Equity return and 100 Characteristics of China A-Share market
You can replicate all the results by running sh submit.sh on a Linux machine
./code folder, with full access
./code/main.py calculates stock characteristics./code/make_panel.py composes the panel data of stock returns and characteristics./code/sort_port/main_sort.py makes sorted portfolios based on stock characteristics./code/sort_port/main_sort_example.py output the returns and characteristics of the sorted portfolios./data folder, not uploaded to the repository
./data/chars stores the characteristics data, which are the output of main.py./data/csmar_tables stores the raw data from CSMAR./data/factor stores the factors data, which are downloaded from other sources, for exmaple CH4 data from Robert Stambaugh’s website./data/share stores the output data of the repository, including the panel data of stock returns and characteristics, and sorted portfolio retunrsXin He
xinhe9701@gmail.com