Resources by Lisa

Replication Data: Reaching for Yield and the Housing Market – Evidence from 18th-Century Amsterdam

Replication Data: Reaching for Yield and the Housing Market – Evidence from 18th-Century Amsterdam

Lisa
Open Dataset
Creators: Matthijs Korevaar
Publication Date: 2023-04-05
Creators: Matthijs Korevaar

This dataset, hosted on Mendeley Data, contains the replication data for the study “Reaching for Yield and the Housing Market: Evidence from 18th-Century Amsterdam” (Korevaar, 2023, Journal of Financial Economics). It includes historical transaction and rental yield data from the Amsterdam housing market in the 18th century, used to examine how low interest rate environments drive investors to reach for yield by increasing their exposure to riskier assets such as real estate, drawing parallels to modern housing market dynamics.

Replication Data: Set It and Forget It? Financing Retirement in an Age of Defaults

Replication Data: Set It and Forget It? Financing Retirement in an Age of Defaults

Lisa
Open Dataset
Creators: Lucas Goodman, Anita Mukherjee, and Shanthi Ramnath
Publication Date: 2023-02-06
Creators: Lucas Goodman, Anita Mukherjee, and Shanthi Ramnath

This dataset, hosted on Mendeley Data, contains the replication data for the study “Set It and Forget It? Financing Retirement in an Age of Defaults” (Goodman, Mukherjee & Ramnath, 2023, Journal of Financial Economics). It includes individual-level retirement savings and tax data used to examine how default options in employer-sponsored retirement plans, such as automatic enrolment and default contribution rates, shape workers’ long-term retirement savings behaviour and wealth accumulation, with implications for retirement security and policy design.

Replication Data: The Colour of Finance Words

Replication Data: The Colour of Finance Words

Lisa
Open Dataset
Creators: Diego García, Xiaowen Hu, and Maximilian Rohrer
Publication Date: 2022-11-18
Creators: Diego García, Xiaowen Hu, and Maximilian Rohrer

This dataset, hosted on Mendeley Data, contains the replication data for the study “The Colour of Finance Words” (García, Hu & Rohrer, 2023, Journal of Financial Economics). It includes textual and financial market data used to analyse the sentiment and emotional tone of words commonly used in financial contexts, such as earnings calls, analyst reports, and financial news, and to examine how the connotation and “colour” of financial language influences investor behaviour, asset prices, and market outcomes.

Replication Data: Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices

Replication Data: Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices

Lisa
Open Dataset
Creators: Andrea M. Buffa and Idan Hodor
Publication Date: 2022-11-04
Creators: Andrea M. Buffa and Idan Hodor

This dataset, hosted on Mendeley Data, contains the replication data for the study “Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices” (Buffa & Hodor, 2023, Journal of Financial Economics). It includes fund-level and stock-level data used to examine how institutional investors with heterogeneous benchmark indices, such as different index compositions, generate excess co-movement among asset prices, and the implications for price discovery and market efficiency.

Replication Data: Financing the Litigation Arms Race

Replication Data: Financing the Litigation Arms Race

Lisa
Open Dataset
Creators: Samuel Antill and Steven R. Grenadier
Publication Date: 2023-04-27
Creators: Samuel Antill and Steven R. Grenadier

This dataset, hosted on Mendeley Data, contains the replication data for the study “Financing the Litigation Arms Race” (Antill & Grenadier, 2023, Journal of Financial Economics). It includes firm-level and litigation-level data used to examine how access to litigation financing affects corporate legal strategies, the escalation of litigation spending, and the broader implications for firm value and legal outcomes in competitive litigation environments.

Replication Data: The Big Three and Board Gender Diversity – The Effectiveness of Shareholder Voice

Replication Data: The Big Three and Board Gender Diversity – The Effectiveness of Shareholder Voice

Lisa
Open Dataset
Creators: Todd A. Gormley, Vishal K. Gupta, David A. Matsa, Sandra C. Mortal, and Lukai Yang
Publication Date: 2023-04-03
Creators: Todd A. Gormley, Vishal K. Gupta, David A. Matsa, Sandra C. Mortal, and Lukai Yang

This dataset, hosted on Mendeley Data, contains the replication data for the study “The Big Three and Board Gender Diversity: The Effectiveness of Shareholder Voice” (Gormley, Gupta, Matsa, Mortal & Yang, 2023, Journal of Financial Economics). It includes firm-level board composition and institutional ownership data used to examine how voting pressure from the three largest passive institutional investors affects board gender diversity at publicly listed U.S. firms, and the effectiveness of shareholder engagement as a governance mechanism.

Replication Data: Heterogeneous Liquidity Providers and Night-Minus-Day Return Predictability

Replication Data: Heterogeneous Liquidity Providers and Night-Minus-Day Return Predictability

Lisa
Open Dataset
Creators: Zhongjin Lu, Steven Malliaris, and Zhongling Qin
Publication Date: 2023-03-02
Creators: Zhongjin Lu, Steven Malliaris, and Zhongling Qin

This dataset, hosted on Mendeley Data, contains the replication data for the study “Heterogeneous Liquidity Providers and Night-Minus-Day Return Predictability” (Lu, Malliaris & Qin, 2023, Journal of Financial Economics). It includes high-frequency trading and order flow data used to examine how differences among liquidity providers, such as market makers and other traders, during overnight versus intraday periods generate predictable patterns in stock returns, with implications for market microstructure and asset pricing.

Replication Data: Why Is Dollar Debt Cheaper? Evidence from Peru

Replication Data: Why Is Dollar Debt Cheaper? Evidence from Peru

Lisa
Open Dataset
Creators: Bryan Gutierrez, Victoria Ivashina, and Juliana Salomao
Publication Date: 2023-04-04
Creators: Bryan Gutierrez, Victoria Ivashina, and Juliana Salomao

This dataset, hosted on Mendeley Data, contains the replication data for the study “Why Is Dollar Debt Cheaper? Evidence from Peru” (Gutierrez, Ivashina & Salomao, 2023, Journal of Financial Economics). It includes loan-level data from the Peruvian credit market used to examine why firms borrow in U.S. dollars at lower interest rates than in local currency, disentangling the roles of currency risk, lender characteristics, and borrower demand in driving the pricing differential between dollar-denominated and local-currency debt.

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