Andrew Chen
@achenfinance.bsky.social
Financial economist at the Fed Board. Into asset pricing, publication bias, meta-science. http://openassetpricing.com. Views are my own.
In the above, you can see B/M returns are unrevised in the 2024 October release. But AnnouncementReturn has non-negligible revisions. Going to the CrossSection repo's releases shows precisely why github.com/OpenSourceAP...
Release AnnouncementReturn lookahead bias patch · OpenSourceAP/CrossSection
Addresses the lookahead bias in AnnouncementReturn from end-of-month announcements described here: #158
Used to generate the October 2024 release (technically, the code was run at the end of Septem...
github.com
January 29, 2025 at 4:52 PM
In the above, you can see B/M returns are unrevised in the 2024 October release. But AnnouncementReturn has non-negligible revisions. Going to the CrossSection repo's releases shows precisely why github.com/OpenSourceAP...
Worried about "Noisy Factors?" no need to worry any more. openassetpricing makes it easy to download any vintage of the dataset and compare:
January 29, 2025 at 4:52 PM
Worried about "Noisy Factors?" no need to worry any more. openassetpricing makes it easy to download any vintage of the dataset and compare:
This package is the excellent work of
Peng Li
(researchportal.bath.ac.uk/en/persons/p...). I just contributed the examples, with help of Patrick Dunn.
Of course, the Chen-Zimmermann dataset would not have been possible without Tom Zimmermann.
Peng Li
(researchportal.bath.ac.uk/en/persons/p...). I just contributed the examples, with help of Patrick Dunn.
Of course, the Chen-Zimmermann dataset would not have been possible without Tom Zimmermann.
Peng Li
researchportal.bath.ac.uk
January 29, 2025 at 4:52 PM
This package is the excellent work of
Peng Li
(researchportal.bath.ac.uk/en/persons/p...). I just contributed the examples, with help of Patrick Dunn.
Of course, the Chen-Zimmermann dataset would not have been possible without Tom Zimmermann.
Peng Li
(researchportal.bath.ac.uk/en/persons/p...). I just contributed the examples, with help of Patrick Dunn.
Of course, the Chen-Zimmermann dataset would not have been possible without Tom Zimmermann.
Link to repo: github.com/mk0417/open-.... And a quick tour of the data: github.com/mk0417/open-....
GitHub - mk0417/open-asset-pricing-download
Contribute to mk0417/open-asset-pricing-download development by creating an account on GitHub.
github.com
January 29, 2025 at 4:52 PM
Link to repo: github.com/mk0417/open-.... And a quick tour of the data: github.com/mk0417/open-....