Research | Lucie Y. Lu


FactSet Holdings and Ownership

Aggregates FactSet 13F and Fund holdings at the institution level a la Ferreira and Matos (2008, JFE) calculates portfolio characteristics, security-level and firm-level ownership.

Sustainalytics via Morningstar

Python code that downloads Sustainalytics ESG rating via Morningstar Direct Excel Add-on.

Global individual stock data retrieval Datastream

Python code that filters Datastream global equity universe following Griffin, Kelly and Nardari (RFS, 2010) and Chaieb, Langlois and Scaillet (JFE, 2021) and automatically updates DFO request tables.

Individual stock returns Compustat Global

SAS code that generates monthly USD returns of individual stocks in the Compustat Global universe. Filters and data cleaning procedure follow Chaieb Langlois and Scaillet (JFE, 2021).