Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - Institut für Schweizerisches Bankwesen <Zürich> - 2011
Demand is growing for a better understanding of how assets are priced in countries outside of the U.S.While financial data are available for many firms world-wide, it is important to have a reliable andreplicable method of constructing high-quality systematic risk factors from these data. This...