Yueliang (Jacques) Lu
Ph.D., FRM
Free Data Sources (U.S. Data):
- SSRN's Financial Economics Network
- CBOE VIX futures historical data and futures and options' expiration calendar
- Open Source Asset Pricing on anomalies and firm characteristics
- Fama-French portfolios and risk factors from Kenneth French's homepage
- HXZ Q-factors from Hou, Xue, and Zhang
- More factors from Andrea Frazzini's homepage
- Aggregate stock prices, dividends, and earnings from Robert Shiller's homepage
- In-sample predictors and other long time series of financial data from Amit Goyal's homepage
- Option-implied data by Grigory Vilkov
- Liquidity estimates by Joel Hasbrouck
- Economic data for macroeconomic research from Michael W. McCracken's homepage
- Data on the yield curve by Gürkaynak, Sack, and Wright
- cay (consumption-to-wealth ratio) from Martin Lettau's homepage
- The mispricing score by Stambaugh, Yu & Yuan from Robert F. Stambaugh's homepage
- Bryan Kelly's website, Yale School of Managment
- Ian Martin's website, London School of Economics
- Jules van Binsbergen's website, Wharton
- Guofu Zhou's website, Washington University in St. Louis