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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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Missing Size characteristic? #14

Closed shokru closed 3 years ago

shokru commented 4 years ago

Thank you for this amazing resource. In the Appendix, it is mentioned that the Size factor (from Banz 1981) is available (it is undoubtedly an important one). However, I fail to find it under its name (Size) in both the base and additional files. Has the column name changed? Many thanks!

OpenSourceAP commented 4 years ago

Size is an untransformed CRSP variable. Therefore, we can't share it. We should add a note to the documentation somewhere.

OpenSourceAP commented 3 years ago

Addressed in updated data documentation