Data and Code

 
  • For all papers accepted on or after 7/1/2021, but submitted before 7/1/2021, if data and code are available, there is a link on the ScienceDirect entry, with some exceptions, which are posted below.

  • For all papers originally submitted on or after 7/1/2021, code and (nonproprietary) data are mandatory, and there is a link on the ScienceDirect entry. Some articles originally submitted on or after 7/1/2021 do not have links on ScienceDirect. In those cases, the links are posted below.

  • For all papers accepted and submitted before 7/1/2021, if data and code are available, the paper is listed below. All of this material was maintained on local storage before 7/1/2021, so no links are available below. If you want the files, please email jfinancialeconomics@gmail.com, with the name of the paper and the name(s) of the files.

 

Data and Code for Papers Originally Submitted after 7/1/2021

(for those papers without direct links on ScienceDirect)

 

Benzoni, Luca, Lorenzo Garlappi, Robert S. Goldstein, and Chao Ying, "Debt Dynamics with Fixed Issuance Costs," Volume 146, Issue 2; November 2022, Pages 385-402

(https://www.sciencedirect.com/science/article/pii/S0304405X22001519)

(https://doi.org/10.17632/jcrg6zdtx8.1)

 

Chen, Sophia and Do Lee, “Small and Vulnerable:  SME Productivity in the Great Productivity

Slowdown,” Volume 147, Issue 1; January 2023, Pages 49-74

(https://www.sciencedirect.com/science/article/pii/S0304405X22002057)

(https://doi.org/10.17632/49wv286my4.1 )

 

Cohn, Jonathan B., Zack Liu, and Malcolm Wardlaw, "Count (and Count-Like) Data in Finance,"

Volume 146, Issue 2; November 2022, Pages 529-551

(https://www.sciencedirect.com/science/article/pii/S0304405X2200174X)

(https://doi.org/10.17632/nc37vsf2bp.1)

 

Colonnelli, Emanuele,  Spyridon Lagaras, Jacopo Ponticelli, Mounu Prem, and Margarita Tsoutsoura,

"Revealing Corruption: Firm and Worker Level Evidence from Brazil,” Volume 143, Issue 3; March 2022, Pages 1097-1119

(https://www.sciencedirect.com/science/article/pii/S0304405X21005419)

(https://doi.org/10.17632/grm2m676m5.1)

 

DeFusco, Anthony A., Huan Tang and Constantine Yannelis, "Measuring the Welfare Cost of Asymmetric Information in Consumer Credit Markets," Volume 146, Issue 3; December 2022, Pages 821-840

((https://www.sciencedirect.com/science/article/pii/S0304405X22001866)

(https://doi.org/10.17632/v6pwmbmbrb.1)

 

Eaton, Gregory W., T. Clifton Green, Brian S. Roseman, and Yanbin Wu, "Retail Trader Sophistication and Stock Market Quality: Evidence from Brokerage Outages," Volume 146, Issue 2; November 2022, Pages 502-528

(https://www.sciencedirect.com/science/article/pii/S0304405X22001726)

(https://doi.org/10.17632/5mjd8kbvbd.1)

 

Engle, Robert F. and Susana Campos-Martins, "What are the Events that Shake Our World? Measuring and Hedging Global COVOL,” Volume 147, Issue 1; January 2023, Pages 221-242

(https://www.sciencedirect.com/science/article/pii/S0304405X22002070)

(https://doi.org/10.17632/vf729mpgct.1)

 

Jiang, Zhengyang and Robert J. Richmond, "Origins of International Factor Structures,"

Volume 147, Issue 1, January 2023, Pages 1-26

(https://www.sciencedirect.com/science/article/pii/S0304405X22002082)

(https://doi.org/10.17632/zhrfjfzf39.1

 

Knesl, Jiri, "Automation and the Displacement of Labor by Capital: Asset Pricing Theory and Empirical Evidence," Volume 147, Issue 2; February 2023, Pages 271-296

(https://www.sciencedirect.com/science/article/pii/S0304405X2200229X)

