If you use the data, please cite our paper:

  Chen, A.Y. and Zimmermann, T. (2022). Open Source Cross-Sectional
  Asset Pricing. Critical Finance Review, 27(2), 207–264.

A BibTeX entry for LaTeX users is

  @Article{,
    title = {Open Source Cross-Sectional Asset Pricing},
    author = {Andrew Y. Chen and Tom Zimmermann},
    journal = {Critical Finance Review},
    year = {2022},
    volume = {27},
    number = {2},
    pages = {207--264},
  }