Data
Leverage Factor
From “Financial Intermediaries and the Cross-Section of Asset Returns” (with Adrian and Etula), Journal of Finance 2014
-
Original Leverage Factor Data (.xlsx)
Quarterly, 1968–2009. This is the exact data vintage used in the published paper.
-
Extended Leverage Factor Data (.csv)
Quarterly, 1968–2025. Contains two columns: (1) the original paper-vintage factor extended by appending new Flow of Funds observations, and (2) the factor recomputed using revised Flow of Funds data over the full sample. The two differ because FRED revised its historical broker-dealer series (gross vs. net repo treatment). Both columns are identical from 2016Q3 onward.
Volatility-Managed Factor Returns
From “Volatility-Managed Portfolios” (with Moreira), Journal of Finance 2017
-
Volatility-Managed Factor Returns (.csv)
Monthly, 1927–2026. Vol-managed and original returns for Mkt-RF, SMB, HML, RMW, CMA, and Momentum. Each month’s vol-managed return scales the factor by the inverse of the prior month’s realized variance (from daily returns), then rescales so the vol-managed factor has the same unconditional standard deviation as the original. RMW and CMA are blank before 1963 (data not available earlier). Underlying data from Kenneth French’s data library. Returns are in percent (e.g., 5.0 = 5%). Updated monthly.
Cost of External Finance
-
Cost of External Finance Series (.xlsx)
Annual, 1980–2014. From “Aggregate External Financing and Savings Waves” (with Eisfeldt), Journal of Monetary Economics 2016