Feng-CityUHK / EquityCharacteristicsSAS
US equity (portfolio) characteristics, the main file is in SAS.
☆20Updated last year
Alternatives and similar repositories for EquityCharacteristicsSAS
Users that are interested in EquityCharacteristicsSAS are comparing it to the libraries listed below
Sorting:
- ☆23Updated 7 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- ☆14Updated 4 years ago
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- ☆9Updated 5 years ago
- Imputing missing stock anomalies data with EM implementation☆12Updated last year
- Replication of momentum strategy☆18Updated 2 years ago
- Calculate U.S. equity (portfolio) characteristics☆87Updated 9 months ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆31Updated 2 years ago
- PhD 403: Empirical Asset Pricing☆27Updated 6 years ago
- Fama French Industry Classification☆13Updated 6 years ago
- Example code of simple things one can do with our open-source asset pricing data☆51Updated 8 months ago
- MD&A sections from 10-Ks; 2002-2018☆34Updated 5 months ago
- Sample SAS programs that process WRDS data and facilitate econometric analysis☆16Updated 3 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆50Updated 6 months ago
- Resources for a PhD class module focused on anomalies.☆16Updated 11 months ago
- ☆27Updated last year
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆25Updated last year
- Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV☆18Updated 10 months ago
- This repository will be used to organize all the codes and notes written on the Empirical asset pricing course given at the school of eco…☆11Updated 2 years ago
- ☆71Updated 2 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Empirical Data and Some Simulation Codes☆101Updated 5 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- Example code to create firm level risk in Hassan et al. (2020)☆52Updated 2 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 11 months ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Financial research data services for academics.☆90Updated 3 months ago
- A repository for machine learning based investment strategies☆28Updated 5 years ago
- This guide aims to be a full instruction on how to download and merge Refinitiv (formerly Thomson Reuters) Datastream Worldscope data int…☆12Updated 4 years ago