Investor Horizons and the Timing of Leverage Adjustment

Published: 14 September 2026| Version 1 | DOI: 10.17632/fjkn2z4y63.1
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Description

This replication archive accompanies “Investor Horizons and the Timing of Leverage Adjustment” (Manuscript ECMODE-D-26-00470R1). The study examines whether the composition of long-horizon mutual-fund holdings is associated with the timing of firms’ leverage adjustment. It combines Chinese A-share firm accounts and market data with institutional shareholding disclosures and fund-reported portfolio purchases and sales for 2015–2023. The archive contains the complete Python and Stata analysis code, LaTeX source, figures, tables, aggregate coefficient files, audit records, variable definitions, software requirements, and provenance documentation. The underlying China Stock Market & Accounting Research (CSMAR) files are commercially licensed and are therefore not redistributed. In particular, the archive does not contain raw CSMAR files, fund–stock position rows, firm-year microdata, or intermediate files that could substitute for a CSMAR subscription. Users who hold an authorised CSMAR licence can obtain the listed modules independently and place them in the paths described in DATA_ACCESS.md. Users without access can compile the manuscript and inspect the deposited aggregate results and audit files. A missing disclosed position is treated as a disclosure-threshold outcome and is not interpreted as a verified sale. The preferred sample contains 15,908 firm-years for 4,183 Chinese A-share firms. The deposited outputs are provided for verification and transparency and do not grant any right to redistribute or reconstruct proprietary CSMAR records. The reserved DOI shown by Mendeley should be cited only after the record is published and activated.

Files

Steps to reproduce

1. Download this archive and read README.md and DATA_ACCESS.md. 2. For compilation-only verification, enter revision/manuscript and run `latexmk -pdf -interaction=nonstopmode -halt-on-error main.tex` and the analogous command for online_appendix.tex; combine the PDFs with `pdfunite` if desired. 3. For full reconstruction, obtain an authorised CSMAR subscription containing the listed-company financial/market files, Institutional Investor Shareholding Detail (retain institution category P9401), FUND_PTF_BSSTOCKTOTAL, and the public-fund master, NAV, manager-history and portfolio-history modules. 4. Record each vendor table name, field dictionary, data vintage, download date, reporting threshold and licence terms. Place the licensed files under revision/data/raw or revision/data/intermediate as described in DATA_ACCESS.md. 5. From the package root, run the scripts in revision/code/RUN_ORDER.md. The builders harmonise identifiers and report dates, adjust shares for corporate actions, construct four-half-year turnover and long-horizon classifications, aggregate ownership, construct the leverage target and starting Gap, estimate the firm and fund-transition models, and rebuild tables, figures and audit ledgers. 6. Compare the resulting aggregate estimates and audit files with revision/results. Do not upload or redistribute the licensed CSMAR inputs or row-level panels.

Institutions

Categories

Economics, Finance, Corporate Finance

Funders

Licence