Man versus machine learning revisited
Python code
Yandi Zhu's GitHub repository with replication code for the paper "Man versus Machine Learning Revisited" (with Yingguang Zhang and Yandi Zhu)
See the
paper for details
Time-series efficient factors
Factor returns and Stata replication code
This zip file contains the following files:
- tsef_factors.csv: monthly returns for (a) momentum-managed, (b) volatility-managed, and (c) time-series efficient versions of the five Fama-French factors
- FF5monthly.dta and FF5daily.dta: monthly and daily returns for the Fama-French factors in Stata format; this is the vintage used in the paper; if you use a different vintage, the results may differ ever so slightly
- ConstructTSEFFactors.do: Stata do-file that constructs the three sets of managed factors with FF5monthly.dta and FF5daily.dta as inputs
See the
paper for details
Accruals, cash flows, and
operating profitability in the cross section of stock
returns
Portfolio and factor returns
This CSV file has monthly returns for the six-value weighted portfolios underneath the cash-based operating profitability factor (CbOP) and the factor itself.
See the
paper for details