More Content Coming Soon!
When I was a grad student and early Assistant Professor, it took me a significant amount of time to figure out how to perform the kind of programming necessary for conducting high-quality finance research. I ended up teaching myself how to code and wish I had something like this website to help figure out how to conduct certain tasks. That's why this exists; if you have replication code or code from your published research I would be happy to help clean it up for you and post it to the website.
This is a new project prompted by the replication code I have piling up on my hard drive; it is a process to clean up the code to make sense to an outsider so please hang in there while I get it all together.
- Sloan (1996) "Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?" Accounting Review
- Amihud (2002) "Illiquidity and Stock Returns: Cross-Section and Time-Series Effects" Journal of Financial Markets
Coming up is:
Acharya and Pedersen (2005) "Asset Pricing and Liquidity Risk" Journal of Financial Economics
Asness, Moskowitz, and Pedersen (2013) "Value and Momentum Everywhere" Journal of Finance
Lakonishok, Shleifer, and Vishny (1994) "Contrarian Investment, Extrapolation, and Risk." Journal of Finance
Pastor and Stambaugh (2003) "Liquidity Risk and Expected Stock Returns" The Journal of Political Economy