ExpectedReturns
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JustinMShea
Per @braverock "Lets get a working example into a new vignette no later than tomorrow". "Value and momentum everywhere". Asness, Moskowitz, Pedersen (2013). https://www.aqr.com/Insights/Research/Journal-Article/Value-and-Momentum-Everywhere ### Code - We can ignore...
Found in found in inst/parsers. See [_About the AQR Data Library_](https://www.aqr.com/Insights/Datasets/About-the-AQR-Data-Library) for details, specifically: > It is important for users of the AQR data sets to understand that all data...
Create a Static Vignette. Save the vignette .Rmd file to the parser folder, and then follow the instructions referenced in issue #20. ## Paper & Data Link to [Journal of...
https://risk.edhec.edu/publications/improving-time-series-momentum-strategies-role-trading-signals-and-volatility
### Data Scattered about the AQR data page of their website. Go through, pull it together. ### Background: _[Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A...
## Paper & Data Link to [NBER paper _Commodities for the Long Run_](https://www.nber.org/papers/w22793) Parser for long run [commodity index data](https://github.com/JustinMShea/ExpectedReturns/blob/master/inst/parsers/Commodities-for-the-Long-Run.R) Parser containing long-term [equity index data](https://github.com/JustinMShea/ExpectedReturns/blob/master/inst/parsers/Shiller_CAPE.R) ## Figure(s) 1: Cumulative...
As this package relies heavily on FactorAnalytics, we will also help move their tests this framework as well. https://github.com/braverock/FactorAnalytics/issues/20
## Introduction This issue we will reproduce work from the following paper: Hou, Kewei, Haitao Mo, Chen Xue, and Lu Zhang, _**(2019), Which factors?**_ Review of Finance 23 (1), 1-35....
There are a number of advantages for hosting static vignettes in all packages, namely stability on build. For this project, static vignettes will solve a few of our issues (...