Skip to content

Improve data documentation regarding timing #159

@chenandrewy

Description

@chenandrewy

We sometimes get questions like:

  1. For monthly predictors like MaxRet, should we apply a one-month lag to forecast returns?
  2. For predictors based on Compustat Annual data, are these variables already lagged? For example, is gross profitability (GP) from July of year t to June of year t+1 measured using the prior fiscal year ending in t-1?

We should answer these more clearly. At a minimum, I think this means putting this timing in the Release Notes docx files (under the Directory heading, where all the files are listed). But I think we should also add the timing discussion to the FAQs both on Github and on the data page.

Metadata

Metadata

Assignees

No one assigned

    Labels

    documentationImprovements or additions to documentation

    Projects

    No projects

    Milestone

    No milestone

    Relationships

    None yet

    Development

    No branches or pull requests

    Issue actions