(https://doi.org/10.17632/by8r2znnpt.1)

 

Pastor, Lubos, Robert F. Stambaugh, and Lucian A. Taylor, "Dissecting Green Returns,"

Volume 146, Issue 2; November 2022, Pages 403-424

(https://www.sciencedirect.com/science/article/pii/S0304405X22001672)

(https://doi.org/10.17632/dnskbdnmsz.1)

 

Ranaldo, Angelo and Paolo Santucci de Magistris, "Liquidity in the Global Currency Market,"

Volume 146, Issue 3; December 2022, Pages 859-883

(https://www.sciencedirect.com/science/article/pii/S0304405X22001891)

(https://doi.org/10.17632/6wg66rd9tw.1)

 

Schmeling, Mark, Andreas Schrimpf, and Sigurd A.M. Steffensen, "Monetary Policy Expectation Errors,"

Volume 146, Issue 3; December 2022, Pages 841-858

(https://www.sciencedirect.com/science/article/pii/S0304405X22001908)

(https://doi.org/10.17632/w3cbnh3xdf)

 

 

 

 

 

Data and Code for Papers Accepted and Submitted Before 7/1/2021

Claessens, Stijn, Djankov, Simeon, and Lang, Larry H.P. , The separation of ownership and control in East Asian corporations
Volume 58, Issue 1-2, October 2000, page 81-112

  • Excel spreadsheet "Claessens_Djankov_Lang_Data.XLS" Claessens_Djankov_Lang_Data.XLS
  • Excel spreadsheet "Claessens_Djankov_Lang_Data.zip" Claessens_Djankov_Lang_Data.ZIP [ZIP]

Welch, Ivo, Herding among security analysts
Volume 58, Issue 3, December 2000, page 369-396

  • "welch2000jfe.html" Program files

Jones, Christopher S., Extracting factors from herteroskedastic asset returns
Volume 62, Issue 2, November 2001, page 293-325

  • "01126_matlab.zip" Matlab Program files and data [ZIP]

Faccio, Mara, and Lang, Larry H.P., The ultimate ownership of Western European corporations
Volume 65, Issue 3, September 2002, page 365-395

  • Excel spreadsheet "Faccio_Lang_Data.XLS" Faccio_Lang_Data.XLS
  • Excel spreadsheet "Faccio_Lang_Data.zip" Faccio_Lang_Data.ZIP [ZIP]

Campbell, John Y., Chan, Yeung Lewis, and Viceira, Luis M., A multivariate model of strategic asset allocation
Volume 67, Issue 1, January 2003, page 41-80

  • "http://scholar.harvard.edu/campbell/data" Link to Campbell web page
  • "Campbell_Chan_Viceira_data.zip" Matlab Code and data files [ZIP]

Chan, Wesley S., Stock price reaction to news and no-news: Drift and reversal after headlines
Volume 70, Issue 2, November 2003, page 223-260

  • "Chan2003_doc.txt" Documentation for Chan data files
  • Excel file containing "crspg16a.csv" CRSP sub-sample permno's
  • SAS file containing "newssmall.zip" news stories, dates, and permno's [ZIP]

Baker, Malcolm, Greenwood, Robin, and Wurgler, Jeffrey, The maturity of debt issues and predictable variation in bond returns
Volume 70, Issue 2, November 2003, page 261-291

  • Excel spreadsheet "Baker_Greenwood_Wurgler_Data.XLS" Baker_Greenwood_Wurgler_Data.XLS
  • Excel spreadsheet "Baker_Greenwood_Wurgler_Data.zip" Baker_Greenwood_Wurgler_Data.ZIP [ZIP]

Campbell, John Y., and Yogo, Motohiro, Efficient tests of stock return predictability
Volume 81, Issue 1, July 2006, page 27-60

  • Excel spreadsheet "Campbell_Yogo_Data.xls" Campbell_Yogo_Data.xls
  • GAUSS Programs "Campbell_Yogo_Programs.zip" Campbell_Yogo_Programs.ZIP [ZIP]

