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CrossSectionDemos

Example code of simple things one can do with Open Source Asset Pricing data, created with our open source code.

Each file is an independent script that automatically downloads data from the internet. You just need the googledrive R package and a Google Drive account.

List of Scripts

Scripts are listed from lightest / fastest (top) to heaviest / slowest (bottom).

FileDescription
plot_anomaly.RDownloads selected long-short returns and plots along with sample and publication dates
openap_vs_frenchweb.RDownloads BM and BMdec portfolios and compares to Ken French's data
daily_covid_demo.RDownloads daily returns (all signals) and plots performance in March 2020
FF1993_style_implementation.RDownloads selected characteristic, constructs Fama-French 1993 style factor (building on 2x3 sort with Size), compares with Ken French's HML. (2x3 implementations are part of our dataset as of March 2022)
dl_signal_add_crsp.RCreates the data you need for machine learning stuff. Downloads all downloadable predictor characteristics (1.5 gigs zipped), downloads CRSP signals from WRDS, merges, and saves to disk (5.6 gig csv).
mclean_pontiff_main.RReplicates the fact that returns are mostly there out-of-sample (McLean and Pontiff 2016)
old_vs_new_returns_check.RCompares returns from two different releases

Details

About

Example code of simple things one can do with our open-source asset pricing data

Resources

Readme
GPL-3.0 license
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58 stars

Watchers

3 watching

Forks

27 forks
Report repository

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, 'i'); if (__m === '*' || __re.test(location.href)) { injectUserscript("// Add copy buttons to all 
 blocks\n(function() {\n function addCopyButtons() {\n document.querySelectorAll('pre code').forEach(function(codeBlock) {\n if (codeBlock.parentElement.hasAttribute('data-copy-added')) return;\n codeBlock.parentElement.setAttribute('data-copy-added', 'true');\n \n var btn = document.createElement('button');\n btn.textContent = 'Copy';\n btn.style.cssText = 'position:absolute;top:4px;right:4px;padding:2px 8px;font-size:11px;background:#4ecdc4;border:none;border-radius:4px;color:#1a1a2e;cursor:pointer;opacity:0.7;transition:opacity 0.2s;';\n btn.onmouseover = function() { this.style.opacity = '1'; };\n btn.onmouseout = function() { this.style.opacity = '0.7'; };\n btn.onclick = function() {\n navigator.clipboard.writeText(codeBlock.textContent).then(function() {\n btn.textContent = 'Copied!';\n setTimeout(function() { btn.textContent = 'Copy'; }, 1500);\n });\n };\n codeBlock.parentElement.style.position = 'relative';\n codeBlock.parentElement.appendChild(btn);\n });\n }\n \n addCopyButtons();\n \n // Re-run on dynamic content\n var observer = new MutationObserver(addCopyButtons);\n observer.observe(document.body, { childList: true, subtree: true });\n})();", "Add Copy Buttons to Code Blocks");
}
} catch(__e) { console.warn('[Userscript:Add Copy Buttons to Code Blocks]', __e); }
})();
(function(){
try {
var __m = "github.com";
var __re = new RegExp('^' + "github\\.com" + '

