AnnouncementReturn lookahead bias patch

Addresses the lookahead bias in AnnouncementReturn from end-of-month announcements described here: #158

Used to generate the October 2024 release (technically, the code was run at the end of September).

Annual improvements

• Two signals needed to be switched to new datasources after the original ones were discontinued:
  • betaVIX is originally based on VXO (volatility index based on S&P100) which was discontinued in September 2021. We switch to VIX afterwards.
  • Mom6mJunk is based on S&P ratings data but WRDS S&P credit ratings end in Feb 2017. We switch to Capital IQ S&P ratings data from 2016. In addition, we only assign a stock to "Junk" if it has a proper credit rating and the credit rating is low (previously, we interpreted missing credit ratings as “Junk” as well).
• Fixed typos in the signal documentation (signaldoc.csv) for some signals (DivYieldST, dCPVolSpread, AgeIPO).
• Fixed low number of observations in some months or years in two signals (FirmAgeMom, ForecastDispersion) that were due to filters that set some observations to missing.
• New code for the “zerotrade” signals that more closely follows Liu (2006). Also rationalized naming.
  zerotrade1M, zerotrade6M and zerotrade12M are the 1-,6- and 12-month versions of the signal (as opposed to zerotradeAlt1, zerotrade, zerotradeAlt12 in earlier versions).
• FailureProbability requires book value of equity and its construction now follows Cohen, Polk, and Vuolteenaho (2003) (instead of just using ceqq) as referenced by Campbell, Hilscher and Szilagyi (2008).
• We verified that there is no look-ahead bias in signals that use cfacshr or cfacpr.
  • In the process, we lagged ShareIss5Y by an additional 5 months and we included alternative code (as a comment) for ShareIss1Y that closely follows Pontiff and Woodgate (2008) that gives very similar results to our implemented version.
  • We still need to check signals that are based on 13F data.
• For a complete list of closed issues see: https://github.com/OpenSourceAP/CrossSection/issues?q=is%3Aissue+closed%3A2023-08-16..2024-08-22+sort%3Aupdated-desc

Five new predictors, annual improvements

Major updates:

• Three new predictors using option prices from An, Ang, Bali and Cakici (2014)
• Two new predictors from Bali and Hovaikimian (2009)

Fixes and minor updates:

• We use an improved OptionMetrics-CRSP link.
• Fixed typos in NetDebtFinance, NetEquityFinance, NetExternalFinance (XFIN), KZ and KZ_q.
• Fixed gaps in a number of signals that were due to unbalanced panel issues (ChNAnalyst, Rev6, DivYieldST). Fixed gap in CoSkewACX that was due to assuming all 12-month samples have 252 trading days.
• Improved code to compute Ang Hodrick Xing Zhang’s idiosyncratic volatility. Also rationalized naming.
  • RealizedVol is the volatility of returns over the past month
  • IdioVol3F is the volatility of FF3 residuals (previously also called IdioRisk
  • IdioRisk is deleted
• New code for sinAlgo that more closely follows Hong and Kacperczyk (2009).
• BM now follows the original paper, Stattman (1980).
• For a complete list of closed issues see: https://github.com/OpenSourceAP/CrossSection/issues?page=1&q=is%3Aissue+is%3Aclosed

Two new predictors, FF1993 2x3 implementations, annual improvements

Major Updates

• Two new predictors:
  1. TrendFactor from Han, Zhou and Zhu (2016)
  2. Recomm_ShortInterest from Drake, Rees, and Swanson (2011)
• Fama-French 1993 style 2x3 implementations for all signals
• SignalDocumentation.xlsx BasicInfo and AddInfo are now in SignalDoc.csv
  • The lit comparisons tabs are in other csvs
  • This change allows for clean versioning in git

Minor Updates

• Coskewness and CoskewACX: now uses Ken French’s market return and risk-free rates
  • Old version used CRSP’s NYSE/AMEX or NYSE only index and CRSP’s risk free rates.
• Accruals: now more closely match Sloan 1996 by including depreciation. #51
• Delisting return adjustments now computed with compounding #49
• Quarterly Compustat lagging deals with subtle issues with rdq #50
• Various bug fixes
• For a complete list of closed issues see here

