Data is the key in any empirical research project! Unfortunately, good quality financial data are expensive and hence, inaccessible for many researchers and practitioners. However, some data are free and of good quality. We provide a collection of links which might be useful for researchers in finance. One warning here, before working with your data always check the data thoroughly:

Factor related data

Kenneth French’s website provides data on classical equity factors (long-short), long only portfolios and sectors:

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

AQR publishes data on Betting-Against-Beta and Quality-Minus-Junk (+ traditional factors):

https://www.aqr.com/library/data-sets
 

General Economics and Finance data

Quandl. Excellent data search engine. Nicely accessible via various APIs (Excel, Matlab, R, Python etc.):

https://www.quandl.com/

Yahoo finance offers a data set of asset prices:

http://finance.yahoo.com/

The Federal Reserve of St.Louis (FRED) Economic Dataset is probably the best available (public) data source for economic data. It has a nice Excel Add-In, however, most data are also accessible via quandl:

http://research.stlouisfed.org/fred2/

Despite the importance of bond markets, high quality data are rarely available. One way to address this problem is to employ Svensson parameters, which are estimated by two central banks. These estimates can be used to reconstruct an approximated historical yield curve on daily basis:

http://www.bundesbank.de/Navigation/EN/Statistics/Time_series_databases/...

http://www.federalreserve.gov/econresdata/researchdata/feds200628.xls