Please cite Haddad, Kozak, Santosh (2020) Factor Timing and Giglio, Kelly, Kozak (2020) "Equity Term Structures without Dividend Strips Data" if you use these data.

File naming convention:

ret10_ANOM.csv: value-weighted returns on each of the p1-p10 portfolios for an anomaly ANOM
n10_ANOM.csv: number of firms in each portfolio
bmc10_ANOM.csv: book-to-market ratios of portfolios
totalme10_ANOM.csv: total market capitalization of each portfolio

Variable description:

date: current date
p1-p10: corresponding variables for each of the p1 (short) -- p10 (long) portfolios

