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CRSP
Our portfolio of stock, indexes, mutual fund, treasury, and REIT market databases is relied on by academicians whose research and publications must withstand rigorous analysis for accuracy. Quantitative analysts in the ...
BLS
The Bureau of Labor Statistics measures labor market activity, working conditions, price changes, and productivity in the U.S. economy to support public and private decision making.
Quandl
Designed for professionals, Quandl delivers financial, economic and alternative data to over 400,000 people worldwide. Quandl offers essential financial and economic data alongside a suite of unique, alpha-generating ...
TAQ
NYSE Trade and Quote (TAQ) database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX), as well as Nasdaq National ...
Kibot
We provide instant access to over 58 years of daily data, over 22 years of top-quality, minute-by-minute intraday data and over 11 years of tick-by-tick (including bid/ask) historical market data for Stocks, ETFs, Futures ...
CCM
The CRSP/Compustat Merged Database provides CRSP and Compustat subscribers the ability to access CRSP’s stock data and Compustat’s Xpressfeed fundamental data within a single linked database. The CRSPLink® maps complex ...
BEDOFIH
The BEDOFIH database includes trades and orders with the highest frequency. BEDOFIH covers the most important European stock markets.
Momentum-managed equity factors
(2019-07-22)
Managed portfolios that exploit positive first-order autocorrelation in monthly excess returns of equity factor portfolios produce large alphas and gains in Sharpe ratios. We document this finding for factor portfolios ...