The provided dataset lacks the RET column

ZhuZhouFan / CQVAE

This resposity is a pre-released verison of Python code used in the paper "Asset pricing via the conditional quantile variational autoencoder".

11 stars 3 forks source link

The provided dataset lacks the RET column #1

Open xiaotantanwo opened 4 months ago

xiaotantanwo commented 4 months ago

Downloading the dataset provided in the readme file, an error occurred during data preprocessing indicating the absence of the RET column in the dataset. How should this be resolved?

ZhuZhouFan commented 3 months ago

Sorry for the late response. This error occurs by some unexpected situation. The dataset provided by Prof. Xiu is somehow updated. If possible, you may find another data source to obtain the excess ret.

chulhongsung commented 1 month ago

@xiaotantanwo You can download monthly returns (CRSP) at WRDS webpage. This is a permno code list for experiments in this paper permno.txt. You can upload this txt file at WRDS to download stocks corresponding to the permno code.