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...

We study the link between the profitability of momentum strategies and firm size, drawing on an extensive dataset covering 14 stock markets across the globe. International momentum profitability is markedly higher in medium-size than in big stocks. Momentum premia are considerably diminished by...

Using a sample of S&P 500 firms between 2013 and 2017, we study the impact of ESG rating disagreement on stock returns. We conjecture that for disagreement about environmental ratings, a risk-based explanation induces a positive relationship between rating disagreement and stock returns. In...