Links to Code & Data
Replications and codes
- Wayne Changs Website: Lots of nice R-code for Standard Errors (OLS, White, Clustered, Fama-MacBeth, Newey-West, FE, GLS and bootstrap) as well as replication code for the Fama-French Factors (do work reasonably well, but not exactly the same)
- Kai Chen: Mainly Python, Stata and SAS-Code
- Christoph Jäckel’s replication-Blog
- Mikhail Simutin’s Homepage: SAS Code to replicate the key results from Doshi, H., Elkamhi, R., & Simutin, M. (2015): Managerial Activeness and Mutual Fund Performance, Review of Asset Pricing Studies, 5 (2), 156-184.
- Byoung-Hyoun Hwang’s Website: A lot of SAS/Stata-Code to for replication of papers.
- Quant-Blogs (some with trading code and others with paper discussions):
- Ivo Welch’s Webpage: Annual Goyal-Welch Factors
- Amit Goyal’s Webpage: Monthly Goyal-Welch-Factors (replication code available here)
- Dave Rapach’s Website: Data & Matlab programs (e.g. for Short interest data, technical indicators, and many more programs and files)
- Sydney Ludvigson’s Webpage: Lots of Data (e.g. CAY, Real, Macro and Financial Uncertainty)
- Lubos Pastor’s Webpage: Liquidity Risk factor (until Dec 2014)
- Jeffrey Wurgler’s Webpage: Investor Sentiment (1965-2014)
- Hao Zhou’s Website: Economic Uncertainty and Variance Risk premium (until Dec 2016)
- Robert Shiller’s Online Data Repository
- Harvard Dataverse: large collection of replication data and codes, e.g. the Low-Risk anomaly and matching (CRSP data etc)
- Journal of Financial Economics Data Repository (e.g.: Giglio, Kelly & Pruitt, 2016 or Bali, 2017)
- Andrea Frazzini’s Webpage: e.g. BAB (D/M), QMJ (D/M), HML Devil (D/M), Global Market, SMB, HML and MOM factors (D/M)
- Lasse Pedersen’s Webpage: e.g. Time Series Momentum
- Jeremiah Green’s Website: SAS file for code to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS for their RFS Paper
Best R environment for programming with large financial Datasets: The TIDYVERSE
Other scientific/academic R code and applications
- Justin E. Esarey’s website: PhD-level courses on Bayesian Statistics and Nonparametric Models and Machine Learning including R-scripts, videos of the lectures and lecture notes!