Replication Data for: "Missing Data in Asset Pricing Panels"

NIAID Data Ecosystem2026-05-01 收录

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https://doi.org/10.7910/DVN/QR6PHI

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Data and code for "Missing Data in Asset Pricing Panels"

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2024-01-22

Replication Data for: \"Missing Data in Asset Pricing Panels\"

Data and code for \"Missing Data in Asset Pricing Panels\"

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Replication data for: Intermediary Asset Pricing

We model the dynamics of risk premia during crises in asset markets where the marginal investor is a financial intermediary. Intermediaries face an equity capital constraint. Risk premia rise when the

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Replication data for: Tax Changes and Asset Pricing

The tax burden on equity securities has varied substantially over time and remains a source of continuing policy debate. This paper investigates whether investors were compensated for the tax burden o

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Missing Data in Asset Pricing Panels

Missing data for return predictors is a common problem in cross sectional asset pricing. Most papers do not explicitly discuss how they deal with missing data but conventional treatments focus on the

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Replication data for: Tax Changes and Asset Pricing

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