{"repo":"OpenSourceAP/CrossSection","free":true,"listed":false,"github":"https://github.com/OpenSourceAP/CrossSection","clone":"git clone https://github.com/OpenSourceAP/CrossSection.git","description":"Code to accompany our paper Chen and Zimmermann (2020), \"Open source cross-sectional asset pricing\"","language":"Python","stars":1031,"topics":["asset-pricing","finance","quantitative-finance","reproducible-research","stocks"],"license":"GPL-2.0","category":"trading","readme_excerpt":"Open source cross sectional asset pricing This repo accompanies our paper: Chen and Zimmermann (2021), \"Open source cross-sectional asset pricing\" If you use data or code based on our work, please cite the paper: @article{ChenZimmermann2021, title={Open Source Cross Sectional Asset Pricing}, author={Chen, Andrew Y. and Tom Zimmermann}, journal={Critical Finance Review}, year={2022}, pages={207-264}, volume={11}, number={2} } ---- Data If you are mostly interested in working with the data, we provide both stock-level signals (characteristics) and a bunch of different portfolio implementations for direct download at the dedicated data page. Please see the data page for answers to FAQs. However, this repo may still be useful for understanding the data. For example, if you want to know exactly how we construct BrandInvest (Belo, Lin, and Vitorino 2014), you can just open up BrandInvest.py in the repo's webpage for Signals/pyCode/Predictors/ ---- Code The code is separated into three folders: 1. Signals/pyCode/ Downloads data from WRDS and elsewhere, constructs stock-level signals in Python, and outputs to Signals/pyData/ . 2. Portfolios/Code/ Takes in signals and outputs portfolios to Portfolios/Data/ . Entirely in R. 3. Shipping/Code/ Used to prepare data for sharing. We separate the code so you can choose which parts you want to run. If you only want to create signals, you can run the files in Signals/pyCode/ and then do your thing. If you just want to create portfolios, you ca","default_branch":null,"files":null,"tree":[],"storefront":"/r/OpenSourceAP","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/OpenSourceAP/CrossSection/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}