date // DateMonth-end Trading Date
Last trading date in month — panel time index
| dataset | crsp_msf · CRSP Monthly Stock File |
| type | identifier |
| role | control |
| data file | msf |
| keywords | datemonthtime |
| dataset | variable | label | type |
|---|---|---|---|
| compustat_na | datadate | Data Date | identifier |
| fred_macro | DATE | 日期 | identifier |
| wind_financial_terminal | trade_dt | 交易日期 | identifier |
| Size effect on monthly returns | control |
| Cross-sectional momentum (Jegadeesh-Titman) | control |