This data release is associated with the code release v1.1.0
Portfolio returns
- Monthly portfolio returns
- Monthly long-short returns of 205 predictors following OPs (wide csv)
- 205 csvs, each has returns for a portfolio sort using a different predictor following OPs (Gdrive folder)
- Use this link to get, say, 5 long portfolios based on B/M (BM.csv) or the long- and short portfolios based on dividend seasonality (DivSeason.csv)
- All 205 predictor portfolio sort csvs in a single file (still following OPs)
- Daily portfolio returns
Stock-level signals
- 202 predictive firm-level characteristics in wide format, signed so future mean returns increase in characteristics (1.6 GB zipped csv)
- Omits Price, Size, and STreversal, which can be downloaded from CRSP
- Code to automate the download available here
- All Data (Google Drive File Explorer)
- Data release notes to help to get an overview of what is available
Fixes relative to March 2021 version
- Fixed missing FirmAge signal. Signal was missing in a couple of the data files.
- Made daily portfolios ready for sharing. There was code before, but it wasn’t ready to share.
- Many usability issues resolved: removed unnecessary iclink.csv checks, sort data before posting, font download, package downloads, smaller daily crsp downloads for reliability, default view of SignalDocumentation
- Fixed a few rebalancing frequencies and detailed descriptions in SignalDocumentation.xlsx