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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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DataDownloads/ZJR_InputOutputMomentum.R xlsx filenames
#58
chenandrewy
closed
2 years ago
1
RSCRIPT_PATH
#57
agilderubio
closed
2 years ago
1
masterSAS.sas
#56
agilderubio
closed
2 years ago
1
VOLUME in Corwin_Schultz_Edit.sas
#55
xiaoqyaoyao
closed
2 years ago
2
Close Price in OptionMetricsProcessing.R
#54
xiaoqyaoyao
closed
2 years ago
2
Faster and easier HF trading costs
#53
chenandrewy
closed
2 years ago
1
Better deal with lags in ShareVol.do
#52
tomz23
closed
2 years ago
1
Check details of Accruals and AnnouncementReturn
#51
chenandrewy
closed
2 years ago
2
Compustat quarterly data
#50
mk0417
closed
2 years ago
12
Delisting return adjustment
#49
mk0417
closed
2 years ago
8
Random order issue
#48
mk0417
closed
3 years ago
2
change tstk to tstkp
#47
mk0417
closed
3 years ago
0
tstk not found in B_CompustatAnnual.do
#46
yizhou-finance
closed
3 years ago
2
*_temp* variables not found
#45
mrweijianli
closed
2 years ago
3
I am witnessing a range of empty values (daily data)
#44
firmai
closed
3 years ago
5
Daily Returns Statistics
#43
firmai
closed
3 years ago
3
Various Portfolios Quantiles (3,5,10)
#42
firmai
closed
3 years ago
4
Daily Portfolios
#41
firmai
closed
3 years ago
1
t-stat results data
#40
firmai
closed
3 years ago
2
Python
#39
firmai
closed
2 years ago
5
example task 2
#38
chenandrewy
closed
3 years ago
0
example task 1
#37
chenandrewy
closed
3 years ago
0
Patches
#36
OpenSourceAP
closed
3 years ago
0
Add .gitignore instructions to avoid git crashing
#35
chenandrewy
closed
3 years ago
1
Daily CRSP download in 10_DownloadCRSP.R freezes on Andrew's home PC. We should make it download in smaller pieces.
#34
chenandrewy
closed
3 years ago
1
Rerun all portfolios to take on updated rebalancing freq
#33
chenandrewy
closed
3 years ago
1
clean up iclink checks. The user shouldn't need iclink
#32
chenandrewy
closed
3 years ago
1
Add ez sample code for comparison with FF and add this code to data website
#31
chenandrewy
closed
3 years ago
1
Check BMdec: some stocks have updates every 6 months?
#30
chenandrewy
closed
3 years ago
1
Upload daily portfolios and vw port data
#29
chenandrewy
closed
3 years ago
0
Check Portfolio Period in SignalDocumentation.xlsx
#28
chenandrewy
closed
3 years ago
1
Make signaldocumentation definitions match code better (e.g. BidAskSpread does not match)
#27
chenandrewy
closed
3 years ago
0
Fix "font family not found in Windows font database" in, for example, 31_CheckPredictorsExhibits.R
#26
chenandrewy
closed
3 years ago
2
Organize daily portfolios code (add VW, make sure it's complete, add some checks)
#25
chenandrewy
closed
3 years ago
1
Add check for complete signals data at the beginning of master.R
#24
chenandrewy
closed
3 years ago
1
Organize value-weighted test assets code
#23
chenandrewy
closed
3 years ago
0
Fix Rstudio crashing on 10_DownloadCRSP.R. Could be a memory mgmt issue
#22
chenandrewy
closed
3 years ago
2
Move 12_SignalExhibits.R to end of master.R
#21
chenandrewy
closed
3 years ago
1
Sort data before posting
#20
OpenSourceAP
closed
3 years ago
1
Clean up shipping code and add to repo
#19
chenandrewy
closed
3 years ago
1
Make note on predictors going out into the future
#18
chenandrewy
closed
3 years ago
0
Add R version and detailed R installation instructions to readme?
#17
OpenSourceAP
closed
3 years ago
2
Settle on working directory for Portfolios Code
#16
OpenSourceAP
closed
3 years ago
3
Major modularization update
#15
OpenSourceAP
closed
3 years ago
0
Missing Size characteristic?
#14
shokru
closed
3 years ago
2
Fama-French 48 industry - ffind
#13
mk0417
closed
3 years ago
3
Update documentation: 12_PrepareOtherData.do
#12
mk0417
closed
3 years ago
1
[11_PrepareLinkingTables.do] iclink.csv?
#11
matiarj
closed
4 years ago
1
CRSP-IBES link table
#10
mk0417
closed
3 years ago
2
WRDS_DL_IBES.sas
#9
mk0417
closed
3 years ago
3
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