Larrain, Borja, and Yogo, Motohiro, Does firm value move too much to be justified by subsequent changes in cash flow?
Volume 87, Issue 1, January 2008, page 200-226

  • Excel spreadsheet "Larrain_Yogo_Data.xls" Larrain_Yogo_Data.xls

Claessens, Stijn, Feijen, Erik, Laeven, Luc, Political connections and preferential access to finance: The role of campaign contributions
Volume 88, Issue 3, June 2008, page 554-580

  • Excel spreadsheet "Brazil_CFL_JFE.XLS" Brazil_CFL_JFE.XLS
  • Excel spreadsheet "Brazil_CFL_JFE.zip" Brazil_CFL_JFE.ZIP [ZIP]

Bali, Turan G., Brown, Stephen J., and Caglayan, Mustafa O., Do hedge funds' exposures to risk factors
predict their future returns?
Volume 101, Issue 1, July 2011, Pages 36-68

  • Excel spreadsheet "Bali_Brown_Caglayan_JFE.XLS" Bali_Brown_Caglayan_JFE.XLS
  • Excel spreadsheet "Bali_Brown_Caglayan_JFE.zip" Bali_Brown_Caglayan_JFE.ZIP [ZIP]

van Rooij, Maarten, Lusardi, Annamaria, and Alessie, Rob, Financial literacy and stock market participation
Volume 101, Issue 2, August 2011, Pages 449-472

  • Stata data and programs "vanrooij_alessie_lusardi_jfe.zip" vanrooij_alessie_lusardi_jfe.zip [ZIP]

Berkman, Henk, Jacobsen, Ben, and Lee, John, Time-varying rare disaster risk and stock returns
Volume 101, Issue 2, August 2011, Pages 313-332

  • Excel data "Berkman_Jacobsen_Lee_Data.xls" Berkman_Jacobsen_Lee_Data.xls [XLS]

Kim, E. Han and Lu, Yao, CEO ownership, external governance, and risk-taking
Volume 102, Issue 2, November 2011, page 272-292

  • "kim_lu.zip" Stata data files [ZIP]

Liu, Xiaoding, and Ritter, Jay, Local underwriter oligopolies and IPO underpricing
Volume 102, Issue 3, December 2011, Pages 579-601

  • Excel data "Liu_Ritter_Data.xlsx" Liu_Ritter_Data.xlsx [XLSX]
  • Excel data "Liu_Ritter_Data.zip" Liu_Ritter_Data.xlsx [ZIP]

Chen, Jason Huafeng, and Chen, Shaojun, Investment-cash flow sensitivity cannot be a good measure of financial constraints: Evidence from the time series
Volume 103, Issue 2, February 2012, Pages 393-410

  • "chen_chen_data.rar" Programs and Data

Karolyi, G. Andrew, Lee, Kuan-Hui, and van Dijk, Mathijs A., Understanding commonality in liquidity around the world
Volume 105, Issue 1, July 2012, Pages 82-112

  • Excel data "Karolyi_Lee_vanDijk_Data.zip" Karolyi_Lee_vanDijk_Data.xls [in ZIP format]

Bae, Kee-Hong, Baek, Jae-Seung, Kang, Jun-Koo, and Liu, Wei-Lin, Do controlling shareholders' expropriation incentives imply a link between corporate governance and firm value? Theory and evidence
Volume 105, Issue 2, August 2012, Pages 412-435

  • Excel data "Bae_Baek_Kang_Liu_Data.zip" Bae_Baek_Kang_Liu_Data.xls [in ZIP format]

Hong, Harrison, and Yogo, Motohiro, What does futures market interest tell us about the macroeconomy and asset prices?
Volume 105, Issue 3, September 2012, Pages 473-490

  • Stata spreadsheet "http://www.nber.org/~myogo/data/Commodities_Data.zip" Hong_Yogo_Data.ZIP [ZIP]
  • Stata programs "http://www.nber.org/~myogo/programs/Commodities_Programs.zip" Hong_Yogo_Programs.ZIP [ZIP]

