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OpenSourceAP
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CrossSection
Code to accompany our paper Chen and Zimmermann (2020), "Open source cross-sectional asset pricing"
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3604626
GNU General Public License v2.0
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Oscore.csv data error
#157
dcgemp
opened
1 week ago
0
OptionMetrics has major data revisions 2024 08 relative to 2023 08
#156
chenandrewy
opened
3 weeks ago
2
Check cfacshr and cfacpr in 13F predictors (DelBreadth, IO_ShortInterest, Activism1, Activism2)
#155
chenandrewy
opened
1 month ago
0
Cfacshr issues
#154
tomz23
closed
1 month ago
0
Cfacpr issues
#153
tomz23
closed
1 month ago
0
Look ahead bias and proper usage of cfacshr
#152
chenandrewy
closed
1 month ago
5
2024 Update DataDownload Errors
#151
chenandrewy
closed
1 month ago
3
Use CRSP-IBES linkfile directly
#150
tomz23
opened
1 month ago
0
Signal fixes
#149
tomz23
closed
1 month ago
0
Required Stata packages in settings.do
#148
tomz23
opened
1 month ago
0
Documentation fixes
#147
tomz23
closed
1 month ago
0
Cannot verify t-stat and original table in DivYieldST
#146
tomz23
closed
1 month ago
3
Low coverage ForecastDispersion in January/December
#145
assetpricer
closed
1 month ago
4
Create R / Python packages for auto-downloading
#144
chenandrewy
opened
2 months ago
0
Incorrectly fill NA ret with 0
#143
yandi-zhu
closed
4 months ago
0
Typo for AgeIPO in SignalDoc
#142
chenandrewy
closed
1 month ago
1
Adjustment of Book Value of Equity when we make FailureProbability
#141
SeongDeokKo
closed
1 month ago
2
Improved economic categories for predictors
#140
chenandrewy
opened
9 months ago
0
dCPVolSpread has the wrong sign in SignalDoc.csv
#139
chenandrewy
closed
1 month ago
1
Update SignalDoc.csv
#138
alejandroll10
closed
1 month ago
0
betaVIX data ends in 2021
#137
mk0417
closed
1 month ago
3
FirmAgeMom missing values and weird code
#136
chenandrewy
closed
1 month ago
2
mom6mjunk data ends in 2017
#135
chenandrewy
closed
1 month ago
7
signaldoc.csv DivYieldST sweight is NA
#134
chenandrewy
closed
3 weeks ago
2
Relocating shrcd and exchcd filters from SignalMasterTable.do to SignalDoc.csv
#133
chenandrewy
opened
1 year ago
2
zerotrade
#132
mk0417
closed
1 month ago
1
Fixing download flags
#131
chenandrewy
closed
1 year ago
0
Fixing various issues
#130
tomz23
closed
1 year ago
0
Patches to NetDebt, NetEquity, XIN and KZ
#129
tomz23
closed
1 year ago
0
Fixing download flags
#128
AlecErb
closed
1 year ago
0
Patches 2023 lw
#127
lena-will
closed
1 year ago
1
Recognizing Dennis Stattman (1980) for B/M
#126
chenandrewy
closed
1 year ago
10
Adding 3 predictors from An, Ang, Bali, Cakici 2014
#125
chenandrewy
closed
1 year ago
1
Reorg OptionM around Datasets
#124
chenandrewy
closed
1 year ago
0
Reorg OptionMetricsProcessing.R around datasets
#123
chenandrewy
closed
1 year ago
1
ZI_PatentCitations.do RC 601
#122
AlecErb
closed
1 year ago
1
Fixing gaps in various predictors
#121
chenandrewy
closed
1 year ago
0
MRreversal.do and Mom18m13m.do
#120
mk0417
closed
1 year ago
3
DivYieldST has gaps
#119
chenandrewy
closed
1 year ago
1
iomom_supp has gaps
#118
chenandrewy
closed
1 year ago
3
ChNAnalyst has gaps
#117
chenandrewy
closed
1 year ago
1
Signaldoc patches (try2)
#116
chenandrewy
closed
1 year ago
0
Suggestion to substitute Hvidkjaer data for Duarte et al data in ZB_PIN.do
#115
AlecErb
closed
1 year ago
1
Option Metrics, Bali Hovakimian (2009), and Realized Volatility
#114
AlecErb
closed
1 year ago
0
Patches 2023
#113
AlecErb
closed
1 year ago
0
SignalDoc improvement
#112
mk0417
closed
1 year ago
3
illiquidity construction
#111
mk0417
closed
1 year ago
2
IdioRisk / IdioVolCAPM / IdioVol3F confusion and bugs
#110
chenandrewy
closed
1 year ago
2
change momentum sample start date.
#109
lena-will
closed
1 year ago
2
Change Cat.Data to Accounting for EarningsSurprise.
#108
lena-will
closed
1 year ago
0
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