A simple model of equity pricing is developed to address two related questions. First, to what extent can unanticipated changes in such"fundamental" variables as profitability, real interest rates, in
This is the replication code and data used in Eaton, Green, Roseman, and Wu "Retail Trader Sophistication and Stock Market Quality: Evidence from Brokerage Outages", forthcoming at the Journal of Fina
The datasets for the Role of Financial Investors on Commodity Futures Risk Premium are weekly datasets for the period from 1995 to 2015 for three commodities in the energy market: crude oil (WTI), hea