Using new data on returns and risk factors the paper considers the stock performance on the Japanese market, which is the second largest in the world and operates under unique macroeconomic conditions. We find that the CAPM model is not an adequate approach for the Japanese market. The Carhart...

Using data on 65,000 stocks from 23 countries, the authors re-evaluate the performance of the Fama-French (2015) factors in global markets. The results provide convincing evidence that the value, profitability, and investment factors are far less reliable than commonly thought. Their performance...

The Databank of the Centre for Economic and Regional Studies has established Admin3, the third round of the Panel of Administrative Data. The data source contains administrative data of the National Health Insurance Fund Administration, the Hungarian State Treasury, the National Tax and Customs...

We propose a bottom-up approach to deriving high quality international equity data from very granular Thomson Datastream (TDS) data. Our approach increases stock and country coverage, improves accuracy, filters errors and reduces staleness and survivorship bias. We validate our approach by...

By applying SEMIFAR models (Beran, 1999), we examine 'long memory' in the volatility of worldwide stock market indices. Our analysis yields strong evidence of 'long memory' in stock market volatility, either in terms of stochastic long-range dependence or in form of deterministic trends. In some...

We propose to treat survey-based density expectations as compositional data when testing either for heterogeneity in density forecasts across different groups of agents or for changes over time. Monte Carlo simulations show that the proposed test has more power relative to both a bootstrap...