This is the code and (part of) data for my article 'The Size Effect Revisited'
We put list of stocks in Standard & Poor 500 Large-Cap, 400 Mid-Cap, 600 Small-Cap indices as of July 7, 2019. We cannot put their characteristics (price, cap, etc.) since the data is taken from YCharts with private subscription.
Files 'small.py', 'mid.py', 'mega.py' are for comparison of Vanguard ETFs.
File 'BayesAlphaBeta.py' is for subsection 3.4.
File 'schwab-code.py' is for Charles Schwab funds, subsection 2.4.
It can be used also for Invesco international ETFs, subsection 2.5.
File 'factors.py' is for individual stocks and randomly generated portfolios.