crsp

Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud

Sample SAS programs that process WRDS data and facilitate econometric analysis

Data matching for corporate governance research

A python script to create a mapping table between I/B/E/S and Compustat

This GitHub repository shows data collection and analysis for “Regulatory Fragmentation” paper by Kalmenovitz, Lowry and Volkova, The Journal of Finance (Forthcoming)

Fuzzy match entity names (primarily persons and companies) across databases

US-equity quantitative research, backtest and paper-trading system (codename Plutus).

Pipeline dealing with WRDS (Wharton Research Data Services) datasets including crsp, master, etc, in order to build mega-database for scaling in Market Microstructure research

Replication code for "Industry factor structure: Beta estimation and cross-sectional returns" (Woo & Kim, 2026)

Classify CRSP-style delisting reasons from SEC EDGAR for quant pipelines

End-to-End Python implementation of Mo et al.'s (2025) ACT-Tensor methodology; a tensor completion framework for financial dataset imputation. Implements cluster-based CP decomposition, HOSVD factor extraction, temporal smoothing (CMA/EMA/Kalman), and downstream asset pricing evaluation. Transforms sparse data into dense machine readable data.

Stock Factor Data

Point-in-time insider filing de-noising, ML scoring, and cross-sectional return tests.

Idiosyncratic volatility and abnormal returns during VIX spike events empirical study using a survivorship-bias-free CRSP universe (2005–2024)

Rolling-window XGBoost cross-sectional return prediction for US equities (1995-2024). Out-of-sample annualized Sharpe 1.03, monthly CAPM alpha +2.19% (t=6.08), market beta -0.43 over 300 months (2000-2024).

按决策难度匹配 Agent 介入方式的智能数据准备系统 | Intelligent Data Preparation Agent

Testing stock return predictability using lagged dividend-price ratio (Cochrane / Goyal-Welch) on CRSP annual and monthly data (1927-2024). 5-year R² of 8.41%. VCU FIRE 691.

Time-series analysis of stock returns: autocorrelation, ARIMA, SARIMA, Holt-Winters forecasting, and out-of-sample R² evaluation on CRSP monthly data. VCU FIRE 691.

Empirical analysis of ESG performance and financial returns using CRSP, Compustat, and Refinitiv data. Panel of 18K+ U.S. firm-years (2013–2023). Covers multi-database merging, OLS/panel regressions with fixed effects, and industry-level double materiality classification. Python · pandas · statsmodels · WRDS

Point-in-time asset-pricing pipeline linking Compustat geographic segments to macro states, CRSP returns, and leakage-aware ML diagnostics.