Updated readme to align with new code

Author: tomz23

README.md

@@ -1,41 +1,75 @@
 # Open source cross sectional asset pricing
 
 This repo accompanies our paper:
-[Chen and Zimmermann (2020), "Open source cross-sectional asset pricing"](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3604626)
+[Chen and Zimmermann (2021), "Open source cross-sectional asset pricing"](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3604626)
 
-If you use data or code based on our work, please cite the paper: [Bibtex entry](https://drive.google.com/open?id=1eP-Tuvmcbs5A7073d_9g2wQbvitqfdPz)
+If you use data or code based on our work, please cite the paper: 
+
+~~~
+@unpublished{ChenZimmermann2021,
+author = "Chen, Andrew Y. and Tom Zimmermann",
+title = "Open Source Cross Sectional Asset Pricing",
+note = "available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3604626",
+year = 2021
+}
+~~~
+
+
+----
 
 ## Data
 
 If you are mostly interested in working with the data, we provide benchmark signal and portfolio returns in separate files for direct download. 
 
-You can access the benchmark data [here](https://drive.google.com/open?id=1oeX3PVd5KxKqnQuVuPdRwORrqyt1WnJo).
+You can access the benchmark data [here](https://sites.google.com/site/chenandrewy/open-source-ap). Please see the [data documentation](https://drive.google.com/file/d/1adFWMGcXEzF2Jls3qTtqb1fmXUTsRBr1/view?usp=sharing) for a description of individual files that are available.
 
-The folder contains 4 files
+For reference to individual signals, their acronyms and construction please see the [online appendix to our paper](https://drive.google.com/open?id=1vXRzjxYucXZV-tgLxM26fvRZ5zKvlBXH) and the file `SignalDocumentation.xls` that is part of this repo.
 
-- Portfolio Returns Benchmark Signals: portbase.zip
-- Portfolio Returns Additional Signals: portadditional.zip
-- Firm-level benchmark signals: signalbase.zip
-- Firm-level additional signals: signaladditional.zip
+----
 
-For reference to individual signals, their acronyms and construction please see the [online appendix to our paper](https://drive.google.com/open?id=1vXRzjxYucXZV-tgLxM26fvRZ5zKvlBXH) and the file **SignalDocumentation.xls** that is part of this repo.
+## Code 
 
+The code is separated into two parts:
 
-## Code 
+1. **Signals**: Contains code to produce stock-level signals
+2. **Portfolios** Contains code to produce portfolio returns
+
+You can download the individual signals that are outputs of the **Signals** part of the code from the data repository above and start from the **Portfolios** part if you like.
+
+### 1. Signals
+
+The **Signals code** provides scripts for `DataDownloads`, `Predictors` and `Placebos`. The `master.do` file runs all files but you will need to set paths pointing to your project folder, your R installation and your WRDS connection (see below).
+
+*Optional (i.e. code is modular and will work even if you do not do that)*: To construct signals that rely on IBES, 13F, TAQ or OptionMetrics data run the SAS scripts in `PrepScripts` on the WRDS server. See the [WRDS instructions](https://wrds-www.wharton.upenn.edu/pages/support/programming-wrds/programming-sas/) for different ways to run these scripts on the WRDS server. Copy the output of those scripts to `Signals/Data/Prep`. Code to construct trading costs from TAQ data is provided separately and can be downloaded [here](https://drive.google.com/open?id=1W256-g-RxqOZBjNtkSJuuWXUqHZEYHsM).
 
-The code is separated into different files that download and prepare the data, and construct signals and portfolios. Please see the file **runEverything.txt** to get an overview of how the entire code can be run. The current code does some parts in R and some in Stata, so you will need both to run everything.
+*See **Data access** part of the readme below for some data access steps that you need to complete before you can run the code.*
 
-Code to construct trading costs from TAQ data is provided separately and can be downloaded [here](https://drive.google.com/open?id=1W256-g-RxqOZBjNtkSJuuWXUqHZEYHsM).
 
+### 2. Portfolios
+
+The _Portfolios_ code constructs portfolio returns from the signal files. The `master.R` can serve as a reference as to the order in which files should run. You need to set the project folder (same as for the Stata code) in `00_SettingsAndTools.R` for everything to work.
+
+---- 
 ## Data access
 
+### 1. Wharton Research Data Services 
+
 To download raw data from the original sources, you will need access to WRDS. At a minimum, you will need access to the following databases:
 
 - CRSP
 - Compustat
 - IBES
 
-WRDS provides [instructions for setting up WRDS to work via RStudio on your computer](https://wrds-www.wharton.upenn.edu/pages/support/programming-wrds/programming-r/r-from-your-computer/)
+To run the download scripts, you will need to install an ODBC driver and have a working Stata version. [WRDS provides instructions for setting up WRDS to work via Stata on your computer.](https://wrds-www.wharton.upenn.edu/pages/support/programming-wrds/programming-stata/stata-from-your-computer/)
+
+A few R scripts download CRSP data directly. WRDS provides [instructions for setting up WRDS to work via RStudio on your computer](https://wrds-www.wharton.upenn.edu/pages/support/programming-wrds/programming-r/r-from-your-computer/)
+
+
+### 2. FRED
+
+To download macroeconomic data required for some signals, you will need to [request an API key from FRED](https://research.stlouisfed.org/docs/api/api_key.html). Before you run the download scripts, you need to save your API key in Stata (either via the context menu or via `set fredkey`).
+
+----
 
 ## Contribute