Code and Data

Data Repositories

US Treasuries Convenience Yields

Data available at convenience.liramota.com

The Saving of Corporate Giants

Hand-collected data on the financial assets of US nonfinancial firms

Data available at corporategiants.webflow.io

Repository: www.fanfrepo.com

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.

Code Repositories

(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.

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