Index Rebalancing and Stock Market Composition: Do Indexes Time the Market?

Description

Replication File for "Index Rebalancing and Stock Market Composition: Do Indexes Time the Market?"

Steps to reproduce

Set the homepath variable in "_RUN_REPLICATION.do" to location of replication folder, then run "_RUN_REPLICATION.do". See README file for more information. Note: the replication package uses a "dummy" version of the data to reduce the size of the datasets and randomize the data. This is done to comply with data storage limits on Mendeley Data and protect non-public data. As a result, the replication code will NOT reproduce the results in the paper. Replacing the dummy version with the complete datasets from widely-accessible data providers will reproduce the results in the paper.

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