Full Changelog: v1.1.0...v1.2.0

Daily portfolio returns, more monthly implementations, completeness checks

Major Updates:

• Fixed missing FirmAge signal. Signal was missing in a couple of the data files.
• Made daily portfolios ready for sharing. There was code before, but it wasn't ready to share.
• Added more implementations and ways to access the data
• Added code to prepare data for sharing and to check for completeness. Data should be more reliable now.
• Improved README, overall more polished product

Minor updates:

• Many usability issues resolved: removed unnecessary iclink.csv checks, sort data before posting, font download, package downloads, smaller daily crsp downloads for reliability, default view of SignalDocumentation
• Fixed a few rebalancing frequencies and detailed descriptions in SignalDocumentation.xlsx

More details:

• see https://github.com/OpenSourceAP/CrossSection/projects/1

Major modularization update

• Code is entirely rewritten
  • Now each data download is in its own file, and each signal construction is in its own file.
  • Most of the signal files can be run in parallel.
  • If signal file errors out, main program moves on to the next file (try-catch)
  • Huge improvement to usability
    • Easy to find which signal file you’re looking for
    • Easy to improve any individual signal file due to lack of dependencies
• Modular signals data structure
  • Each signal has its own firm-month csv (E.g. STreversal.csv has a short-term reversal signal for each permno-month in CRSP)
  • Some improvement to usability:
    • Allows for modular updates to the full dataset
    • Also allows users interested in specific signals to simply retrieve the signal
• Simplified portfolio code
  • Replaced complicated balanced matrix portfolio tracking with simple conditional weighted mean construction
  • Inputs are now just individual single signal csvs instead of the full dataset
  • Constructs all quantile-portfolios and long-shorts together
  • Accommodates daily portfolios (though signals must still be monthly)
  • Accommodates discrete signals as a generalization of binary
• Some improvement in transparency and error checking
  • Ensures consistency between all-quantile portfolios and long-shorts
• Improved classification and documentation of signals in SignalDocumentation.xlsx
  • For each signal, we hand collect the number of the table with predictability evidence, test in the table (port sort, regression), sign, t-stat, mean monthly return, quantile, portfolio assignment period, and filters.
  • We use the above to categorize signals by predictability in the original paper and signal replication quality. As a result, these categories are more true to the original papers.
• Improved signals and new signals
  • Improved/Fixed:
    • EarningsStreak (Loh and Warachka, formerly EarnIncrease)
    • DivSeason (Hartzmark and Salomon, formerly DivInd)
    • UpRecomm / DownRecomm (Barber et al, formerly UpForecast / DownForecast)
    • MomSeason* and MomOffSeason* (Heston and Sadka, formerly MomSeas*)
    • DivYieldST (Litzenberger and Ramaswamy, formerly DivYield_q)
    • Coskewness (Harvey and Siddique)
    • EquityDuraion (Dechow, Sloan, and Soliman)
    • Governance (Gompers, Ishii, Metrick)
    • DivInit and DivOmit (Michaely, Thaler, and Womack)
    • MS (Mohanoram)
    • ZScore, OScore (Dichev)
  • New signals
    • CoskewACX (Ang, Chen, and Xing)
    • AnalystRevision (Hawkins, Chamberlain, and Daniel)
    • FEPS (Cen, Wei, and Zhang)
    • OrderBacklogChg (Baik and Ahn)
  • Removed a couple of redundant signals

v0.1.2

• Switched to many-to-one matching to monthly CRSP for ticker-based signals
• Thanks again to Yang Liu (Tsinghua Finance) for helping us with v0.1.1.

v0.1.1

• Fixed timing for the availability of quarterly Compustat data (HT: Yang Liu (Tsinghua Finance))
• Adjustment to EarnIncrease
• Updated holding period for Cash

v0.1.0

Initial commit. Replication code.