Databases at Aalto Department of Finance

BIS statistics

Factors available from the web

AQR market and factor return data

Our website http://www.globalfactorpremia.org/  visualizes the monthly returns of twelve common return factors for various international markets over nearly 30 years. Our data set covers the global (ex-US) market (comprising 50 developed and emerging countries), the developed market subregions Europe and Asia Pacific (ex-Japan), emerging markets, as well as 37 individual countries.

 The motivation for this project is that the vast majority of empirical asset pricing studies solely rely on US data. Karolyi (2016, p. 2049) documents that only “16% (23%) of all empirical studies published in the top four (fourteen) Finance journals examine non-US markets, a fraction that is well below measures reflecting their economic importance.” Therefore, empirical research focused on non-U.S. studies is underrepresented. Prior research has also shown that empirical asset pricing models based on local factors outperform models based on global returns for explaining local returns (see, e.g., Griffin, 2002 and Fama and French, 2012). Therefore, domestic factors are necessary for country- (region-) specific research, and we provide these factors on https://www.professors.wi.tum.de/fm/research/data/ for download. 

Zephyr and Orbis remote access

To gain remote access for Orbis , simply click the link.

For Zephyr, click here for Zephyr remote access.

Morningstar Direct remote access

In case access to more Morningstar Direct data does not form a bottle neck, wait.

In other words, in case you can do other things now, concentrate on other things now.

In case access to Morningstar direct does form a bottle neck in your thesis, contact Nikolas Breitkopf (nikolas.breitkopf(at)aalto.fi).

Remote access can be arranged upon need.

Eikon and Datastream remote access (remember nowadays also SDC-Platinum  data should have been moved into Eikon)

In case access to Eikon and Datastream data does not form a bottle neck in your thesis, wait.

In other words, in case you can do other things now, concentrate on other things now.

In case access to Eikon/Datastream does form a bottle neck in your thesis, contact Nikolas Breitkopf (nikolas.breitkopf(at)aalto.fi).

Remote access can be arranged upon need. Here has been a bottle neck, but situation should be better now.

For Board Ex Snapshot please contact Nikolas Breitkopf (nikolas.breitkopf(at)aalto.fi).