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April 2021 Data Release

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
    • Daily portfolio returns (Gdrive folder)

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

Data downloads

To download data, head to the Data tab, left click to open in a new tab (Google Drive links, may need to click the download button)

Authors

Andrew Y. Chen
Tom Zimmermann

News

2022-03-30: Data update (March 2022) including

  • Portfolios updated to end of 2021
  • Two additional signals
  • 2×3 Fama-French factor style portfolios
  • Head to the data page and our repo for details

 

2021-04-22: 04/2021 data release, Code v1.1.0

  • Added daily portfolio returns
  • Additional portfolio implementations
  • Added methods for accessing data
  • Minor bug fixes

 

2021-03-19: March 2021 data release, Code v1.0.0

  • Improved / Fixed signals: EarningsStreak, DivSeason, UpRecomm, DownRecomm, and more!
  • New Signals: CoskewACX, AnalystRevision, FEPS, OrderBacklogChg
  • Removed a couple redundant signals
  • Major modularization update: code entirely rewritten
    • Each signal is constructed in its own file
    • Each signal has its own csv
  • Error handling, improved logging
The views expressed herein are those of the authors and do not necessarily reflect the position of the Board of Governors of the Federal Reserve or the Federal ReserveSystem.
This project has received support from the Deutsche Forschungsgemeinschaft (DFG) under Germany’s Excellence Strategy EXC2126/139083886.
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