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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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lots of zeros in herf pre 1951
#107
chenandrewy
closed
1 year ago
1
Patches 2023
#106
AlecErb
closed
1 year ago
0
ffind.ado auto download
#105
AlecErb
closed
1 year ago
4
Merge pull request #1 from OpenSourceAP/patches-2023
#104
AlecErb
closed
1 year ago
0
Patches 2023
#103
AlecErb
closed
1 year ago
0
Earlier paper for SmileSlope (Yan 2011)
#102
chenandrewy
closed
1 year ago
1
Momentum sample start date
#101
chenandrewy
closed
1 year ago
1
Sin stocks
#100
tomz23
closed
1 year ago
1
update ZJR_InputOutputMomentum.R filenames
#99
chenandrewy
closed
1 year ago
1
Clearly define data categories and patch miscategorizations
#98
chenandrewy
closed
1 year ago
5
readme git setup link broken
#97
chenandrewy
closed
1 year ago
1
typo in doc for BetaTailRisk
#96
mk0417
closed
2 years ago
1
Look-ahead bias in cfacpr
#95
chenandrewy
closed
1 month ago
6
Rev6 has very few observations
#94
chenandrewy
closed
1 year ago
2
typo in doc for EarningsSurprise
#93
chenandrewy
closed
1 year ago
0
some more typos in KZ.do and KZ_q.do
#92
ju-kit
closed
1 year ago
3
CoskewACX has some gaps
#91
aneuhierl
closed
1 year ago
4
IBES-related missing values in 2022 revision?
#90
chenandrewy
closed
2 years ago
2
sample fields of input data from which characteristics generated
#89
oyquan
opened
2 years ago
0
Typos in Net-Debt-Finance, Net-Equity-Finance, Net-External-Finance
#88
chenandrewy
closed
1 year ago
2
clearly document timing of the data (not a code issue)
#87
chenandrewy
closed
1 year ago
4
ep.do negative ib filter
#86
chenandrewy
closed
1 year ago
5
firmage.do NYSE filter
#85
chenandrewy
closed
1 year ago
3
SignalDoc.csv's extra commas
#84
chenandrewy
closed
2 years ago
1
Better OptionMetrics - CRSP link
#83
chenandrewy
closed
1 year ago
1
end of date variable is 202306
#82
sehoff
opened
2 years ago
2
typo in signal file
#81
mk0417
closed
1 year ago
3
Fama-French 1992 style signal lags
#80
chenandrewy
opened
2 years ago
0
port field standardization
#79
chenandrewy
closed
2 years ago
0
Coskew rf dl
#78
chenandrewy
closed
2 years ago
0
SignalDocumention.xlsx => csv and documentation update
#77
chenandrewy
closed
2 years ago
0
patchesAC2 ready
#76
chenandrewy
closed
2 years ago
0
Enhancements and new signals
#75
tomz23
closed
2 years ago
0
Use of permno for stock identification is not open (as far as I can tell)
#74
colintbowers
closed
2 years ago
2
asrol library needs to be set up
#73
chenandrewy
closed
2 years ago
3
Downstream BidAskTAQ filenames
#72
chenandrewy
closed
2 years ago
1
Create 2x3 Fama-French-Factor style portfolios
#71
chenandrewy
closed
2 years ago
1
Patches tz
#70
tomz23
closed
2 years ago
1
Patches ac
#69
chenandrewy
closed
2 years ago
0
Issues with SignalDocumentation.xlsx
#68
chenandrewy
closed
2 years ago
5
Add Drake-Rees-Swanson 2011 (TAR) version of short interest
#67
chenandrewy
closed
2 years ago
6
Add Han, Zhou Zhu 2016 trend factor
#66
chenandrewy
closed
2 years ago
1
chen velikov taqms problems
#65
chenandrewy
closed
2 years ago
2
PrepScripts wrds load default libraries
#64
chenandrewy
closed
2 years ago
3
FF csv case doesn't work on linux
#63
chenandrewy
closed
2 years ago
3
ZB_PIN.do
#62
chenandrewy
closed
2 years ago
1
ZA_IPODates.do
#61
chenandrewy
closed
2 years ago
1
Y_SinStocks.do
#60
chenandrewy
closed
2 years ago
1
OptionMetrics.csv
#59
agilderubio
closed
2 years ago
2
DataDownloads/ZJR_InputOutputMomentum.R xlsx filenames
#58
chenandrewy
closed
2 years ago
1
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