Overview
The table below summarizes our main datasets. It shows strategy returns for 212 trading strategies over different periods and for various alternative specifications beyond the original papers. You can download the table here.
This release fixes a lookahead bias bug in AnnouncementReturn (for details see https://github.com/OpenSourceAP/CrossSection/issues/158). All other predictors’ data is the same as in the August 2024 release. As such, these notes compare to the August 2023 release.
Note that most of the current data run through December 2023. Predictors based on option data currently only run through December 2022 (and are taken from last year’s release) due to revisions to the underlying data. See the Github issue.
Documentation
- The current data release is version 1.4.1 (created with the latest code release)
- Note: Most signals have not changed in-sample relative to the previous version. There are moderate changes in the monthly series of about 5 signals that had updates. See release notes for details.
- Detailed info on the underlying papers and our implementations: Signal Documentation
- Includes acronyms, original paper (OP) references, and hand-collected results from the OPs
- Data release notes to help to get an overview of what is available
Featured Portfolio Return Datasets
- Monthly portfolio returns
- Monthly long-short returns of 212 predictors following OPs (wide csv)
- 212 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 212 predictor portfolio sort csvs in a single file (still following OPs)
- Daily portfolio returns
Featured Stock-level Signal Datasets
- 209 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
Previous data releases
See here for previous versions of our datasets (but you likely want to use the most recent one for your work)