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

[email protected]

www.xinhesean.com