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Five new predictors, annual improvements
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@tomz23 tomz23 released this 15 Aug 11:45
· 39 commits to master since this release
v1.3.0
00bafe4

Major updates:

  • Three new predictors using option prices from An, Ang, Bali and Cakici (2014)
  • Two new predictors from Bali and Hovaikimian (2009)

Fixes and minor updates:

  • We use an improved OptionMetrics-CRSP link.
  • Fixed typos in NetDebtFinance, NetEquityFinance, NetExternalFinance (XFIN), KZ and KZ_q.
  • Fixed gaps in a number of signals that were due to unbalanced panel issues (ChNAnalyst, Rev6, DivYieldST). Fixed gap in CoSkewACX that was due to assuming all 12-month samples have 252 trading days.
  • Improved code to compute Ang Hodrick Xing Zhang’s idiosyncratic volatility. Also rationalized naming.
    • RealizedVol is the volatility of returns over the past month
    • IdioVol3F is the volatility of FF3 residuals (previously also called IdioRisk
    • IdioRisk is deleted
  • New code for sinAlgo that more closely follows Hong and Kacperczyk (2009).
  • BM now follows the original paper, Stattman (1980).
  • For a complete list of closed issues see: https://github.com/OpenSourceAP/CrossSection/issues?page=1&q=is%3Aissue+is%3Aclosed
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