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.
Link to factors for a grand universe of 91 countries, as far as we are aware the largest ever analyzed.
Link to factors for a more limited universe of 23 countries used by Fama and French
Link to factors as in Grand Global but excluding the US
Link to factors as in Standard Global 23 but excluding the US
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.
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.
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)
Data Link Forthcoming
Data Link Forthcoming
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