Assembling International Equity Datasets – Review of Studies on the Cross-Section of Common Stocks

This paper reviews the data sources used in the research on the cross-section of international stock returns. Covering the wide range of internationally focused papers I give an overview of the applied data, sample coverage, classification schemes and data cleaning methods. I address the quality concerns in case of the non-U.S. data and methodologically relevant specifics of international data analysis providing references to available solutions. In regards to data cleaning I give an overview of applied screens, pointing out their diversity across studies. On that way I offer a structured insight into challenges and specifics of rapidly increasing amount of papers discussing the cross-section of common stocks in both single-country and multiple country frameworks.