A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from Thomson Reuters Datastream and Thomson Reuters Worldscope can be used to construct high-quality systematic risk factors. We provide common risk factors for 23 countries across the globe. To demonstrate the use of this dataset, we present evidence of an “extreme” size premium in a large number of countries. These premia, however, are often not realizable or at least significantly eroded due to transaction costs.

中文翻译：

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国际股市常见风险因素

国际资产定价和公司融资研究的一个主要障碍是缺乏关于国际共同风险因素和投资组合的可靠和公开可用的数据。为了弥补这一差距，我们逐步描述了如何使用来自 Thomson Reuters Datastream 和 Thomson Reuters Worldscope 的适当筛选数据来构建高质量的系统风险因素。我们为全球 23 个国家/地区提供常见的风险因素。为了演示该数据集的使用，我们提供了大量国家“极端”规模溢价的证据。然而，由于交易成本，这些溢价通常无法实现或至少被显着侵蚀。