If you use the data, please cite our paper:

Chen A, Zimmermann T (2022). “Open Source Cross-Sectional Asset Pricing.” Critical Finance Review, 27(2), 207–264.

Corresponding BibTeX entry:

  @Article{,
    title = {Open Source Cross-Sectional Asset Pricing},
    author = {Andrew Y. Chen and Tom Zimmermann},
    journal = {Critical Finance Review},
    year = {2022},
    volume = {27},
    number = {2},
    pages = {207--264},
  }