Readme file (data)

Risk-Return Trade-off in International Stock Returns: Skewness and Business Cycles

Econometrics and Statistics, forthcoming

by Henri Nyberg and Christos Savva (corresponding author)

26.9.2022

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Throughout this study, we use monthly data on eight countries (U.S., Canada, U.K., Germany, France, Italy, 
Australia and Japan), downloaded from Global Financial Data and for the period from January 1960 to December 2020.

The codes from the data source (Global Financial Data - https://globalfinancialdata.com/) are as follows: 

3- month treasury bills – ITXX3D, 
10-year government bonds – IFXX10D, 
Stock returns – GFPRXXSTD. 

Here XX represents country's identity, where AUS stands for Australia, CAN for Canada, DEU for Germany, 
FRA for France, GBR for the UK, ITA for Italy and, USA for the USA.


Business cycle turning points (turning point chronologies):

- Economic Cycle Research Institute (ECRI): 
https://www.businesscycle.com/ecri-business-cycles/international-business-cycle-dates-chronologies

- National Bureau of Economic Research (NBER), concerning the U.S. business cycle turning points:
https://www.nber.org/research/business-cycle-dating