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