"Theis' Data"
Is There a Replication Crisis in Finance? by Jensen, Kelly and Pedersen (2023) is based on the code in this GitHub Repository. As you can see described, you can replicate the calculations of the paper by running two sets of self-contained code-components: GlobalFactors and Analysis. Moreover, the GlobalFactors-component is divided into two separate components:
How to Generate Global Stock Returns and Stock Characteristics
- How to Generate Global Factor Returns
The first part (Global Stock Returns and Stock Characteristics) takes 24-48 hours to calculate. And there are hardly any settings of much interest to choose for the calculations. So, you might save some time and energy and download the output files from this Dropbox folder. The content is that of the folder output described at GitHub.
Note the link for a detailed documentation of the data sets provided by the authors. Hej