knolog / crosssectiondemos

Example code of simple things one can do with our open-source asset pricing data

CrossSectionDemos

Example code of simple things one can do with Open Source Asset Pricing data, created with our open source code.

Each file is an independent script that automatically downloads data from the internet. You just need the googledrive R package and a Google Drive account.

List of Scripts

Scripts are listed from lightest / fastest (top) to heaviest / slowest (bottom).

File	Description
plot_anomaly.R	Downloads selected long-short returns and plots along with sample and publication dates
openap_vs_frenchweb.R	Downloads BM and BMdec portfolios and compares to Ken French's data
daily_covid_demo.R	Downloads daily returns (all signals) and plots performance in March 2020
FF1993_style_implementation.R	Downloads selected characteristic, constructs Fama-French 1993 style factor (building on 2x3 sort with Size), compares with Ken French's HML
dl_signal_add_crsp.R	Creates the data you need for machine learning stuff. Downloads all downloadable predictor characteristics (1.5 gigs zipped), downloads CRSP signals from WRDS, merges, and saves to disk (5.6 gig csv).

Details

• Assumes working directory is the same folder the file is in.
• Creates folder temp/ in working directory and puts output and intermediate files there