Data and Code

Datasets, code, and useful resources for research in Economics, Finance, and Accounting.

I am an avid R programmer. In this section I share code and material that I have found useful for my research, along with links to other helpful websites containing code and data.

My Datasets and Code

  • International Asset Pricing Factor Dataset — asset pricing factor portfolios for ten countries from 1993 to 2017 (built from Datastream data). The factors are created using book-to-market, price-to-earnings, investment, momentum, profitability, and quality characteristics. Refer to this paper for more information. These factors are no longer updated.

Free Data Sources for Research

Asset Pricing and Factors

  • Ken French Data Library — the classic US and international factor portfolios, industry returns, and portfolio sorts.
  • AQR Data Sets — factor, style, and strategy return series (value, momentum, quality, betting-against-beta, and more).
  • Robert Shiller’s Online Data — long-run stock market series, CAPE, earnings, and US home prices.

Firm Fundamentals and Financial Data

Websites and Other Useful Material

Useful material for academics in Economics, Finance, and/or Accounting.

Readings / Websites

  • Econ Journal Watch — a nice collection of articles with critical takes on topics of academic interest.
  • Critical Finance Review — critical papers on finance; a must-read for Finance/Accounting academics.
  • Andrew Gelman’s Blog — causality, Bayesian statistics, and statistical pitfalls in pop-science research.

Datasets and Code

  • JKP Factors — asset pricing factor data for many countries from Compustat Global.
  • Open Source Asset Pricing — data on asset pricing factors plus code for generating factors from CRSP/Compustat.

Data Science and Programming

  • Tidy Finance — the best way to learn R programming for financial analysis and research.