Data and code used in Philip Gray and Thanh D. Huynh, 2020. "Treasury rates no longer predict returns: A reappraisal of Breen, Glosten and Jagannathan (1989)". Critical Finance Review  10: 429--444 

Fama-French 5 Factors in the Australian equity market. Details on data construction can be found in the paper:  

Huynh, T. D., 2018. Explaining anomalies in Australia with a five-factor asset pricing model. International Review of Finance. 18(1): 123-135 

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Delisting returns on all stocks de-listed from the Australian Securities Exchange

• • I constructed a dataset of delisting returns, which helps make the Australian SPPR database more comparable to the standard of the U.S. data. If you would like to have the data (with SPPR permanent firm identifiers), please email me. Please also indicate whether you have legal access to the SPPR database.