Yueliang (Jacques) Lu

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


• Data on the yield curve by Gürkaynak, Sack, and Wright


• cay (consumption-to-wealth ratio)


• The mispricing score by Stambaugh, Yu & Yuan


• Gurdip Bakshi's website
  


• Bryan Kelly's website


• Juhani Linnainmaa's website


• Ian Martin's website
  


• Jules van Binsbergen's website


• Guofu Zhou's website