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Data and Code

Data and Code for Working Papers:

Deep Learning in Asset Pricing (with L. Chen and J. Zhu)
SDF, portfolio and economic states time-series
Individual stock returns, asset specific characteristics and macroeconomic time-series
GitHub code

Data and Code for Published Papers:

Factors that Fit the Time-Series and Cross-Section of Stock Returns(with M. Lettau)
Review of Financial Studies (2020)
RP-PCA Factors
Matlab Code for RP-PCA Factors

Understanding Systematic Risk: A High-Frequency Approach
Journal of Finance (2020)
High-Frequency Stock Returns
Intraday and Overnight Stock Returns
High-Frequency Factor Returns
Intraday and Overnight Factor Returns
Matlab Code for High-Frequency Factor Analysis