Open Source Cross-Sectional Asset Pricing
We provide data and code that successfully reproduces nearly all cross-sectional stock return predictors. Our 319 characteristics draw from previous meta-studies, but we differ by comparing our t-stats to the original papers' results. For the 161 characteristics that were clearly significant in...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
Now Publishers Inc
2022
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Subjects: | |
Online Access: | View Fulltext in Publisher |