- Monthly long-short returns of 205 predictors following original papers
- 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)
- 201 predictive firm-level characteristics in wide format, signed so future mean returns increase in characteristics (1.7 GB zipped csv)
- (missing CRSP predictors and also FirmAge, please do not use)
- All Data (Google Drive File Explorer)
Fixes relative to July 2020 version
- New signals, signals are renamed to be more intuitive.
- Many improved signals, including EarningsStreak, DivSeason, UpRecomm, MomSeason, Coskewness.
- New signals are CoskewACX, AnalystRevision, FEPS, OrderBacklogChg
- Also removed a couple redundant signals.
- Test asset returns (e.g. 5 long portfolios build on B/M) is now checked for reliability.
- For more details see data release notes.