ChinaAShareEquityCharacteristics

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

the codes are in ./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
all the data are in ./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 retunrs
description on characteristics link

Contact

Xin He