Data

Global Factors

Corporate Bond Factors: Replication Failures and a New Framework, Jens Dick-Nielsen, Peter Feldhütter, Lasse Heje Pedersen, and Christian Stolborg.

Data on corporate bond factors

Is There a Replication Crisis in Finance? Theis Ingerslev Jensen, Bryan Kelly, and Lasse Heje Pedersen, The Journal of Finance (2023), 78(5), 2465-2518.

Updated global equity factor returns available using an easy drop-down menu, link to stock-level data on WRDS, replication code, and documentation

Responsible Investing: The ESG-Efficient Frontier, Lasse Heje Pedersen, Shaun Fitzgibbons, and Lukasz Pomorski (2021), Journal of Financial Economics 142 (2), 572-597

E, S, G, and ESG portfolios and long-short factors 

Value and Momentum Everywhere, Cliff Asness, Tobias Moskowitz, and Lasse Heje Pedersen (2013), The Journal of Finance 68(3), 929-985.

Original VME factors 

48 original value and momentum sorted portfolios across markets and asset classes

Updated VME factors and portfolios

Time Series Momentum, Tobias Moskowitz, Yao Hua Ooi, and Lasse Heje Pedersen (2012), Journal of Financial Economics 104(2), 228-250. Lead paper 

TSMOM factors

Updated TSMOM factors

Betting Against Beta, Andrea Frazzini and Lasse Heje Pedersen (2014), Journal of Financial Economics 111(1), 1-25. 

Original BAB factors

Updated BAB factors

Quality Minus Junk, Cliff Asness, Andrea Frazzini, and Lasse Heje Pedersen (2012).

Original and updated QMJ factors

Carry,  Ralph Koijen, Tobias Moskowitz, Lasse H. Pedersen, and Evert Vrugt (2018), Journal of Financial Economics, 127 (2), 197-225. Lead paper

CARRY factors: original and updated, from Ralph Koijen's data page