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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Fama-French 1992 style signal lags #80

Open chenandrewy opened 2 years ago

chenandrewy commented 2 years ago

Our data simply lags 6 months from datadate instead of the annually-in-June lagged updating in FF1992. Maio Ben Zhang suggested that we add this alternative lag.