Data Sources and Universes
The data sources are the merged CRSP/Compustat for US simulations, merged Datastream/Worldscope for Global Developed and Emerging markets. The "risk free" rate is defined as the yield of 3-Month US Treasury Bills as published by the St. Louis Federal Reserve Bank.
Global developed market includes Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Luxembourg, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, United Kingdom, and United States.
Global emerging market includes Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Israel, Korea (South), Malaysia, Morocco, Mexico, Pakistan, Peru, Philippines, Poland, Russian Federation, South Africa, Thailand, Turkey, and Taiwan.