Data

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:

  1. tsef_factors.csv: monthly returns for (a) momentum-managed, (b) volatility-managed, and (c) time-series efficient versions of the five Fama-French factors
  2. 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
  3. 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