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end of date variable is 202306 #82

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sehoff opened this issue Apr 12, 2022 · 2 comments
Open

end of date variable is 202306 #82

sehoff opened this issue Apr 12, 2022 · 2 comments
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documentation Improvements or additions to documentation enhancement New feature or request

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@sehoff
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sehoff commented Apr 12, 2022

after downloading the new version of the data and working with it, I noticed that the date variable (yyyymm) ends in 202306. You report an accounting lag of 6(?) month, so how can I look at the difference of 18 month?
I am wondering because using the file "dl_signals_add_crsp.R" , CRSP's yyyymm ends in 202112, which means that there is missing return data for yyymm>202112. I just want to check whether this creates a problem in the final dataset (signed_predictors_dl_wide.csv), or if it is sufficient to drop all rows that have missing return data, i.e., at least those with date > 202112.

@chenandrewy
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I believe the answer to your question is here: https://www.openassetpricing.com/faq/#q-future

@sehoff
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sehoff commented Apr 12, 2022

yes, perfect! Thanks. To avoid confusion, I would suggest to then just drop all dates that are bigger than the end date of the latest release

@tomz23 tomz23 added the enhancement New feature or request label Mar 24, 2023
@tomz23 tomz23 added the documentation Improvements or additions to documentation label Aug 5, 2024
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