Bajgrowicz, Pierre, and Scaillet, Olivier
Technical trading revisited: False discoveries, persistence tests, and transaction costs
Volume 106, Issue 3, December 2012, page 473-491

  • Programs "Bajgrowicz_Scaillet_programs.zip" Bajgrowicz_Scaillet_programs.zip [ZIP]

Huizinga, Harry and Laeven, Luc
Bank valuation and accounting discretion during a financial crisis
Volume 106, Issue 3, December 2012, page 614-634

  • Excel spreadsheet containing the figures "Huizinga_Laeven.xlsx" Huizinga_Laeven.xlsx [XLSX]
  • Programs "Huizinga_Laeven_data.zip" Huizinga_Laeven_data.zip [ZIP]

Menkhoff, Lukas, Sarno, Lucio, Schmeling, Maik, and Schrimpf, Andreas
Currency momentum strategies
Volume 106, Issue 3, December 2012, page 660-684

  • Excel spreadsheet containing the data "Menkoff_Sarno_Schmeling_Schrimpf.xlsx" Menkoff_Sarno_Schmeling_Schrimpf.xlsx [XLSX]
Becker, Bo, Jacob, Marcus, and Jacob, Martin
Payout taxes and the allocation of investment
Volume 107, Issue 1, January 2013, page 1-24
  • Excel spreadsheet containing the data "Becker_Jacob_Jacob.xlsx" Becker_Jacob_Jacob.xlsx [XLSX]
Chang, Bo Young, Christo¤ersen, Peter, and Jacobs, Kris
Market skewness risk and the cross-section of stock returns
Volume 107, Issue 1, January 2013, page 46-68
  • "Chang_Christoffersen_Jacobs.xlsx" Excel data files
  • "Chang_Christoffersen_Jacobs.zip" Excel data files [ZIP]
Carney, Richard W. and Child, Travers Barclay
Changes to the ownership and control of East Asian corporations between 1996 and 2008: The primacy of politics
Volume 107, Issue 2, February 2013, page 494-513
  • Excel spreadsheet containing the data "Carney_Child.xlsx" Carney_Child.xlsx [XLSX]
Acharya, Viral, Schnabl, Philipp, and Suarez, Gustavo
Securitization without risk transfer
Volume 107, Issue 3, March 2013, page 515-536
  • "http://pages.stern.nyu.edu/~pschnabl/data.htm" web site containing STATA data and code
Ferson, Wayne, Nallareddy, Suresh, and Xie, Biqin
The "out-of-sample" performance of long run risk models
Volume 107, Issue 3, March 2013, page 537-556
  • Excel spreadsheet containing the data "Ferson_Nallareddy_Xie.xlsx" Ferson_Nallareddy_Xie.xlsx [XLSX]
Aktas, Nihat, deBodt, Eric, and Roll, Richard
Negotiations under the threat of an auction
Volume 108, Issue 1, April 2013, page 99-117
  • Excel spreadsheet containing the data "Aktas_deBodt_Roll.xlsx" Aktas_deBodt_Roll.xlsx [XLSX]
  • Zipped excel spreadsheet containing the data "Aktas_deBodt_Roll.zip" Aktas_deBodt_Roll.zip [ZIP]

Dyreng, Scott D., Lindsey, Bradley P., and Thornock , Jacob R.
Exploring the role Delaware plays as a domestic tax haven
Volume 108, Issue 3, June 2013, page 751-772

  • "https://sites.google.com/site/scottdyreng/Home/data-and-code" Download for Exhibit 21

Garcia-Appendini, Emilia, and Montoriol-Garriga, Judit
Firms as liquidity providers: Evidence from the 2007-2008 financial crisis
Volume 109, Issue 1, July 2013, page 272-291

  • "GAMG.dta" Stata data file containing Compustat identification codes

Eisfeldt, Andrea L., and Kuhnen, Camelia
CEO turnover in a competitive assignment framework
Volume 109, Issue 2, August 2013, page 351-372

