Replication Package for Unvertainty about What's in the Price

This is the replication package for the paper "Uncertainty about What's in the Price", to be published in the Journal of Financial Economics.

The data we provide is a subsample of our data files with scrambled company IDs and other identifying information removed. The subsample consists of data for 100 firms selected by, in that order, S&P inclusion/deletion events and data coverage.

The main analysis is run in Stata/MP 15.1 using the +replication do-file. For more information about data source files and data processing, see the Readme file and the +replication do-file.

The following list links the tables in our paper with code lines and output files produced by our main code file “+replication.do”.

Table # Program Line Number Output file
Table 1 Panel (a) +replication.do 400-403 table1.rtf
Table 1 Panel (b) +replication.do 404-407 table1.rtf
Table 2 +replication.do 417-427 table2.rtf
Table 3 +replication.do 457-466 table3.rtf
Table 4 Panel (a) +replication.do 506-516 table4.rtf
Table 4 Panel (b) +replication.do 519-529 table4.rtf
Table 4 Panel (c) +replication.do 532-542 table4.rtf
Table 4 Panel (d) +replication.do 545-555 table4.rtf
Table 5 Panel (a) +replication.do 688-695 table5.rtf
Table 5 Panel (b) +replication.do 697-704 table5.rtf
Table 6 Panel (a) +replication.do 883-893 table6a.rtf
Table 6 Panel (b) +replication.do 1079-1089 table6b.rtf
Table 6 Panel (c) +replication.do 564-574 table6c.rtf