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143    <span class="headline pure-menu-heading"><b>Global Factor Premia</b>:&nbsp;<a href="https://www.globalfactorpremia.org" style="color: inherit; text-decoration: inherit;">globalfactorpremia.org</a></span>
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164Background</h1>
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169                <ul>
170                    <li>The vast majority of empirical asset pricing studies solely rely on US data. <a
171                            href="https://academic.oup.com/rof/article-abstract/20/6/2049/2418145" target="_blank">Karolyi
172                        (2016, p.
173                        2049)</a> documents that only “16% (23%) of all empirical studies published in the top four
174                        (fourteen) Finance journals examine non-US markets, a fraction that is well below measures
175                        reflecting their economic importance.” Therefore, empirical research focused on non-U.S. studies
176                        is underrepresented. Prior research has also shown that empirical asset pricing models based on
177                        local factors outperform models based on global returns for explaining local returns (see, e.g.,
178                        <a href="https://academic.oup.com/rfs/article-abstract/15/3/783/1603702" target="_blank">Griffin,
179                            2002</a> and <a
180                                href="https://www.sciencedirect.com/science/article/abs/pii/S0304405X12000931"
181                                target="_blank">Fama and French, 2012</a>).
182                    </li>
183                    <br>
184                    <li>This project aims to promote and stimulate the use of international (local) factor returns. We provide monthly returns
185                    for twelve common factors for various international markets. Besides the market, RMRF, all factors are constructed based on
186                    2 x 3 sorts on size and the respective factor criteria and all returns are value-weighted. Our data set covers the global
187                    (ex-US) market (comprising 52 developed and emerging countries), global developed and emerging markets, developed and
188                    emerging market subregions, as well as 37 individual countries. The sample, region, and factor construction follow <a
189                                href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3437919" target="_blank">Hanauer
190                            and Windmueller (2021)</a> and <a
191                                href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3546295" target="_blank">Hanauer
192                            (2020)</a>. Please refer to these articles when you use the provided factors in your
193                        research.
194                    </li>
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