compustat
Here are 9 public repositories matching this topic...
Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud
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Feb 9, 2023 - Python
Fuzzy match entity names (primarily persons and companies) across databases
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Mar 12, 2024 - Python
Academically rigorous implementation of the Fama-French (2015) five-factor model using WRDS (CRSP + Compustat) data.
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Mar 6, 2026 - Python
Replication of Fama & French (1992) Tables 1-3: cross-sectional sort on size and book-to-market using 1.04M CRSP-Compustat observations. Factor model regression. VCU FIRE 691.
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Jun 18, 2026 - Python
Point-in-time asset-pricing pipeline linking Compustat geographic segments to macro states, CRSP returns, and leakage-aware ML diagnostics.
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May 31, 2026 - Python
Rolling-window XGBoost cross-sectional return prediction for US equities (1995-2024). Out-of-sample annualized Sharpe 1.03, monthly CAPM alpha +2.19% (t=6.08), market beta -0.43 over 300 months (2000-2024).
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Jun 8, 2026 - Python
Academically rigorous implementation of the Fama-French (1993) three-factor model using WRDS (CRSP + Compustat) data.
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Mar 6, 2026 - Python
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