My entire data repository at Erasmus University Rotterdam can be found here.

Other interesting data for finance research can be found from the data sets page at Robeco.

Data of the output of the monthly returns on the global market portfolio of my working paper “The Risk and Reward of Investing”

Annually updated data for the global market portfolio based on Doeswijk, Lam, and Swinkels (2014) The Global Multi-Asset Market Portfolio, 1959–2012. Financial Analysts Journal 70(2), 26-41.

Data at the monthly frequency for government bonds for US going back to 1947, Germany (1972), Japan (1974), Australia (1969), France (1987), Canada (1986), UK (1970), Norway (1921), and Sweden (1920); methodology explained in Swinkels (2019) Treasury Bond Return Data Starting in 1962, Data 4(3), 91.

Data on the annual returns of the global multi-asset market portfolio of Doeswijk, Lam, and Swinkels (2020) Historical returns of the market portfolio, Review of Asset Pricing Studies 10(3), 521-567. (SSRN)

Data of the output of the monthly returns of the global factor premiums of Baltussen, Swinkels, and Van Vliet (2021) Global factor premiums, Journal of Financial Economics 142(3), 1128-1154. (SSRN)

Data on factors for the Chinese A-share market used to generate the empirical results of Hanauer, Jansen, Swinkels, and Zhou (2024) Factor models for Chinese A-shares, International Review of Financial Analysis 91, 102975. (SSRN)

Data of the public blockchain of the carbon exchange used to generate the empirical results of Swinkels (2024) Trading carbon credit tokens on the blockchain, International Review of Economics and Finance 91, 720-733. (SSRN)

Data of the portfolio return anomalies described and analyzed in more detail in Jansen, Swinkels, and Zhou (2021) Anomalies in the China A-share market, Pacific Basin Finance Journal 68, 101607. (SSRN)