• All in Python
• The SAS version is here EquityCharacteristicsSAS

Academic Background

For financial researches, we need equity characteristics. This repository is a toolkit to calculate asset characteristics in individual equity level and portfolio level.

Reference

Many papers contribute a lot to this repository. I am very sorry for only listing the following papers.

• Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks by DANIEL, GRINBLATT, TITMAN, WERMERS 1997 JF

• Benchmarks on Wermer's website

• Dissecting Anomalies with a Five-Factor Model by Fama and French 2015 RFS

  • Define the characteristics of a portfolio as the value-weight averages (market-cap weights) of the variables for the firms in the portfolio
  • French's Data Library

• The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns by Green Hand Zhang 2017 RFS

  • sas code from Green's website

• Replicating Anormalies by Hou Xue Zhang 2018 RFS

  • Anormaly Portfolios by Zhang's website

Prerequisite

• Read the listed papers
• WRDS account with subscription to CRSP, Compustat and IBES.
• SAS (I use SAS on WRDS Cloud)
• Python (I use Pandas to play with data)

Method

Equity Characteristics

This topic is summaried by Green Hand Zhang and Hou Xue Zhang.

Portfolio Characteristics

Portfolio charactaristics is the equal-weighted / value-weighted averge of the characteristics for all equities in the portfolio.

The portfolios includes and not limited to:

• Characteristics-sorted Portfolio, see the listed papers and also Deep Learning in Characteristics-Sorted Factor Models
• DGTW Benchmark, see DGTW 1997 JF
• Industry portfolio

Codes

• Calculate equity characteristics with SAS code, mainly refering to SAS code by Green Hand Zhang.
• Portfolio characteristics, mainly refering to WRDS Financial Ratios Suite and Variable Definition
• DGTW code refers to this python code or this SAS code

All comments are welcome.