Assistant Professor in Finance

Vrije Universiteit Amsterdam

TeodoR      Dyakov 

Contact details:

 

School of Economics and Business

VU University Amsterdam

De Boelelaan 1105

Office 7A70

1081 HV Amsterdam, The Netherlandsands

 

office: +31 20 59 82197

email: t.dyakov@vu.nl

Characteristics-adjusted (DGTW) returns for international stocks

 

In "Institutional Ownership and Future Stock Returns: An International Perspective" and "Trade Less and Exit Overcrowded Markets: Lessons from International Mutual Funds", we develop a methodology for constructing characteristics-adjusted (DGTW) returns for international stocks. You can read about the methodology in the Appendices of the two papers (see here and here). Please send me an email if you would like to obtain the data.