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Two new predictors, FF1993 2x3 implementations, annual improvements
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@chenandrewy chenandrewy released this 29 Mar 13:11
· 133 commits to master since this release
v1.2.0
f5825d3

Major Updates

  • Two new predictors:
    1. TrendFactor from Han, Zhou and Zhu (2016)
    2. Recomm_ShortInterest from Drake, Rees, and Swanson (2011)
  • Fama-French 1993 style 2x3 implementations for all signals
  • SignalDocumentation.xlsx BasicInfo and AddInfo are now in SignalDoc.csv
    • The lit comparisons tabs are in other csvs
    • This change allows for clean versioning in git

Minor Updates

  • Coskewness and CoskewACX: now uses Ken French’s market return and risk-free rates
    • Old version used CRSP’s NYSE/AMEX or NYSE only index and CRSP’s risk free rates.
  • Accruals: now more closely match Sloan 1996 by including depreciation. #51
  • Delisting return adjustments now computed with compounding #49
  • Quarterly Compustat lagging deals with subtle issues with rdq #50
  • Various bug fixes
  • For a complete list of closed issues see here

Full Changelog: v1.1.0...v1.2.0

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