| Popis: |
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, classi fication schemes and data cleaning methods. I address the quality concerns in case of the non-U.S. data and methodologically relevant specifi cs 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 off er a structured insight into challenges and specifi cs of rapidly increasing amount of papers discussing the cross-section of common stocks in both single-country and multiple-country frameworks. |
