Open Source Asset Pricing w/Andrew Chen now forthcoming at the Critical Finance Review! New dedicated data page here: openassetpricing.com

On Monday, I'll present new work at Brookings Econ on the limits of SEC disclosure regulation in the muni private debt market. Paper here, joint with Tom Zimmermann & Nathan Heinrich: brookings.edu/wp-content/upl… We have three main findings...

I'll be talking about multiple testing statistics @ the CFR seminar on Thursday 7/15, 10-11:30 am DC time. Wanna know where Cam Harvey's t-stat > 3.0 hurdle comes from? We'll do it step by step. Slides: tinyurl.com/3kjmxx6a Registration (Zoom): uni.koeln/KHB94

Cleanly identified effects of banking competition, great work!

Economists find underreporting of municipalities' private debt obligations bondbuyer.com/news/economist… Tom Zimmermann Nathan Heinrich

Simplify? Stadt Köln

Finance/Economics Academics, which software package do you use for empirical work?

Interesting! Would be great to see this at different points in time (my prior is it's mostly SAS ↓, R and Stata ↑. Python?).

My chair is looking for a Ph.D. student in Finance (4-years contract, fully funded) starting in March 2022. Are you interested to empirically work on mutual funds and hedge funds? I am looking forward to your application. Find the announcement here: unine.ch/iaf

“We continue to think that disclosure is an important area to help provide some guidance,” the SEC's Ernesto Lanza said. trib.al/TAxicA3

The annual update of the Chen-Tom Zimmermann cross-sectional anomalies data will be up soon! Returns through the end of 2021, two new predictors from recent papers, Fama-French-style 2x3 portfolios, and fixes to minor bugs: all coming circa end-of-March at openassetpricing.com!

Come join our new MA program in Business Analytics and Econometrics at Cologne! youtube.com/watch?v=AtYgR6… Looking forward to teaching with Mona Mensmann and Markus Weinmann

2/5 Our docs trace every anomaly to the relevant table in the original study. This let us show that our reproduced t-stats match the originals _quantitatively_. No other large anomalies dataset does this, to my knowledge. github.com/OpenSourceAP/C…

4/5 Despite the patches, the new data is almost identical to the April 2021 release. Regressing new returns on old returns gets an Rsq > 99% ~90% of the time. Of course, the standard summary stats are basically unchanged.

We just released the 2022 version of openassetpricing.com with updated returns through 2021, two new predictors and alternative 2x3 Fama-French style portfolio sorts. Take a look!

Honored to receive Universität zu Köln 's future prize this year!

The August 2023 release of openassetpricing.com/data/ is live! Tom Zimmermann + I provide signals and returns for 212 published cross-sectional return predictors through Dec 2022. This year we added five option-based predictors from Bali-Hovakimian 2009 and An-Ang-Bali-Cakici 2014🧵