| # Data access |
|
|
| Raw data are not in the repository (`data/raw*/` is git-ignored). Everything needed to |
| rebuild them is public. |
|
|
| ## JKP global factor returns |
|
|
| Jensen, Kelly and Pedersen (2023), https://jkpfactors.com → Data → Factor Returns. |
| Selection: **All Countries**, **All 153 Factors**, **Monthly**, and a weighting. The site |
| serves each selection as one zip from `https://jkpfactors-data.s3.amazonaws.com/public/`: |
|
|
| | Directory | File | Weighting | Used for | |
| |---|---|---|---| |
| | `data/raw/` | `[all_countries]_[all_factors]_[monthly]_[vw_cap].zip` | capped value-weighted | baseline | |
| | `data/raw_ew/` | `[all_countries]_[all_factors]_[monthly]_[ew].zip` | equal-weighted | robustness | |
| | `data/raw_vw/` | `[all_countries]_[all_factors]_[monthly]_[vw].zip` | value-weighted | robustness | |
|
|
| Files used for the current results were downloaded on 2026-09-29 (S3 last-modified |
| 2026-08-04; about 45 MB each; data through 2025-12). Columns: `location, name, freq, |
| weighting, direction, n_stocks, n_stocks_min, date, ret`; returns are decimals. |
| |
| **Licence.** The site distributes the data under CC BY-NC 4.0. Cite Jensen, Kelly and |
| Pedersen (2023, *Journal of Finance*); do not redistribute the raw files. The |
| repository only holds aggregated results derived from them. |
| |
| ## U.S. state variables (extension) |
| |
| `data/raw_macro/`: FRED series saved as downloaded from |
| `https://fred.stlouisfed.org/graph/fredgraph.csv?id=<SERIES>` on 2026-09-30 — |
| `VIXCLS` (from 1990), `T10Y3M` (from 1982), `TWEXBMTH` (broad dollar index, monthly, |
| 1973–2019, discontinued) and `DTWEXBGS` (broad dollar index, daily, from 2006). |
| `emft.data.load_macro` documents the transformations and the 2006-01 splice. |
|
|
| ## Market classification |
|
|
| `config/markets.yaml` (current MSCI classification) and `config/market_history.yaml` |
| (dated MSCI reclassifications, each with its source). MSCI's own list, "Previous Market Reclassifications.xlsx" |
| (downloaded 2026-09-30 into `data/raw_msci/`), was used to cross-check the events. |
|
|
