Resources

Useful materials for my thesis students

Anomalies data

Global factor data from Jensen, Kelly, and Pedersen: JKPfactors 

Open Source Asset Pricing from Chen and Zimmermann includes replications of many other factors: OpenAP

Other factors and portfolios:

• Market, size, value, profitability, investment, and momentum: Kenneth R. French

• Five factors with hedged portfolios: Kent D. Daniel

• Liquidity, mispricing, and 10 anomaly factors: Robert F. Stambaugh

• Intermediary capital risk factors: Asaf Manela

• q-factors: Global-q.org

• Betting against beta, HML devil, quality, and time series momentum: AQR Data Sets

• Currency portfolios: Hanno Lustig 

Institutional ownership

Workshop on Demand system for asset pricing: Koijen and Yogo 

Parsing 13F filings directly from EDGAR: https://elsaifym.github.io/EDGAR-Parsing/

Macroeconomic data

Jordà-Schularick-Taylor Macrohistory Database: Link 

Uncertainty indexes and cay data: Sydney Ludvigson 

Useful data sets from Aswath Damodaran  

Useful data sets from Will Rinehart 

Useful tips for R and Stata

Replicating the Fama-French five factors: Wayne Chang

Converting different date types to Stata format: Link
(I go back to this link often when merging institutional holdings and stock characteristics)