anomalies

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Research Data and Replication Files (Expected Returns of Anomalies)

Creators: Andrew Y. Chen
Publication Date: October 2024
Creators: Andrew Y. Chen

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.

Open Asset Pricing – Comprehensive Anomaly Returns Database

Creators: Andrew Y. Chen and Tom Zimmermann
Publication Date: 2025
Creators: Andrew Y. Chen and Tom Zimmermann

Open Asset Pricing is a comprehensive open-source database of anomaly returns covering hundreds of published asset pricing anomalies, providing standardised factor returns, portfolio sorts, and replication data. It is one of the most extensive publicly available resources for empirical asset pricing research.

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