EquityCharacteristics

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Version

Academic Background

For financial researches, we need equity characteristics. This repository is a toolkit to calculate asset characteristics in individual equity level and portfolio level.

Prerequisite

Files

Main Files

Single Characteristic Files

How to use

  1. run accounting_60_hxz.py
  2. run all the single characteristic files (you can run them in parallel)
  3. run merge_chars.py
  4. run impute_rank_output_bckmk.py (you may want to comment the part of sp1500 in this file if you just need the all stocks version)

Outputs

Data

The date range is 1972 to 2019. The stock universe is top 3 exchanges (NYSE/AMEX/NASDAQ) in US.

The currant time of data is $ret_t = chars_{t-1}$

  1. chars_raw_no_impute.feather (all data with original missing value)
  2. chars_raw_imputed.feather (impute missing value with industry median/mean value)
  3. chars_rank_no_imputed.feather (standardize chars_raw_no_impute.pkl)
  4. chars_rank_imputed.feather (standardize chars_raw_imputed.pkl)

Information Variables:

Method

Equity Characteristics

This topic is summaried by Green Hand Zhang and Hou Xue Zhang.

Portfolio Characteristics

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:

Reference

Papers

Many papers contribute a lot to this repository. I am very sorry for only listing the following papers.

Codes

All comments are welcome.