol. 13(4), pages 1101-27.
    11. Josh Lerner, 2008. "The Litigation of Financial Innovations," NBER Working Papers 14324, National Bureau of Economic Research, Inc.
    12. John C. Driscoll & Aart C. Kraay, 1998. "Consistent Covariance Matrix Estimation With Spatially Dependent Panel Data," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 549-560, November.
    13. Ferreira, Daniel & Manso, Gustavo & Silva, André C., 2010. "Incentives to Innovate and the Decision to Go Public or Private," CEPR Discussion Papers 7750, C.E.P.R. Discussion Papers.
    14. Josh Lerner & Peter Tufano, 2011. "The Consequences of Financial Innovation: A Counterfactual Research Agenda," NBER Working Papers 16780, National Bureau of Economic Research, Inc.
    15. Bertay, Ata Can & Demirgüç-Kunt, Asli & Huizinga, Harry, 2013. "Do we need big banks? Evidence on performance, strategy and market discipline," Journal of Financial Intermediation, Elsevier, vol. 22(4), pages 532-558.
    16. Merton H. Miller, 1992. "Financial Innovation: Achievements And Prospects," Journal of Applied Corporate Finance, Morgan Stanley, vol. 4(4), pages 4-11.
    17. Markus K. Brunnermeier, 2009. "Deciphering the Liquidity and Credit Crunch 2007-2008," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 77-100, Winter.
    18. Thakor, Anjan V., 2012. "Incentives to innovate and financial crises," Journal of Financial Economics, Elsevier, vol. 103(1), pages 130-148.
    19. Laetitia Lepetit & Frank Strobel, 2012. "Bank equity Involvement in Industrial Firms and Bank Risk," Working Papers hal-00916709, HAL.
    20. Josh Lerner & Peter Tufano, 2011. "The Consequences of Financial Innovation: A Counterfactual Research Agenda," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 41-85, December.
    21. Andrés Carvajal & Marzena Rostek & Marek Weretka, 2012. "Competition in Financial Innovation," Econometrica, Econometric Society, vol. 80(5), pages 1895-1936, 09.
    22. Henderson, Brian J. & Pearson, Neil D., 2011. "The dark side of financial innovation: A case study of the pricing of a retail financial product," Journal of Financial Economics, Elsevier, vol. 100(2), pages 227-247, May.
    23. Franklin Allen & Ana Babus & Elena Carletti, 2009. "Financial Crises: Theory and Evidence," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 97-116, November.
    24. Tufano, Peter, 1989. "Financial innovation and first-mover advantages," Journal of Financial Economics, Elsevier, vol. 25(2), pages 213-240, December.
    25. Allen, Franklin & Gale, Douglas, 2004. "Competition and Financial Stability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(3), pages 453-80, June.
    26. Miller, Merton H., 1986. "Financial Innovation: The Last Twenty Years and the Next," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(04), pages 459-471, December.
    27. Demirguc-Kunt, Asli & Huizinga, Harry, 2010. "Are banks too big to fail or too big to save? International evidence from equity prices and CDS spreads," CEPR Discussion Papers 7903, C.E.P.R. Discussion Papers.
    28. Lepetit, Laetitia & Strobel, Frank, 2013. "Bank insolvency risk and time-varying Z-score measures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 73-87.
    29. Robert C. Merton, 1992. "Financial Innovation And Economic Performance," Journal of Applied Corporate Finance, Morgan Stanley, vol. 4(4), pages 12-22.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:bor:bifeca:v:1:y:2014:i:2:p:34-65. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ahmet Palu)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.