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christianjauregui committed Apr 25, 2020
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Expand Up @@ -62,25 +62,25 @@ Released documentation is hosted on [Github Pages](https://christianjauregui.git
I welcome recommendations, contributions and/or future collaborations. I am ambitious and plan to expand the module to include construction of additional factor-based datasets relevant for empirical asset pricing. These include the following:

- [AQR Capital Management's](https://www.aqr.com/library/data-sets):
- `Betting Against Beta` (BAB)
- `Quality Minus Junk` (QMJ)
- `Modified Value - High Minus Low` (HMLD)
- `Betting Against Beta` (BAB)
- `Quality Minus Junk` (QMJ)
- `Modified Value - High Minus Low` (HMLD)

- [Lettau, Ludvigson, and Ma (2019)](https://onlinelibrary.wiley.com/doi/abs/10.1111/jofi.12772) Capital Share Factor:
- `Capital Share of Aggregate Income` (KS)
- `Capital Share of Aggregate Income` (KS)

- [Pastor and Stambaugh (2003)](https://faculty.chicagobooth.edu/-/media/faculty/lubos-pastor/data/liq_data_1962_2019.txt) Liquidity Factors:
- `Non-Traded Liquidity Factor`
- `Traded Liquidity Factor`
- `Non-Traded Liquidity Factor`
- `Traded Liquidity Factor`

- [Sadka (2006)](https://drive.google.com/file/d/1hTnBk7uasanA3x1gRFBNg6hFE1A0JJEO/view) Liquidity Factors:
- `Fixed-Transitory Factor`
- `Variable-Permanent Factor`
- `Fixed-Transitory Factor`
- `Variable-Permanent Factor`

- [Stambaugh and Yuan (2017)](https://academic.oup.com/rfs/article/30/4/1270/2965095) *Clustered* Mispricing Factors:
- `Management-related Factor` (MGMT)
- `Performance-related Factor` (PERF)
- `Mispricing (non-clustered) Factor` (UMO)
- `Management-related Factor` (MGMT)
- `Performance-related Factor` (PERF)
- `Mispricing (non-clustered) Factor` (UMO)


Performance and speed improvements are also appreciated.
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