Replication Data: Macroeconomic Perceptions, Financial Constraints, and Anomalies

Wei He, Zhiwei Su, Jianfeng Yu

2024-09-24

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.