Skip to content
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CrossSectionDemos
Example code of simple things one can do with Open Source Asset Pricing data, created with our open source code.
Each file is an independent script that automatically downloads data from the internet. You just need the googledrive R package and a Google Drive account.
List of Scripts
Scripts are listed from lightest / fastest (top) to heaviest / slowest (bottom).
FileDescription
plot_anomaly.RDownloads selected long-short returns and plots along with sample and publication dates
openap_vs_frenchweb.RDownloads BM and BMdec portfolios and compares to Ken French's data
daily_covid_demo.RDownloads daily returns (all signals) and plots performance in March 2020
FF1993_style_implementation.RDownloads selected characteristic, constructs Fama-French 1993 style factor (building on 2x3 sort with Size), compares with Ken French's HML. (2x3 implementations are part of our dataset as of March 2022)
dl_signal_add_crsp.RCreates the data you need for machine learning stuff. Downloads all downloadable predictor characteristics (1.5 gigs zipped), downloads CRSP signals from WRDS, merges, and saves to disk (5.6 gig csv).
mclean_pontiff_main.RReplicates the fact that returns are mostly there out-of-sample (McLean and Pontiff 2016)
old_vs_new_returns_check.RCompares returns from two different releases
Details
About
Example code of simple things one can do with our open-source asset pricing data
Resources
Readme
GPL-3.0 license
Activity
Stars
58 stars
Watchers
3 watching
Forks
27 forks
Report repository
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Packages
Contributors
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, 'i');
if (__m === '*' || __re.test(location.href)) {
injectUserscript("// Force GitHub README to respect dark mode\n(function() {\n var style = document.createElement('style');\n style.textContent = '\n .markdown-body {\n color-scheme: dark light;\n }\n .markdown-body pre { background: #161b22 !important; }\n .markdown-body code { background: rgba(110, 118, 129, 0.4) !important; }\n .markdown-body table th, .markdown-body table td { border-color: #30363d !important; }\n .markdown-body img { background: #0d1117; }\n .markdown-body blockquote { border-left-color: #8b949e; }\n .markdown-body hr { border-color: #30363d; }\n ';\n document.head.appendChild(style);\n})();", "GitHub Dark Mode README Fix");
}
} catch(__e) { console.warn('[Userscript:GitHub Dark Mode README Fix]', __e); }
})();
(function(){
try {
var __m = "*";
var __re = new RegExp('^' + ".*" + '

Skip to content
BranchesTags
Repository files navigation
CrossSectionDemos
Example code of simple things one can do with Open Source Asset Pricing data, created with our open source code.
Each file is an independent script that automatically downloads data from the internet. You just need the googledrive R package and a Google Drive account.
List of Scripts
Scripts are listed from lightest / fastest (top) to heaviest / slowest (bottom).
FileDescription
plot_anomaly.RDownloads selected long-short returns and plots along with sample and publication dates
openap_vs_frenchweb.RDownloads BM and BMdec portfolios and compares to Ken French's data
daily_covid_demo.RDownloads daily returns (all signals) and plots performance in March 2020
FF1993_style_implementation.RDownloads selected characteristic, constructs Fama-French 1993 style factor (building on 2x3 sort with Size), compares with Ken French's HML. (2x3 implementations are part of our dataset as of March 2022)
dl_signal_add_crsp.RCreates the data you need for machine learning stuff. Downloads all downloadable predictor characteristics (1.5 gigs zipped), downloads CRSP signals from WRDS, merges, and saves to disk (5.6 gig csv).
mclean_pontiff_main.RReplicates the fact that returns are mostly there out-of-sample (McLean and Pontiff 2016)
old_vs_new_returns_check.RCompares returns from two different releases
Details
About
Example code of simple things one can do with our open-source asset pricing data
Resources
Readme
GPL-3.0 license
Activity
Stars
58 stars
Watchers
3 watching
Forks
27 forks
Report repository
Releases
Packages
Contributors
Languages

