The co-pricing factor zoo replication package
Description
This dataset is the complete replication package for "The Co-Pricing Factor Zoo" by Alexander Dickerson, Christian Julliard, and Philippe Mueller (Journal of Financial Economics, Forthcoming). The paper develops a Bayesian framework for jointly selecting bond and equity pricing factors from a large candidate set, estimating which factors are priced across both asset classes simultaneously. Please see https://github.com/Alexander-M-Dickerson/co-pricing-factor-zoo for the detailed description. This Mendeley Data repository is an exact clone of the GitHub version, including the required data in the subfolder /data. The data/ subfolder contains 14 CSV files and one RDS file covering traded bond and equity factors, non-traded macro and sentiment factors, in-sample and out-of-sample test asset portfolios, and benchmark factor panels. All CSV files are flat UTF-8 with the first column as a date column (YYYY-MM-DD format). The sample period is 1986:01 to 2022:12 (T=444 months). Data are sourced from the Open Source Bond Asset Pricing project (openbondassetpricing.com) and are publicly available. The replication code (R with C++ backends) reproduces all tables and figures in the main paper, Appendix, and Internet Appendix. A single command (Rscript _run_complete_replication.R) runs the full pipeline in approximately 81 minutes on a 24-core machine at 50,000 MCMC draws, producing compiled PDF documents with all exhibits. Detailed setup instructions, platform wrappers for Windows/macOS/Linux, and a reduced-draw smoke test path are provided in QUICKSTART.md. Key findings reproduced by this package include: (i) a small number of bond and equity factors are jointly priced with high posterior probability, (ii) the Bayesian model-averaged SDF achieves superior in-sample and out-of-sample cross-sectional pricing relative to standard benchmarks, and (iii) the selected factors exhibit economically meaningful time-variation in their pricing contributions.
Files
Institutions
- UNSW SydneyNew South Wales, Sydney
- London School of Economics and Political ScienceEngland, London
- University of WarwickEngland, Coventry