code and data for the paper "In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models"

This replication package contains the data and code for the paper "In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models." The file README.pdf provides detailed information of the data and the programs used to generate the tables and figures in the paper. The folder "Data" contains the external data that are used to generate the tables. The folder "Tables" contains the Matlab datasets, programs, and functions to generate the tables in the paper. The folder "Figures" contains the Matlab programs and functions to generate the figures in the paper.