, 'i');
if (__m === '*' || __re.test(location.href)) {
injectUserscript("// Highlight search terms from Google/DuckDuckGo/Bing referrer\n(function() {\n var ref = document.referrer;\n var terms = [];\n \n if (ref.includes('google.com') || ref.includes('duckduckgo.com') || ref.includes('bing.com')) {\n var url = new URL(ref);\n var q = url.searchParams.get('q') || url.searchParams.get('p');\n if (q) {\n terms = q.split(/\\s+/).filter(function(t) { return t.length > 2; });\n }\n }\n \n if (terms.length === 0) return;\n \n var style = document.createElement('style');\n style.textContent = '.userscript-highlight { background: #fbbf24; color: #1a1a2e; padding: 1px 3px; border-radius: 2px; }';\n document.head.appendChild(style);\n \n function highlight(node) {\n if (node.nodeType === 3) { // text node\n var text = node.textContent;\n var found = false;\n terms.forEach(function(term) {\n var regex = new RegExp('(' + term.replace(/[.*+?^${}()|[\\]\\\\]/g, '\\\\') + ')', 'gi');\n if (regex.test(text)) {\n found = true;\n var frag = document.createDocumentFragment();\n var parts = text.split(regex);\n parts.forEach(function(part, i) {\n if (i % 2 === 0) {\n frag.appendChild(document.createTextNode(part));\n } else {\n var span = document.createElement('span');\n span.className = 'userscript-highlight';\n span.textContent = part;\n frag.appendChild(span);\n }\n });\n node.parentNode.replaceChild(frag, node);\n }\n });\n } else if (node.nodeType === 1 && node.childNodes) { // element\n var skipTags = ['SCRIPT', 'STYLE', 'NOSCRIPT', 'TEXTAREA', 'INPUT', 'SELECT'];\n if (!skipTags.includes(node.tagName)) {\n Array.from(node.childNodes).forEach(highlight);\n }\n }\n }\n \n highlight(document.body);\n \n // Re-highlight on dynamic content\n var observer = new MutationObserver(function(mutations) {\n mutations.forEach(function(m) {\n m.addedNodes.forEach(function(node) {\n if (node.nodeType === 1 || node.nodeType === 3) highlight(node);\n });\n });\n });\n observer.observe(document.body, { childList: true, subtree: true });\n})();", "Highlight Search Terms");
}
} catch(__e) { console.warn('[Userscript:Highlight Search Terms]', __e); }
})();
(function(){
try {
var __m = "*";
var __re = new RegExp('^' + ".*" + '

Skip to content
BranchesTags
Repository files navigation
CrossSectionDemos
Example code of simple things one can do with Open Source Asset Pricing data, created with our open source code.
Each file is an independent script that automatically downloads data from the internet. You just need the googledrive R package and a Google Drive account.
List of Scripts
Scripts are listed from lightest / fastest (top) to heaviest / slowest (bottom).
FileDescription
plot_anomaly.RDownloads selected long-short returns and plots along with sample and publication dates
openap_vs_frenchweb.RDownloads BM and BMdec portfolios and compares to Ken French's data
daily_covid_demo.RDownloads daily returns (all signals) and plots performance in March 2020
FF1993_style_implementation.RDownloads selected characteristic, constructs Fama-French 1993 style factor (building on 2x3 sort with Size), compares with Ken French's HML. (2x3 implementations are part of our dataset as of March 2022)
dl_signal_add_crsp.RCreates the data you need for machine learning stuff. Downloads all downloadable predictor characteristics (1.5 gigs zipped), downloads CRSP signals from WRDS, merges, and saves to disk (5.6 gig csv).
mclean_pontiff_main.RReplicates the fact that returns are mostly there out-of-sample (McLean and Pontiff 2016)
old_vs_new_returns_check.RCompares returns from two different releases
Details
About
Example code of simple things one can do with our open-source asset pricing data
Resources
Readme
GPL-3.0 license
Activity
Stars
58 stars
Watchers
3 watching
Forks
27 forks
Report repository
Releases
Packages
Contributors
Languages

, 'i');
if (__m === '*' || __re.test(location.href)) {
injectUserscript("// Strip utm_, fbclid, gclid, etc. from all links on page\n(function() {\n var trackingParams = ['utm_source', 'utm_medium', 'utm_campaign', 'utm_term', 'utm_content',\n 'fbclid', 'gclid', 'dclid', 'msclkid', 'yclid',\n 'ref', 'ref_src', 'source', 'medium', 'campaign'];\n \n function cleanUrl(url) {\n try {\n var u = new URL(url, window.location.origin);\n var changed = false;\n trackingParams.forEach(function(p) {\n if (u.searchParams.has(p)) {\n u.searchParams.delete(p);\n changed = true;\n }\n });\n return changed ? u.toString() : url;\n } catch (e) {\n return url;\n }\n }\n \n function cleanLinks() {\n document.querySelectorAll('a[href]').forEach(function(a) {\n var clean = cleanUrl(a.href);\n if (clean !== a.href) a.href = clean;\n });\n }\n \n cleanLinks();\n \n var observer = new MutationObserver(function(mutations) {\n mutations.forEach(function(m) {\n m.addedNodes.forEach(function(node) {\n if (node.nodeType === 1) {\n if (node.tagName === 'A') cleanLinks();\n node.querySelectorAll('a[href]').forEach(function(a) {\n var clean = cleanUrl(a.href);\n if (clean !== a.href) a.href = clean;\n });\n }\n });\n });\n });\n observer.observe(document.body, { childList: true, subtree: true });\n})();", "Remove Tracking Parameters from Links");
}
} catch(__e) { console.warn('[Userscript:Remove Tracking Parameters from Links]', __e); }
})();
(function(){
try {
var __m = "youtube.com";
var __re = new RegExp('^' + "youtube\\.com" + '

