Replication package for "Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models"

Description

This dataset contains the replication package for "Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models" by Svetlana Bryzgalova, Alberto Quaini, Fabio Trojani, and Ming Yuan, forthcoming in the Journal of Financial Economics. The package is organized as the R package reproduceTFRP. It contains the data, R code, documentation, generated intermediate results, and figures required to reproduce the empirical results in the paper. Instructions are provided in README.md. File description: ZIP archive containing the complete reproduceTFRP replication package, including README.md, R package source files, raw and processed data, empirical scripts, generated results, and generated figures.

Steps to reproduce

See README.md in the archive. In brief, install the required R packages and the pinned GitHub version of intrinsicFRP, open R in the package root, run devtools::load_all("."), and source the scripts in inst/empirics/.

Institutions

• Erasmus University Rotterdam

  South Holland, Rotterdam
• London Business School

  England, London
• Columbia University

  New York, New York
• University of Geneva

  Geneva, Geneva

Categories

Licence