search

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
716 stars 215 forks source link

t-stat results data #40

Closed firmai closed 3 years ago

firmai commented 3 years ago

Is there perhaps a dataset where I can pick up the t-stats with minimal effort, to reconstruct the plots as you have in your paper. Thanks in advance.

tomz23 commented 3 years ago

We output a PredictorSummary.xlsx file you can find on GDrive. That file should have all the info that you need. The file is created in https://github.com/OpenSourceAP/CrossSection/blob/master/Portfolios/Code/20_PredictorPorts.R

firmai commented 3 years ago

Excellent thanks.