Code and Data

Code Repositories

  1. (FI)nance (RE)search Python Tools: fire_pytools

Bitbucket Repository: bitbucket.org/liramota/fire_pytools

This is a collection of useful functions in finance research.

    1. Direct download of CRSP and Compustat from WRDS server;

    2. Direct download of Ken French data library;

    3. Portfolio sorts tools.

    4. Replicate Fama and French factors.

2. Big Data in Finance, PhD Course: big_data2020

Bitbucket Repository: bitbucket.org/liramota/big_data2020

This repository contains class material for Part II of Big Data in Finance (PhD, Spring 2020).

    1. Overview of Compustat data set;

    2. Overview of CRSP data set;

    3. Factor investings tools.

Data Repositories

  1. The Saving of Corporate Giants

Repository: www.fanfrepo.com

This repository contains hand collected data on the financial assets of US nonfinancial firms.


  1. The Cross-Section of Risk and Returns

Repository: CEPs and hedge portfolios

This repository contains daily and monthly returns of characteristics efficient portfolios and hedge portfolios.