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OpenSourceAP / 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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signaldoc.csv DivYieldST sweight is NA #134

Closed chenandrewy closed 1 month ago

chenandrewy commented 11 months ago

all the other predictors are non NA

tomz23 commented 1 month ago

Section III states that their return regressions use value-weighted portfolios. Updated in https://github.com/OpenSourceAP/CrossSection/commit/0af9fee61b55f704f163d434d8b43059c63d888b

tomz23 commented 1 month ago

I assigned sweight = VW based on the wrong paper (Litzenberger and Ramaswamy, 1982, JF). The 1979 paper is not super explicit about stock weights but from the description around equation (55) and Table 1, it sounds like they use equal-weighting. The correct paper is here: https://doi.org/10.1016/0304-405X(79)90012-6

And sweight is fixed here: https://github.com/OpenSourceAP/CrossSection/commit/f9b4823224f19d30ba6fa2e8c52e6cfefe88a778