A new chapter in asset pricing research begins: the Common Task Framework (CTF) is now open for submissions. Ready to compete? Submit your model, see...
This website is based on the article “Is There a Replication Crisis in Finance?” (Jensen, Kelly, and Pedersen, Journal of Finance 2023). This paper constructs 153 characteristics/factors clustered into 13 themes (see cluster diagram here ) in 93 countries. This website provides access to the data and a number of other resources. Please site our paper if you are using this data. You can access the BibTex here.Copied!
News
We're excited to announce a major milestone: the JKP Factors codebase has been fully migrated from SAS and R to Python! Modular architecture: Cleaner...
This is the discussion forum for the jkp-data repository, which generates the global factor returns, stock returns, and firm characteristics from "Is...
The content of this website is updated regularly as new data becomes available. The latest update includes data through December 2024.
Missing Your Favorite Factor?
We're always looking to expand our factor library. Whether you're a researcher with a paper reference or a developer ready to contribute code, we'd love to hear from you.
For researchers: Request a factor: tell us the paper and we'll add it when we can
For developers: Contribute Python code following the JKP format