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March 2021 Data Release

Portfolio returns

  • 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)

Stock-level signals

  • 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.

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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