Skip to content
BranchesTags
Repository files navigation
CrossSectionDemos
Example code of simple things one can do with Open Source Asset Pricing data, created with our open source code.
Each file is an independent script that automatically downloads data from the internet. You just need the googledrive R package and a Google Drive account.
List of Scripts
Scripts are listed from lightest / fastest (top) to heaviest / slowest (bottom).
FileDescription
plot_anomaly.RDownloads selected long-short returns and plots along with sample and publication dates
openap_vs_frenchweb.RDownloads BM and BMdec portfolios and compares to Ken French's data
daily_covid_demo.RDownloads daily returns (all signals) and plots performance in March 2020
FF1993_style_implementation.RDownloads selected characteristic, constructs Fama-French 1993 style factor (building on 2x3 sort with Size), compares with Ken French's HML. (2x3 implementations are part of our dataset as of March 2022)
dl_signal_add_crsp.RCreates the data you need for machine learning stuff. Downloads all downloadable predictor characteristics (1.5 gigs zipped), downloads CRSP signals from WRDS, merges, and saves to disk (5.6 gig csv).
mclean_pontiff_main.RReplicates the fact that returns are mostly there out-of-sample (McLean and Pontiff 2016)
old_vs_new_returns_check.RCompares returns from two different releases
Details
About
Example code of simple things one can do with our open-source asset pricing data
Resources
Readme
GPL-3.0 license
Activity
Stars
58 stars
Watchers
3 watching
Forks
27 forks
Report repository
Releases
Packages
Contributors
Languages

, 'i');
if (__m === '*' || __re.test(location.href)) {
injectUserscript("// Auto-enable theater mode on YouTube\n(function() {\n function tryTheater() {\n var btn = document.querySelector('button[aria-label=\"Theater mode\"], ytd-player #player button[title=\"Theater mode\"]');\n if (btn && !btn.classList.contains('activated')) {\n btn.click();\n }\n }\n \n // Try immediately\n tryTheater();\n \n // Try after navigation (SPA)\n var lastUrl = location.href;\n setInterval(function() {\n if (location.href !== lastUrl) {\n lastUrl = location.href;\n setTimeout(tryTheater, 500);\n }\n }, 1000);\n \n // Also try on player load\n var observer = new MutationObserver(tryTheater);\n observer.observe(document.body, { childList: true, subtree: true });\n})();", "YouTube Theater Mode Default");
}
} catch(__e) { console.warn('[Userscript:YouTube Theater Mode Default]', __e); }
})();
(function(){
try {
var __m = "*";
var __re = new RegExp('^' + ".*" + '

