asset pricing

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Research Data and Replication Files (Expected Returns of Anomalies)

Research Data and Replication Files (Expected Returns of Anomalies)

Lisa
Open Dataset
Creators: Andrew Y. Chen
Publication Date: October 2024
Creators: Andrew Y. Chen

This Google Sites page provides research data and replication files from Andrew Y. Chen’s work on asset pricing anomalies, including data used in the study “Zeroing In on the Expected Returns of Anomalies” (Chen & Velikov, 2023, Journal of Financial and Quantitative Analysis). It includes factor return and anomaly data used to evaluate the expected returns of documented stock market anomalies after accounting for transaction costs and publication bias.

Open Asset Pricing – Comprehensive Anomaly Returns Database

Open Asset Pricing – Comprehensive Anomaly Returns Database

Lisa
Open Dataset
Creators: Andrew Y. Chen and Tom Zimmermann
Publication Date: 2025
Creators: Andrew Y. Chen and Tom Zimmermann

Open Asset Pricing is a comprehensive open-source database of anomaly returns covering hundreds of published asset pricing anomalies, providing standardised factor returns, portfolio sorts, and replication data. It is one of the most extensive publicly available resources for empirical asset pricing research.

Replication Data: The Value of Arbitrage

Replication Data: The Value of Arbitrage

Lisa
Open Dataset
Creators: Eduardo Dávila, Daniel Graves, and Cecilia Parlatore
Publication Date: 2023
Creators: Eduardo Dávila, Daniel Graves, and Cecilia Parlatore

This dataset, hosted on Harvard Dataverse, contains the replication data for the study “The Value of Arbitrage” (Dávila, Graves & Parlatore, 2024, Journal of Political Economy). It includes financial market data used to examine the welfare value of arbitrage activity and how arbitrage contributes to price discovery, market efficiency, and overall social welfare, with implications for financial regulation and market design.

Replication Data: Macroeconomic Perceptions, Financial Constraints, and Anomalies

Replication Data: Macroeconomic Perceptions, Financial Constraints, and Anomalies

Lisa
Open Dataset
Creators: Wei He, Zhiwei Su, Jianfeng Yu
Publication Date: 2024-09-24
Creators: Wei He, Zhiwei Su, Jianfeng Yu

This dataset, hosted on Mendeley Data, contains the replication data for the study “Macroeconomic Perceptions, Financial Constraints, and Anomalies” (He, Su & Yu, 2024, Journal of Financial Economics). It includes firm-level and macro-level data used to examine how investor perceptions of macroeconomic conditions interact with financial constraints to generate cross-sectional return anomalies in equity markets.

Replication Data: Uncertainty About What Is in the Price

Replication Data: Uncertainty About What Is in the Price

Lisa
Open Dataset
Creators: Joel Peress, Daniel Schmidt
Publication Date: 2024-08-01
Creators: Joel Peress, Daniel Schmidt

This dataset, hosted on Mendeley Data, contains the replication data for the study “Uncertainty About What Is in the Price” (Peress & Schmidt, 2024, Journal of Financial Economics). It includes stock-level data used to examine how uncertainty about the information content of asset prices affects investor behaviour, trading activity, and return predictability in equity markets.

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