  • "Eisfeldt_Kuhnen.xlsx" Excel data files
  • "Eisfeldt_Kuhnen.zip" Excel data files [ZIP]
Cornaggia, Jess
Does risk management matter? Evidence from the U.S. agricultural industry
Volume 109, Issue 2, August 2013, page 419-440
  • Zipped Stata dataset "Cornaggia.zip" Cornaggia.zip [ZIP]

Green, T. Clifton, and Jame, Russell
Company name fluency, investor recognition,and firm value
Volume 109, Issue 2, August 2013, page 419-440

  • Mutual fund name fluency dataset"Green_Jame_mf.xlsx" Green_Jame_mf.xlsx [XLSX]
  • Company name fluency dataset"Green_Jame_co.xlsx" Green_Jame_mf.xlsx [XLSX]
  • Mutual fund name and Company name fluency dataset"Green_Jame.zip" Green_Jame.zip [XLSX files in ZIP format]

Vijh , Anand M., and Yang, Ke
Are small firms less vulnerable to overpriced stock offers?
Volume 110, Issue 1, October 2013, page 61-86

  • "Vijh_Yang.xlsx" Excel data file
  • "Vijh_Yang.zip" Excel data file [ZIP]
Deng, Xin, Low, Buen Sin, and Kang, Jun-koo
Corporate social responsibility and stakeholder value maximization: Evidence from mergers
Volume 110, Issue 1, October 2013, page 87-109
  • "Deng_Low_Kang.xlsx" Excel data file
  • "Deng_Low_Kang.zip" Excel data file [ZIP]

Bakshi, Gurdip and Panayotov, George
Predictability of currency carry trades and asset pricing implications
Volume 110, Issue 1, October 2013, page 139-163

  • Excel spreadsheet containing the data "Bakshi_Panayotov.xlsx" Bakshi_Panayotov.xlsx [XLSX]

Nain, Amrita, and Yao, Tong
Mutual fund skill and the performance of corporate acquirers
Volume 110, Issue 2, November 2013, page 437-456

  • "Nain_Yao.xlsx" Excel data file
  • "Nain_Yao.zip" Excel data file [ZIP]

Du, Du
General equilibrium pricing of currency and currency options
Volume 110, Issue 3, December 2013, page 730-751

  • "Du_Du.zip" Excel data files [ZIP]
Frazzini, Andrea, and Pedersen, Lasse Heje
Betting against beta
Volume 111, Issue 1, January 2014, page 1-25
  • "http://www.econ.yale.edu/~af227/data_library.htm" Excel data files on Andrea Frazzini's web page
  • "http://pages.stern.nyu.edu/~lpederse/data.htm" Excel data files on Lasse Heje Pedersen's web page
  • "Frazzini_Pedersen.xlsx" Excel data files
  • "Frazzini_Pedersen.zip" Excel data files [ZIP]
Rydqvist, Kristian, Spizman, Joshua, and Strebulaev, Ilya
Government policy and ownership of equity securities
Volume 111, Issue 1, January 2014, page 70-85
  • "Rydqvist_Spizman_Strebulaev.pdf" Data appendix [PDF]
  • "Rydqvist_Spizman_Strebulaev.xlsx" Excel data file
  • "Rydqvist_Spizman_Strebulaev.zip" Excel data file [ZIP]

Tahoun, Ahmed
The role of stock ownership by US members of Congress on the market for political favors
Volume 111, Issue 1, January 2014, page 86-110

  • "Tahoun_data.zip" Stata data files [ZIP]

Leippold, Markus, and Stromberg, Jacob
Time-changed Levy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube
Volume 111, Issue 1, January 2014, page 224-250

  • "Leippold_Stromberg.zip" Excel data files [ZIP]

Giesecke, Kay, Longstaff, Francis, Schaefer, Stephen, and Strebulaev, Ilya
Macroeconomic effect of corporate default crises: A long-term perspective
Volume 111, Issue 1, February 2014, page 297-310

