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Spyros Skouras' web site

Spyros Skouras' web siteSpyros Skouras' web siteSpyros Skouras' web site

Professor of International Finance

Professor of International FinanceProfessor of International Finance

data library

Daily factors (MKT, SMB, HML, WML) for international regions

All data is based on Landis and Skouras (2021), "Guidelines for asset pricing research using international equity data from Thomson Reuters Datastream". On a best effort basis, these will be updated annually on the basis of the most recent vintage of TDS data. Data will be published with a lag of up to one quarter - the lag is necessary as several weeks of downloading and computation is required to implement the guidelines.

Grand Global Universe (91 countries)

Link to factors for a grand universe of 91 countries, as far as we are aware the largest ever analyzed.

Standard Global Universe (23 countries)

Link to factors for a more limited universe of 23 countries  used by Fama and French

Grand Global ex US 91

Link to factors as in Grand Global but excluding the US

Standard Global ex US 23

Link to factors as in Standard Global 23 but excluding the US 


Daily country specific factors (MKT, SMB, HML, WML) for 79 countries

Data is based on Landis and Skouras (2021), "Guidelines for asset pricing research using international equity data from Thomson Reuters Datastream", augmented with additional filtering and cross-checking against alternative data sources. See section 3.4 for some significant considerations in designing country specific as opposed to regional factors. Factors are provided for all countries for which there were sufficient data such that all four factors could be calculated on at least one date.

Link to country specific daily factors (one rar file for all countries)

Link to country specific monthly factors (one rar file for all countries)


Daily (and monthly) Hedge Fund Factors

All data is based on Antoniadis and Skouras (2022), "Guidelines for construcing factors using futures and options data from Thomson Reuters Datastream". On a best effort basis, these will be updated annually on the basis of the most recent vintage of TDS data.

Link to data as used in paper. 


Tug of War Predictors

This is the predictor introduced in "Households Push and Institutions Pull: Time-series Variation in the Equity Premium" (joint with Dong Lou and Christopher Polk)

Overnight and intraday PE

Data Link Forthcoming

Predictor based on SPY ETF smoothed overnight / intraday returns

Data Link Forthcoming

Add a footnote if this applies to your business


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