Research Data and Replication Files (Expected Returns of Anomalies)
Creators:
Andrew Y. Chen
Publication Date:
October 2024
Data Category:
Dataset Description:
This Google Sites page provides research data and replication files from Andrew Y. Chen's work on asset pricing anomalies, including data used in the study "Zeroing In on the Expected Returns of Anomalies" (Chen & Velikov, 2023, Journal of Financial and Quantitative Analysis). It includes factor return and anomaly data used to evaluate the expected returns of documented stock market anomalies after accounting for transaction costs and publication bias.
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