In this video, we will give you an introduction to the Center for Research in Security Prices (CRSP) stock market database. This database is the go-to database for empirical research on the U.S. stock market.
The video covers security identifiers, main variables of interest (e.g., prices, returns, trading volume), and the data selection and download.
Potential pitfalls in the data processing are discussed.

In this video, we will cover calendar-time portfolios, a commonly used tool in empirical asset pricing research.
The video discusses the steps of constructing calendar-time portfolios: the portfolio formation process and the computation of (risk-adjusted) holding period returns.
This video is an introduction to calendar-time portfolios but does not show an application. For an application, please look at the subsequent video below.

In this video, we will replicate the calendar-time portfolio analysis from Ang et al. (2006) about the relation of idiosyncratic volatility and stock returns.
We will take you step by step through the Stata code for replicating Table VI of the Ang et al. (2006) paper.
This video focusses on the calendar-time portfolio analysis. It does not cover the estimation of idiosyncratic volatility.
The estimation will be covered in a future video.

In this video, we will discuss how to estimate idiosyncratic volatility. More specifically, we will follow the approach of Ang et al. (2006) and estimate idiosyncratic volatility using daily stock returns and the Fama and French (1993) 3-factor model.
This video focusses on the estimation of idiosyncratic volatility but does not include the portfolio sort analysis of Ang et al. (2006). For the portfolio sort, please see the previous video above.