Replication Package for "Announcements, Expectations, and Stock Returns with Asymmetric Information"

Published: 3 February 2025| Version 1 | DOI: 10.17632/jppkxvy5w9.1
Contributor:
Leyla Jianyu Han

Description

Replication Package for "Announcements, Expectations, and Stock Returns with Asymmetric Information" , Journal of Monetary Economics - This package contains the codes for numerical solutions of the dynamic model and simulation results. - Replication procedures and codes for all empirical exercises can be found at Leyla Han's personal website: https://www.leylahan.com

Files

Steps to reproduce

* The codes for generating the model-simulated results are located in the folder "Model_codes". - The main script is: "Main.m" * The output moments are saved in: "output.xlsx" * Note: - These codes have been run using Matlab R2022b to produce all results in the final version of the paper. - Please update the folder path before running the codes.

Institutions

  • Boston University

Categories

Economics, Finance, Macroeconomics, Information Economics, Asset Pricing, Macroeconomic Data, Asymmetric Information, Capital Asset Price Model, Interaction of Financial Markets and Macroeconomy, Macroeconomic Theory

Licence