Resources by Lisa

Replication Data: Intermediation Frictions in Debt Relief – CARES Act Mortgage Forbearance

Replication Data: Intermediation Frictions in Debt Relief – CARES Act Mortgage Forbearance

Lisa
Open Dataset
Creators: You Suk Kim, Donghoon Lee, Tess Scharlemann, and James Vickery
Publication Date: 2024-05-22
Creators: You Suk Kim, Donghoon Lee, Tess Scharlemann, and James Vickery

This dataset, hosted on Mendeley Data, contains the replication data for the study “Intermediation Frictions in Debt Relief: Evidence from CARES Act Forbearance” (Kim, Lee, Scharlemann & Vickery, 2024, Journal of Financial Economics). It includes loan-level mortgage data used to examine how intermediation frictions, such as servicer incentives and operational constraints, affected the take-up and implementation of mortgage forbearance provisions introduced under the CARES Act during the COVID-19 pandemic.

Replication Data: Tiny Trades, Big Questions – Fractional Share Trading

Replication Data: Tiny Trades, Big Questions – Fractional Share Trading

Lisa
Open Dataset
Creators: Robert Bartlett, Justin McCrary, Maureen O'Hara
Publication Date: 2024-03-18
Creators: Robert Bartlett, Justin McCrary, Maureen O'Hara

This dataset, hosted on Mendeley Data, contains the replication data for the study “Tiny Trades, Big Questions: Fractional Shares” (Bartlett, McCrary & O’Hara, 2024, Journal of Financial Economics). It includes trade-level data on fractional share transactions, used to examine the rise of fractional share trading among retail investors, its implications for market microstructure, price discovery, and investor participation in equity markets.

Replication Data: Inflation and Disintermediation

Replication Data: Inflation and Disintermediation

Lisa
Open Dataset
Creators: Isha Agarwal and Matthew Baron
Publication Date: 2024-06-25
Creators: Isha Agarwal and Matthew Baron

This dataset, hosted on Mendeley Data, contains the replication data for the study “Inflation and Disintermediation” (Agarwal & Baron, 2024, Journal of Financial Economics). It includes bank-level and macroeconomic data used to examine how inflationary periods affect financial intermediation, analysing the mechanisms through which rising prices lead to disintermediation.

Replication Data: Concealed Carry – Hidden Risk in Currency Carry Trades

Replication Data: Concealed Carry – Hidden Risk in Currency Carry Trades

Lisa
Open Dataset
Creators: Spencer Andrews, Riccardo Colacito, Mariano M. Croce, and Federico Gavazzoni
Publication Date: 2024-02-27
Creators: Spencer Andrews, Riccardo Colacito, Mariano M. Croce, and Federico Gavazzoni

This dataset, hosted on Mendeley Data, contains the replication data for the study “Concealed Carry” (Andrews, Colacito, Croce & Gavazzoni, 2024, Journal of Financial Economics). It includes exchange rate, interest rate, and macroeconomic data used to examine hidden or concealed risks embedded in currency carry trades and their implications for international asset pricing and risk premia.

Replication Data: Transaction Costs and Asset Allocation in Foreign Exchange Markets

Replication Data: Transaction Costs and Asset Allocation in Foreign Exchange Markets

Lisa
Open Dataset
Creators: Ilias Filippou, Thomas Maurer, Luca Pezzo, Mark Taylor
Publication Date: 2024-05-28
Creators: Ilias Filippou, Thomas Maurer, Luca Pezzo, Mark Taylor

This dataset, hosted on Mendeley Data, contains the replication data for the study “Importance of Transaction Costs for Asset Allocation in Foreign Exchange Markets” (Filippou, Maurer, Pezzo & Taylor, 2024, Journal of Financial Economics). It includes currency-level data on bid-ask spreads, exchange rates, and portfolio returns, used to examine how transaction costs affect optimal asset allocation strategies in FX markets and the profitability of currency investment strategies.

Replication Data: The Reserve Supply Channel of Unconventional Monetary Policy

Replication Data: The Reserve Supply Channel of Unconventional Monetary Policy

Lisa
Open Dataset
Creators: William Diamond, Zhengyang Jiang, Yiming Ma
Publication Date: 2024-06-03
Creators: William Diamond, Zhengyang Jiang, Yiming Ma

This dataset, hosted on Mendeley Data, contains the replication data for the study “The Reserve Supply Channel of Unconventional Monetary Policy” (Diamond, Jiang & Ma, 2024, Journal of Financial Economics). It includes bank-level and macroeconomic data used to examine how central bank reserve supply affects bank lending, asset prices, and broader financial conditions through the reserve supply channel.

Replication Data: The Risk and Return of Impact Investing Funds

Replication Data: The Risk and Return of Impact Investing Funds

Lisa
Open Dataset
Creators: Jessica Jeffers, Tianshu Lyu, and Kelly Posenau
Publication Date: 2024-08-08
Creators: Jessica Jeffers, Tianshu Lyu, and Kelly Posenau

This dataset, hosted on Zenodo, contains the replication data for the study “The Risk and Return of Impact Investing Funds” (Jeffers, Lyu & Posenau, 2024, Journal of Financial Economics). It includes fund-level data on impact investing vehicles, covering performance metrics, risk characteristics, and fund strategies, used to analyse how impact investing funds compare to traditional private equity funds in terms of financial returns and risk-adjusted performance.

Replication Data: From Man vs. Machine to Man + Machine – AI and Human Stock Analysis

Replication Data: From Man vs. Machine to Man + Machine – AI and Human Stock Analysis

Lisa
Open Dataset
Creators: Sean Cao, Wei Jiang, Junbo Wang, and Baozhong Yang
Publication Date: 2024-05-31
Creators: Sean Cao, Wei Jiang, Junbo Wang, and Baozhong Yang

This dataset, hosted on Mendeley Data, contains the replication data for the study “From Man vs. Machine to Man + Machine: The Art and AI of Stock Analyses” (Cao, Jiang, Wang & Yang, 2024, Journal of Financial Economics). It includes analyst forecast data and AI-generated stock assessments, used to compare the performance of human analysts versus machine learning models in predicting stock returns, and to examine the complementary effects when human and AI analysis are combined.

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