CCRS-DBF Risk Factor Database
The data available on this website are compiled by researchers at the Center for Corporate Responsibility and Sustainability at the University of Zurich (CCRS) in cooperation with the Department of Banking and Finance of the University of Zurich (DBF) and the Center of Economic Research at ETH Zurich (CER-ETH). To construct this dataset we received support of the Zurich Cantonal Bank (ZKB), the Swiss National Science Foundation (SNSF) as well as the Commission for Technology and Innovation (CTI).
Peter S. Schmidt, Urs Von Arx, Andreas Schrimpf, Alexander F. Wagner and Andreas Ziegler: “On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications”, 2017.
The current version of this paper is available here.
Note that the data actually provided might be different to the data described in the paper as some improvements have been made to the methodology. However, the basic approach is the same. In case of doubt the descriptions provided in the description file online are valid.
Disclaimer: While we have taken considerable care in the preparation of the data and related materials, we can assume no responsibility or liability for any injury, loss or damage incurred as a result of any use or reliance upon the information and material downloaded from these pages.
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