All datasets are open source. See Working Papers and Publications pages for more info and more data
212 Published Cross-Sectional Stock Return Predictors (dedicated data webpage)
Or just `pip install openassetpricing` to download via the openassetpricing Python package (by Peng Li)
Data patched October 2024: fixed look-ahead bias in AnnouncementReturn
Turns out the revisions are modest. For further details see https://github.com/OpenSourceAP/CrossSection/issues/158.
Many thanks to Ming Zheng of University of Gothenburg for catching this bug
From Open Source Cross-Sectional Asset Pricing (with Tom Zimmermann)
29,000 Data-Mined Accounting Signals' Returns (google drive folder)
From Does Peer-Reviewed Research Help Predict Stock Returns? (with Alejandro Lopez-Lira and Tom Zimmermann)
80,000 Long-Short Strategies Based on Past Returns and Ticker Symbols (dropbox folder)
From High-Throughput Asset Pricing (with Chukwuma Dim)