This contains the code for computing arbitrage portfolios as in the paper
- https://academic.oup.com/rfs/advance-article-abstract/doi/10.1093/rfs/hhaa102/5902462
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3263001
with Soohun Kim and Robert Korajczyk.
In the data, all the characteristics are already lagged by one period.
The data provided here is a small version due to the limits on Github. If you are an academic and would like to have the full data set, please contact us.