  • "Giesecke_Longstaff_Schaefer_Strebulaev_data.xls" Default Rate Data file [xls]
  • "Giesecke_Longstaff_Schaefer_Strebulaev_data.zip" Default Rate Data file [zip]

Savov, Alexi
The price of skill: Performance evaluation by households
Volume 112, Issue 2, May 2014, page 213-231

  • "Savov_data.zip" Stata data files and code [ZIP]

Savor, Pavel, and Wilson, Mungo
Asset pricing: A tale of two days
Volume 113, Issue 2, August 2014, page 171-201

  • "Savor_Wilson_data.zip" SAS Data files[ZIP]

Danis, Andras, Rettl, Daniel A., and Whited, Toni M.
Refinancing, profitability and capital structure
Volume 114, Issue 3, December 2014, pages 424-443.

  • "Danis_Rettl_Whited_data.zip" Code for Data files [ZIP]

Chen, Ding, Härkönen, Hannu J., and Newton, David P.
Advancing the universality of quadrature methods to any underlying process for option pricing
Volume 114, Issue 3, December 2014, pages 600-612.

  • "Chen_Harkonen_Newton_code.zip" Code files [ZIP]

Michaelides, Alexander, Milidonis, Andreas, Nishiotis, George, and Papakyriakou, Panayiotis
The adverse effects of systematic leakage ahead of official sovereign debt rating announcements
Volume 116, Issue 3, June 2015, page 526-547

  • "Michaelides_Milidonis_Nishiotis_Papakyriakou_data.zip" Excel Data files[ZIP]

Floyd, Eric, Li, Nan, and Skinner, Douglas
Payout policy through the financial crisis: The growth of repurchases and the resilience of dividends
Volume 118, Issue 2, November 2015, page 299-316

  • "Floyd_Li_Skinner_data.pdf" Data information [PDF]
  • "Floyd_Li_Skinner_code.zip" Stata Code [ZIP]

Mullins, William, and Schoar, Antoinette
How do CEOs see their roles? Management philosophies and styles in family and non-family firms
Volume 119, Issue 1, January 2016, page 24-43

  • "Mullins_Schoar_data.zip" Excel Data files[ZIP]

Giglio, Stefano, Kelly, Bryan, and Pruitt, Seth
Systemic risk and the macroeconomy: An empirical evaluation
Volume 119, Issue 3, March 2016, page 457-471

  • "Giglio_Kelly_Pruitt_data.zip" Excel Data files [ZIP]

Calomiris, Charles W., and Carlson, Mark
Interbank networks in the national banking era: Their purpose and their role in the panic of 1893
Volume 119, Issue 3, March 2016, page 512-532

  • "Calomiris_Carlson_data.zip" Data [ZIP]

Ferson, Wayne, and Mo, Haitao
Performance measurement with selectivity, market and volatility timing
Volume 121, Issue 1, July 2016, page 93-110

  • "Ferson_Mo_data.zip" SAS Data files [ZIP]

Cookson, J. Anthony
Leverage and strategic preemption: Lessons from entry plans and incumbent investments
Volume 123, Issue 2, February 2017, page 292-312

  • "Cookson_data.zip" Data and code [ZIP]

Korteweg, Arthur, and Sorensen, Morten
Skill and luck in private equity performance
Volume 124, Issue 3, June 2017, page 535-562

  • "Korteweg_Sorensen_code.zip" Simulation and estimation code [ZIP]

Agarwal, Vikas, Ruenzi, Stefan, and Weigert, Florian
Tail risk in hedge funds: A unique view from portfolio holdings
Volume 125, Issue 3, September 2017, page 610-636

  • "http://www2.gsu.edu/~fncvaa/TailRisk_5_0.xlsx" Data on the tail risk factor for equity-related hedge funds
  • "Agarwal_Ruenzi_Weigert_data.zip" Data on the tail risk factor for equity-related hedge funds [ZIP]

Glaeser, Edward L., and Nathanson, Charles G.
An extrapolative model of house price dynamics
Volume 126, Issue 1, October 2017, page 147-170

  • "Glaeser_Nathanson_code.zip" Code [ZIP]