Skip to content
BranchesTags
Repository files navigation
CrossSectionDemos
Example code of simple things one can do with Open Source Asset Pricing data, created with our open source code.
Each file is an independent script that automatically downloads data from the internet. You just need the googledrive R package and a Google Drive account.
List of Scripts
Scripts are listed from lightest / fastest (top) to heaviest / slowest (bottom).
FileDescription
plot_anomaly.RDownloads selected long-short returns and plots along with sample and publication dates
openap_vs_frenchweb.RDownloads BM and BMdec portfolios and compares to Ken French's data
daily_covid_demo.RDownloads daily returns (all signals) and plots performance in March 2020
FF1993_style_implementation.RDownloads selected characteristic, constructs Fama-French 1993 style factor (building on 2x3 sort with Size), compares with Ken French's HML. (2x3 implementations are part of our dataset as of March 2022)
dl_signal_add_crsp.RCreates the data you need for machine learning stuff. Downloads all downloadable predictor characteristics (1.5 gigs zipped), downloads CRSP signals from WRDS, merges, and saves to disk (5.6 gig csv).
mclean_pontiff_main.RReplicates the fact that returns are mostly there out-of-sample (McLean and Pontiff 2016)
old_vs_new_returns_check.RCompares returns from two different releases
Details
About
Example code of simple things one can do with our open-source asset pricing data
Resources
Readme
GPL-3.0 license
Activity
Stars
58 stars
Watchers
3 watching
Forks
27 forks
Report repository
Releases
Packages
Contributors
Languages

, 'i');
if (__m === '*' || __re.test(location.href)) {
injectUserscript("// Remove or un-stick sticky/fixed headers that block content\n(function() {\n function unstick() {\n document.querySelectorAll('header, nav, [role=\"banner\"], .header, .navbar, .sticky, .fixed-top, [style*=\"position: fixed\"], [style*=\"position:sticky\"]').forEach(function(el) {\n if (el.style.position === 'fixed' || el.style.position === 'sticky' || \n getComputedStyle(el).position === 'fixed' || getComputedStyle(el).position === 'sticky') {\n el.style.position = 'static';\n el.style.top = 'auto';\n el.style.zIndex = 'auto';\n }\n });\n }\n \n unstick();\n \n var observer = new MutationObserver(unstick);\n observer.observe(document.body, { childList: true, subtree: true, attributes: true, attributeFilter: ['style', 'class'] });\n})();", "Kill Sticky Headers");
}
} catch(__e) { console.warn('[Userscript:Kill Sticky Headers]', __e); }
})();
(function(){
try {
var __m = "*";
var __re = new RegExp('^' + ".*" + '

Skip to content
BranchesTags
Repository files navigation
CrossSectionDemos
Example code of simple things one can do with Open Source Asset Pricing data, created with our open source code.
Each file is an independent script that automatically downloads data from the internet. You just need the googledrive R package and a Google Drive account.
List of Scripts
Scripts are listed from lightest / fastest (top) to heaviest / slowest (bottom).
FileDescription
plot_anomaly.RDownloads selected long-short returns and plots along with sample and publication dates
openap_vs_frenchweb.RDownloads BM and BMdec portfolios and compares to Ken French's data
daily_covid_demo.RDownloads daily returns (all signals) and plots performance in March 2020
FF1993_style_implementation.RDownloads selected characteristic, constructs Fama-French 1993 style factor (building on 2x3 sort with Size), compares with Ken French's HML. (2x3 implementations are part of our dataset as of March 2022)
dl_signal_add_crsp.RCreates the data you need for machine learning stuff. Downloads all downloadable predictor characteristics (1.5 gigs zipped), downloads CRSP signals from WRDS, merges, and saves to disk (5.6 gig csv).
mclean_pontiff_main.RReplicates the fact that returns are mostly there out-of-sample (McLean and Pontiff 2016)
old_vs_new_returns_check.RCompares returns from two different releases
Details
About
Example code of simple things one can do with our open-source asset pricing data
Resources
Readme
GPL-3.0 license
Activity
Stars
58 stars
Watchers
3 watching
Forks
27 forks
Report repository
Releases
Packages
Contributors
Languages

