Codes and Data for Liquidity Characteristics of Market Anomalies and Institutional Trading
Published: 28 January 2026| Version 1 | DOI: 10.17632/9prkv8r5vx.1
Contributors:
Charles Cao, bing liang, Tong Yao, Andrew ZhangDescription
This package contains the codes and data for replicating the tables and figures in the paper "Liquidity Characteristics of Market Anomalies and Institutional Trading"
Files
Steps to reproduce
A) Unzip the file into a local folder. You will find four subfolders: 1) codes, 2) pseudodata, 3) publicdata, and 4) results. There is a README.pdf file in the root folder, with detailed instructions on how to run the programs and with explanations on codes and datasets. B) In the folder .\codes, you will find main1.sas and main2.sas. Run these two programs in SAS, and you can generate all the tables and figures in the folder .\results. You will need to change the folder and library references in SAS programs to local folders before running them.
Categories
Finance