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Kelly and Pruitt 2013 Replication - Home
  • Market Expectations in the Cross-Section of Present Values

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  • Kelly & Pruitt (2013): Summary Statistics and Replication Walkthrough

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  • Dataframe: P01:ccm_link - CRSP-Compustat Link Table
  • Dataframe: P01:compustat - Compustat Fundamentals
  • Dataframe: P01:crsp_market_returns - CRSP Market Returns
  • Dataframe: P01:crsp_monthly_stock - CRSP Monthly Stock Data
  • Dataframe: P01:ken_french_25_portfolios - 25 Portfolios (5x5 Size x BM)
  • Dataframe: P01:ken_french_ff_factors - Fama-French Research Factors

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  • Market Returns (1)

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  • CRSP
  • Compustat
  • Kenneth French Data Library

Posts in Crsp

Chart: CRSP Market Returns

  • 05 March 2026
  • Market Returns , Crsp
  • CRSP

Cumulative value-weighted market returns from CRSP

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By Zara and Dylan

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