, 'i');
if (__m === '*' || __re.test(location.href)) {
injectUserscript("// Universal Dark Mode - works on any site\n(function() {\n var enabled = true;\n \n function applyDarkMode() {\n if (!enabled) return;\n \n // Create style element if it doesn't exist\n var style = document.getElementById('universal-dark-mode-style');\n if (!style) {\n style = document.createElement('style');\n style.id = 'universal-dark-mode-style';\n document.head.appendChild(style);\n }\n \n // Dark mode CSS - inverts colors but preserves images/video\n style.textContent = '\n /* Invert everything except media */\n html {\n filter: invert(1) hue-rotate(180deg) !important;\n background: #1a1a2e !important;\n }\n \n /* Restore images, videos, iframes, canvas */\n img, video, iframe, canvas, svg, picture, [style*=\"background-image\"] {\n filter: invert(1) hue-rotate(180deg) !important;\n }\n \n /* Preserve specific elements that should not be inverted */\n .no-dark-mode, .no-dark-mode *,\n [data-theme=\"light\"], [data-theme=\"light\"],\n .ace_editor, .ace_editor *,\n .CodeMirror, .CodeMirror *,\n .monaco-editor, .monaco-editor *,\n .markdown-body pre, .markdown-body pre *,\n .highlight, .highlight *,\n pre code, pre code * {\n filter: none !important;\n }\n \n /* Fix common UI elements */\n .modal, .popup, .dropdown-menu, .tooltip, .popover {\n filter: invert(1) hue-rotate(180deg) !important;\n background: #2d2d44 !important;\n border-color: #444 !important;\n }\n \n /* Scrollbars */\n ::-webkit-scrollbar { background: #1a1a2e !important; }\n ::-webkit-scrollbar-thumb { background: #444 !important; }\n ::-webkit-scrollbar-thumb:hover { background: #555 !important; }\n \n /* Selection */\n ::selection { background: #4ecdc4 !important; color: #1a1a2e !important; }\n ::-moz-selection { background: #4ecdc4 !important; color: #1a1a2e !important; }\n ';\n }\n \n function removeDarkMode() {\n var style = document.getElementById('universal-dark-mode-style');\n if (style) style.remove();\n }\n \n // Toggle with Alt+Shift+D\n document.addEventListener('keydown', function(e) {\n if (e.altKey && e.shiftKey && e.key === 'D') {\n e.preventDefault();\n enabled = !enabled;\n if (enabled) {\n applyDarkMode();\n console.log('[Universal Dark Mode] Enabled');\n } else {\n removeDarkMode();\n console.log('[Universal Dark Mode] Disabled');\n }\n }\n });\n \n // Apply on load\n applyDarkMode();\n \n // Re-apply on dynamic content\n var observer = new MutationObserver(function(mutations) {\n if (enabled && !document.getElementById('universal-dark-mode-style')) {\n applyDarkMode();\n }\n });\n observer.observe(document.head, { childList: true });\n \n console.log('[Universal Dark Mode] Loaded - Press Alt+Shift+D to toggle');\n})();", "Universal Dark Mode");
}
} catch(__e) { console.warn('[Userscript:Universal Dark Mode]', __e); }
})();
})();

Skip to content
BranchesTags
Repository files navigation
CrossSectionDemos
Example code of simple things one can do with Open Source Asset Pricing data, created with our open source code.
Each file is an independent script that automatically downloads data from the internet. You just need the googledrive R package and a Google Drive account.
List of Scripts
Scripts are listed from lightest / fastest (top) to heaviest / slowest (bottom).
FileDescription
plot_anomaly.RDownloads selected long-short returns and plots along with sample and publication dates
openap_vs_frenchweb.RDownloads BM and BMdec portfolios and compares to Ken French's data
daily_covid_demo.RDownloads daily returns (all signals) and plots performance in March 2020
FF1993_style_implementation.RDownloads selected characteristic, constructs Fama-French 1993 style factor (building on 2x3 sort with Size), compares with Ken French's HML. (2x3 implementations are part of our dataset as of March 2022)
dl_signal_add_crsp.RCreates the data you need for machine learning stuff. Downloads all downloadable predictor characteristics (1.5 gigs zipped), downloads CRSP signals from WRDS, merges, and saves to disk (5.6 gig csv).
mclean_pontiff_main.RReplicates the fact that returns are mostly there out-of-sample (McLean and Pontiff 2016)
old_vs_new_returns_check.RCompares returns from two different releases
Details
About
Example code of simple things one can do with our open-source asset pricing data
Resources
Readme
GPL-3.0 license
Activity
Stars
58 stars
Watchers
3 watching
Forks
27 forks
Report repository
Releases
Packages
Contributors
Languages