Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud
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Feb 9, 2023 - Python
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crsp
Here are 9 public repositories matching this topic...
Data matching for corporate governance research
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Apr 23, 2024 - SAS
This GitHub repository shows data collection and analysis for “Regulatory Fragmentation” paper by Kalmenovitz, Lowry and Volkova, The Journal of Finance (Forthcoming)
finance regulation governance academic-paper sec-edgar corporate-finance cfr crsp compustat federal-register regulations-gov rulemaking governance-as-code ssrn regulatory-data journal-of-finance legal-data
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Oct 25, 2023 - HTML
Fuzzy match entity names (primarily persons and companies) across databases
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Mar 12, 2024 - Python
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
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Aug 2, 2019 - Python
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.
python machine-learning reproducible-research clustering quantitative-finance financial-data kalman-filter asset-pricing tensor-decomposition tensor-completion factor-models cp-decomposition time-series-analysis portfolio-analysis crsp compustat multilinear-algebra empirical-finance missing-data-imputation research-replication
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Oct 20, 2025 - Jupyter Notebook
Minimal PEAD (post-earnings announcement drift) backtest using Wharton Research Data Services (IBES + CRSP) — Python pipeline for research & plots.
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Sep 4, 2025 - Python
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