Replication Code for Asset Pricing Research Paper

Replication code for the paper 'Asset Prices When Investors Underestimate Discount Rate Dynamics' published in the Review of Asset Pricing Studies. The package includes scripts and documentation but excludes proprietary data from CRSP, Compustat, and I/B/E/S due to licensing restrictions. Users must obtain the required data separately to execute the code.

Use Cases

• Replicate the econometric analysis and results from the published paper using the provided code scripts.
• Study the implementation of asset pricing models as described in the paper's methodology section.
• Use the code structure as a template for conducting similar financial research requiring CRSP, Compustat, and I/B/E/S data.

Strengths

• Code is directly associated with a peer-reviewed paper forthcoming in the Review of Asset Pricing Studies.
• Includes documentation files (README, DATA_REQUIREMENTS) for user guidance.

Limitations

• The core proprietary data (CRSP, Compustat, I/B/E/S) is not included, requiring users to have separate access.
• The dataset contains only code and documentation, with no actual financial data rows or columns for direct analysis.

Provenance

Source

Review of Asset Pricing Studies Dataverse

Collection Method

Created as replication materials for an academic publication.

Time Range

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Freshness

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Geography

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