This data release is associated with the code release v1.2.0. You can explore all available data via Google Drive File Explorer. You can find direct links to some featured datasets below.
Featured Portfolio Return Datasets
- Monthly portfolio returns
- Monthly long-short returns of 207 predictors following OPs (wide csv)
- 207 csvs, each has returns for a portfolio sort using a different predictor following OPs (Gdrive folder)
- Use this link to get, say, 5 long portfolios based on B/M (BM.csv) or the long- and short portfolios based on dividend seasonality (DivSeason.csv)
- All 207 predictor portfolio sort csvs in a single file (still following OPs)
- Daily portfolio returns
Featured Stock-level Signal Datasets
- 204 predictive firm-level characteristics in wide format, signed so future mean returns increase in characteristics (1.6 GB zipped csv)
- Omits Price, Size, and STreversal, which can be downloaded from CRSP
- Code to automate the download available here
Updates relative to April 2021 version
- Two new predictors: TrendFactor from Han, Zhou and Zhu (2016) and Recomm_ShortInterest from Drake, Rees and Swanson (2011)
- Fixes to a number of signals (Coskewnewss, CoskewACX, Accruals, rdq) and to the calculation of delisting returns
- SignalDocumentation.xlsx is replaced with SignalDoc.csv
- Fama-French 1993 style 2×3 implementations for all signals
- See data release notes for a full list of changes