Resources by Lisa

Replication Data: Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

Replication Data: Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

Lisa
Open Dataset
Creators: David Ardia, Emanuele Guidotti, and Tim A. Kroencke
Publication Date: 2024
Creators: David Ardia, Emanuele Guidotti, and Tim A. Kroencke

This dataset, hosted on Harvard Dataverse, contains the replication data for the study “Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices” (Ardia, Guidotti & Kroencke, 2024, Journal of Financial Economics). It includes OHLC (open, high, low, close) price data and estimated bid-ask spreads used to validate a new efficient estimator of bid-ask spreads that can be applied to daily price data without requiring intraday transaction data.

bidask – R and Python Package for Bid-Ask Spread Estimation

bidask – R and Python Package for Bid-Ask Spread Estimation

Lisa
Open Dataset
Creators: Emanuele Guidotti
Publication Date: 2025
Creators: Emanuele Guidotti

The bidask package, hosted on GitHub, provides R and Python implementations of the efficient bid-ask spread estimator developed in Ardia, Guidotti & Kroencke (2024, Journal of Financial Economics). It enables researchers and practitioners to estimate bid-ask spreads from daily OHLC price data without requiring tick-level transaction data, making liquidity estimation accessible for a wide range of financial datasets.

SEC – Form 13F Institutional Investment Manager Holdings Data

SEC – Form 13F Institutional Investment Manager Holdings Data

Lisa
Open Dataset
Creators: U.S. Securities and Exchange Commission (SEC)
Publication Date: May 2026
Creators: U.S. Securities and Exchange Commission (SEC)

The SEC’s Form 13F data provides quarterly disclosure filings from institutional investment managers with over $100 million in assets under management, detailing their equity holdings.

Replication Data: Racial Disparities in the Paycheck Protection Program

Replication Data: Racial Disparities in the Paycheck Protection Program

Lisa
Open Dataset
Creators: Sergey Chernenko , David Scharfstein
Publication Date: 10 July 2024
Creators: Sergey Chernenko , David Scharfstein

This dataset, hosted on Mendeley Data, contains the replication data for the study “Racial Disparities in the Paycheck Protection Program” (Chernenko & Scharfstein, 2024, Journal of Financial Economics). It includes loan-level PPP data linked to business demographic information used to examine racial disparities in the distribution of Paycheck Protection Program loans, analysing whether minority-owned businesses received equitable access to COVID-19 relief funding.

BA – COVID-19 Economic Injury Disaster Loan (EIDL) Dataset

BA – COVID-19 Economic Injury Disaster Loan (EIDL) Dataset

Lisa
Open Dataset
Creators: U.S. Small Business Administration (SBA)
Publication Date: March 10, 2021
Creators: U.S. Small Business Administration (SBA)

The SBA’s COVID-19 Economic Injury Disaster Loan (EIDL) dataset provides loan-level data on EIDL loans and advances issued to small businesses during the COVID-19 pandemic, including borrower information, loan amounts, and geographic data.

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