Data Library
Global Factor Premia [as shown on globalfactorpremia.org]
This section contains the factor returns for an international sample starting from 07/1990 to 12/2021 at the country, region, and global (ex-US) level. The methodology is described in:
Hanauer, M.X., and Windmueller, S., 2021, Enhanced Momentum Strategies.
Hanauer, M.X., 2020, A Comparison of Global Factor Models.
When using the data please quote accordingly.
Data download: Global Factor Premia
Data International Implied Cost of Capital [as shown on market-risk-premia.com]
This section contains the value-weighted implied firm and sector-specific cost of capital and implied market risk premium for a worldwide sample of countries starting from 10/1999 (03/2016 for sector-specific data). The methodology is described in:
Tobias Berg, Robert Heigermoser, Christoph Kaserer, Daniel Kittlaus, Timo Willershausen: Schätzung erwarteter Marktrisikoprämien mittels impliziter Kapitalkosten. Corporate Finance 8 (7-8), 2017, 158-165.
When using the data please quote accordingly. Moreover, a brief description of the methodology can be found here.
Data German Risk Factors [updated to 1/2016]
This section contains the updated risk factor data from the article
Hanauer, M. X. / Kaserer, C. / Rapp M. S. (2013), "Risikofaktoren und Multifaktormodelle für den deutschen Aktienmarkt", Betriebswirtschaftliche Forschung & Praxis, 65 (5), S. 469-492.
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Terms and conditions
The data is available free of charge subject to the condition that the origin of the data is acknowledged by a reference to the above-mentioned relevant article. Moreover, the data can only be used for non-commercial purposes. I exempt the Department of Financial Management and Capital Markets (FM) as well as the authors of the above-mentioned articles from any liability for the accuracy of the provided data.