Bali, Turan G., Brown, Stephen J., and Tang, Yi
Is economic uncertainty priced in the cross-section of stock returns?
Volume 126, Issue 3, December 2017, page 471-489

  • "Bali_Brown_Tang_code.zip" Code [ZIP]

Golez, Benjamin, and Koudijs, Peter
Four centuries of return predictability
Volume 127, Issue 2, February 2018, page 248-263

  • "Golez_Koudijs_data.zip" Data and code [ZIP]

Campbell, John Y., Giglio, Stefano, Polk, Christopher, and Turley, Robert
An intertemporal CAPM with stochastic volatility
Volume 128, Issue 2, May 2018, page 207-233

  • "http://personal.lse.ac.uk/polk/research/CGPTdata.xlsx" Data [XLSX]

Klasa, Sandy, Ortiz-Molina, Hernan, Serfling, Matthew A., and Srinivasan, Shweta
Protection of trade secrets and capital structure decisions
Volume 128, Issue 2, May 2018, page 266-286

  • "Klasa_Ortiz-Molina_Serfling_Srinivasan_data.zip" Data and code [ZIP]

Berrada, Tony, Detemple, Jerome, and Rindisbacher, Marcel
Asset pricing with beliefs-dependent risk aversion and learning
Volume 128, Issue 3, June 2018, page 504-534

  • "Berrada_Detemple_Rindisbacher_data.zip" Data [ZIP]

Wahal, Sunil
The profitability and investment premium: Pre-1963 evidence
Volume 131, Issue 2, February 2019, page 362-377

  • "Wahal_data.zip" Data [ZIP]
  • "Wahal_data_doc.pdf" Documentation [ZIP]

Bai, Jennie, Bali, Turan G., and Wen, Quan
Common risk factors in the cross-Section of corporate bond returns
Volume 131, Issue 3, March 2019, page 619-642

  • "http://faculty.msb.edu/tgb27/CorporateBondFactors_2016.xlsx" Data [ZIP]

Michaelides, Alexander, Milidonis, Andreas, and Nishiotis, George
Private information in currency markets
Volume 131, Issue 3, March 2019, page 643-665

  • "Michaelides_Milidonis_Nishiotis_data.zip" Data [ZIP]

Jiang, Fuwei, Lee, Joshua, Martin, Xiumin, and Zhou, Guofu
Manager sentiment and stock returns
Volume 132, Issue 1, April 2019, page 126-149

  • "Jiang_Lee_Martin_Zhou_data.zip" Data [ZIP]

Choi, Jin Hyuk, Larsen, Kasper, and Seppi, Duane J.
Information and trading targets in a dynamic market equilibrium
Volume 132, Issue 3, June 2019, page 22-49

  • "Choi_Larsen_Seppi_math.zip" Mathematica files [ZIP]

Allen, Franklin H., Qian, Yiming, Tu, Guoqian, and Yu, Frank
Entrusted loans: A close look at China’s shadow banking system
Volume 133, Issue 1, July 2019, page 18-41

  • "Allen_Qian_Tu_Yu_data.zip" data [ZIP]

Hanselaar, Rogier M., Stulz, René M., and van Dijk, Mathijs A.
Do firms issue more equity when markets become more liquid?
Volume 133, Issue 1, July 2019, page 64-82

  • "Hanselaar_Stulz_vanDijk_data.zip" Data [ZIP]

Wang, Baolian
The cash conversion cycle spread
Volume 133, Issue 2, August 2019, page 472-497

  • "Wang_SAS.pdf" SAS code [PDF]

Griffin, John M., Kruger, Samuel, and Maturana, Gonzalo
What drove the 2003-2006 house price boom and subsequent collapse? Disentangling competing explanations
Volume 133, Issue 3, September 2020, page 726-750

  • "Griffin_Kruger_Maturana_data.zip" data and code [ZIP]

Hennessy, Christopher A., Kasahara, Akitada, and Strebulaev, Ilya A.
Empirical analysis of corporate tax reforms: What is the null and where did it come from?
Volume 135, Issue 3, March 2020, page 555-576

