Replication Crisis?

This page is about how you can download the ‘characteristics’ used to calculate the “factors” in Is There a Replication Crisis in Finance?  by Jensen, Kelly and Pedersen (2023).

  • To download the factors themself, check this web-page.
  • For a documentation of the ‘characteristics’, see the documentation-link at the web-page above.

Downloading the Characteristics from WRDS

Fortunately, the authors (“JKP” = Theis Ingerslev Jensen, Bryan Kelly, and Lasse Heje Pedersen) provide the characteristics via WRDS. They are provided in two ways:

  • Using a web-interface for generating queries
  • An API-option, using various computer languages (SAS, Python, R, MATLAB, and Stata).

The web-interface possibility should be familiar to WRDS-users and will not be dealt with here.

For the API-option, WRDS offer an integrated cloud-based solution for SAS (SAS-Studio), Python (Jupyter), and R (R-Studio). In addition, WRDS offer a possibility to query the WRDS-database from a local computer using the API. At the web-page mentioned above, the authors provide a description of how to use a local R-installation to download data. Below this possibility is illustrated using Python (Jupyter-style editor) instead.

Connecting to WRDS

Looking around at WRDS

SQL 101

Getting the Characteristics

Copy-ready lists