We sometimes get questions like:
- For monthly predictors like MaxRet, should we apply a one-month lag to forecast returns?
- 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.
We sometimes get questions like:
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.