- All in Python
- The SAS version is here EquityCharacteristicsSAS
For financial researches, we need equity characteristics. This repository is a toolkit to calculate asset characteristics in individual equity level and portfolio level.
Many papers contribute a lot to this repository. I am very sorry for only listing the following papers.
-
Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks by DANIEL, GRINBLATT, TITMAN, WERMERS 1997 JF
-
Dissecting Anomalies with a Five-Factor Model by Fama and French 2015 RFS
- Define the characteristics of a portfolio as the value-weight averages (market-cap weights) of the variables for the firms in the portfolio
- French's Data Library
-
The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns by Green Hand Zhang 2017 RFS
-
Replicating Anormalies by Hou Xue Zhang 2018 RFS
- Read the listed papers
- WRDS account with subscription to CRSP, Compustat and IBES.
- SAS (I use SAS on WRDS Cloud)
- Python (I use Pandas to play with data)
This topic is summaried by Green Hand Zhang and Hou Xue Zhang.
Portfolio charactaristics is the equal-weighted / value-weighted averge of the characteristics for all equities in the portfolio.
The portfolios includes and not limited to:
- Characteristics-sorted Portfolio, see the listed papers and also Deep Learning in Characteristics-Sorted Factor Models
- DGTW Benchmark, see DGTW 1997 JF
- Industry portfolio
- Calculate equity characteristics with SAS code, mainly refering to SAS code by Green Hand Zhang.
- Portfolio characteristics, mainly refering to WRDS Financial Ratios Suite and Variable Definition
- DGTW code refers to this python code or this SAS code
All comments are welcome.
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