China-A-Sort

Download Data

1. Value-Weighted Sorted Portfolios

   • univariate-sorted long-short factor
   • univariate-sorted portfolios
   • bivariate-sorted portfolios

2. Equal-Weighted Sorted Portfolios

   • univariate-sorted long-short factor
   • univariate-sorted portfolios
   • bivariate-sorted portfolios

Logics

1. Calculate the China A-Share characteristics and returns

   • see: https://github.com/Quantactix/ChinaAShareEquityCharacteristics

2. Use this repo to calculate sorted portfolios returns and long-short factors

   • see: https://github.com/xinhe97/SortCS

3. Results are in folders, where include bivariate sorted returns, univariate sorted returns, and univariate sorted factors.

   • data/output/sorted_portfolio_vw
   • data/output/sorted_portfolio_ew

Execution

$ cd code
$ sh run.sh

notes:

- Assume linux user.
- Go to the folder `code` and then run the commanda `sh run.sh`

Caveate

This repo provides code for your reference, which is only for academic purposes and is not for commercial use. This repo does not disclose any confidential data or proprietary data. Specifically, this repo does not share the source data or intermediary data. Researcher can use open-source web crawler, or commercial data vendor, e.g. CSMAR, Wind, WRDS, for the input data.

Contact

The contributers are open to any academic discussion and collaboration.

Xin He

xinhe9701@gmail.com

https://www.xinhesean.com