Replication Code for: Cross-sectional identification of private information

This document provides code to replicate the results of “Cross-Sectional Identification of Private Information” (Bongaerts, Rösch, and van Dijk, 2025) using data available through Wharton Research Data Services (WRDS). Specifically, it reproduces parts of Tables 1, 2, 3, 5, 6, and 8. The document is written as a knitr (R Markdown) file. To execute the code and generate a PDF, the recommended approach is to use a local installation of RStudio. Upon execution, the code automatically downloads and stores all necessary data from WRDS locally. To enable this, you must first configure WRDS access as described below. Note: While the published article uses data from Refinitiv/TRTH, this replication uses WRDS and TAQ data. The results are qualitatively robust to these differences in data sources and partially different methodologies, as discussed in the relevant sections below.