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What is Open Source Cross-Sectional Asset Pricing about?

This paper presents an open-source dataset and code that successfully reproduces nearly all cross-sectional stock return predictors, with 98% of significant characteristics achieving t-stats above 1.96. The authors argue that their findings restore trust in the asset pricing literature, countering previous claims of high reproduction failure rates. The dataset includes 319 characteristics, with detailed evaluations of their predictability, and emphasizes the importance of open collaboration in academic fina

Author

1721631907

Language

EN