The SEC's EDGAR log file data set is a collection of web server log files that allow researchers to study the demand for SEC filings. This multiple terabyte data set provides researchers with a direct measure of demand for financial reports, but the log files must be filtered to remove downloads...

This paper describes an effort to extend the record of US stock market returns past the 1871 terminus of the Cowles (1938) data familiar from Schiller (2015). I combined the archival data supplied by Goetzmann, Ibbotson and Peng (2001) with data supplied by Sylla, Wilson and Wright (2006), and...

We provide data and code that successfully reproduces nearly all cross-sectional stock return predictors. Unlike most metastudies, we carefully examine the original papers to determine whether our predictability tests should produce t-stats above 1.96. For the 180 predictors that were clearly...

We provide data and code that successfully reproduces nearly all crosssectional stock return predictors. Unlike most metastudies, we carefully examine the original papers to determine whether our predictability tests should produce t-stats above 1.96. For the 180 predictors that were clearly...

We provide data and code that successfully reproduces nearly all crosssectional stock return predictors. Our 319 characteristics draw from previous meta-studies, but we differ by comparing our t-stats to the original papers' results. For the 161 characteristics that were clearly significant in...