If you use the data, please cite our paper:

Chen A, Zimmermann T (2022). “Open Source Cross-Sectional Asset Pricing.” Critical Finance Review, 11(2), 207–264. doi:10.1561/104.00000112.

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 = {11},
    number = {2},
    pages = {207--264},
    doi = {10.1561/104.00000112},
  }