Andrew Chen

Release AnnouncementReturn lookahead bias patch · OpenSourceAP/CrossSection Addresses the lookahead bias in AnnouncementReturn from end-of-month announcements described here: #158 Used to generate the October 2024 release (technically, the code was run at the end of Septem...

In the above, you can see B/M returns are unrevised in the 2024 October release. But AnnouncementReturn has non-negligible revisions. Going to the CrossSection repo's releases shows precisely why github.com/OpenSourceAP...

Worried about "Noisy Factors?" no need to worry any more. openassetpricing makes it easy to download any vintage of the dataset and compare:

Peng Li

This package is the excellent work of
Peng Li
(researchportal.bath.ac.uk/en/persons/p...). I just contributed the examples, with help of Patrick Dunn.
Of course, the Chen-Zimmermann dataset would not have been possible without Tom Zimmermann.

GitHub - mk0417/open-asset-pricing-download Contribute to mk0417/open-asset-pricing-download development by creating an account on GitHub.

Link to repo: github.com/mk0417/open-.... And a quick tour of the data: github.com/mk0417/open-....

💥Introducing openassetpricing!💥 a Python package for easy-breezy access to the Open Source Asset Pricing dataset. Just `pip install openassetpricing` and

openap = oap.OpenAP()
df = openap.dl_port('quintiles_vw', 'pandas', ['BM', 'Mom12m'])

and you've got B/M and momentum.

“AI Safety” is totally a law and economics topic isn’t it?