  • "Hennessy_Kasahara_Strebulaev_code.zip" Matlab code [ZIP]

Huang, Dashan, Li, Jiangyuan, Wang, Liyao, and Zhou, Guofu
Time-series momentum: Is it there?
Volume 135, Issue 3, March 2020, page 774-794

  • "Huang_Li_Wang_Zhou_data.xlsx" Excel data [XLSX]
  • "Huang_Li_Wang_Zhou_data.zip" Excel data [ZIP]

Pitkäjärvi, Aleksi, Suominen, Matti, and Vaittinen, Lauri
Cross-asset signals and time series momentum
Volume 136, Issue 1, April 2020, page 63-85

  • "Pitkäjärvi_Suominen_Vaittinen_data.xlsx" Excel data [XLSX]
  • "Pitkäjärvi_Suominen_Vaittinen_data.zip" Excel data [ZIP]

Ham, Charles, Kaplan, Zachary, and Leary, Mark T.
Do dividends convey information about future earnings?
Volume 136, Issue 2, May 2020, page 547-570

  • "Ham_Kaplan_Leary_data.zip" Stata data and programs [ZIP]

Corradin, Stefano, and Maddaloni, Angela
The importance of being special: Repo markets during the crisis
Volume 137, Issue 2, August 2020, page 392-429

  • "Corradin_Maddaloni_code.zip" code [ZIP]

Cho, Thummim
Turning alphas into betas: Arbitrage and the cross-section of risk
Volume 137, Issue 2, August 2020, page 550-570

  • "Cho_code.zip" Stata code [ZIP]
  • "Cho_data.zip" Stata data [ZIP]

Dong, Rui, Fisman, Raymond, Wang, Yongxiang, and Xu, Nianhang
Air pollution, affect, and forecasting bias: Evidence from Chinese financial analysts

  • "Dong_Fisman_Wang_Xu_stata.zip" Stata programs [ZIP]
  • "Dong_Fisman_Wang_Xu_data.zip" Stata data [ZIP]

Huang, Dashan, Li, Jiangyuan, and Wang, Liyao
Are disagreements agreeable? Evidence from information aggregation

  • "Huang_Li_Wang_data.xlsx" Excel data [XLSX]
  • "Huang_Li_Wang_data.zip" Excel data [ZIP]

Xu, Yongxin, Xuan, Yuhao, and Zheng, Gaoping
Internet searching and stock price crash risk: Evidence from a quasi-natural experiment

  • "Xu_Xuan_Zheng_data.xlsx" Excel data [XLSX]
  • "Xu_Xuan_Zheng_doc.docx" Data documentation [DOCX]
  • "Xu_Xuan_Zheng_data.zip" Excel data & documentation [ZIP]

Cao, Sean S., Fang, Vivian W., and Lei, Lijun (Gillian)
Negative peer disclosure

  • "Cao_Fang_Lei_data.zip" NPD sample data & documentation [ZIP]

Fjesme, Sturla L., Galpin, Neal E., and Moore, Lyndon
Rejected stock exchange applicants

  • "Fjesme_Galpin_Moore_data.zip" Replication data & documentation [ZIP]

Barattieri, Alessandro, Moretti, Laura, and Quadrini, Vincenzo
Banks funding, leverage, and investment

  • "Barattieri_Moretti_Quadrini_data.zip" Data and codes for the empirical analysis [ZIP]
  • "Barattieri_Moretti_Quadrini_model.zip" GAUSS program to simulate the model [ZIP]

Reher, Michael
Finance and the supply of housing quality

  • "Reher_data.zip" Data [ZIP]
  • "Reher_code.zip" Stata code [ZIP]

Goncalves, Andrei S.
The short duration premium

  • "Goncalves_code.zip" replication code [ZIP]

Berg, Tobias, Reisinger, Markus, and Streitz, Daniel
Spillover effects in empirical corporate finance

  • "Berg_Reisinger_Streitz_code.zip" replication code [ZIP]