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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 ...
Federal Reserve Bank of Chicago
The Federal Reserve Bank of Chicago is one of 12 regional Reserve Banks across the United States that, together with the Board of Governors in Washington, D.C., serve as the central bank for the United States.
CieslakSchrimpf_2019
We compile a novel database of time-stamped monetary policy events by the four main central banks—the Federal Reserve (Fed), the European Central Bank (ECB), the Bank of England (BOE) and the Bank of Japan (BOJ)—spanning ...
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 ...