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)
18,000 Long-Short Portfolios Based on Accounting Ratios (SAS dataset download from dropbox)
From Yan and Zheng (2017, RFS)
Special thanks to Sterling Yan and Lingling Zheng for sharing their data
Used in Most claimed statistical findings in cross-sectional return predictability are likely true