Data and Code for "Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility"

Description

This data and code reproduces all Tables and Figures for the paper "Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility" in the Journal of Financial Economics by Jules van Binsbergen

Steps to reproduce

First run Main_figures_and_tables.m which uses Main_data.xlsx as its input data. Then run Main_very_long_term_analysis.m which uses Very_long_term_analysis.xlsx as its main data input.

Institutions

• University of Pennsylvania Wharton School

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