REPLICATION_NONSUBSTITUTABLE_CONSUMPTION_GROWTH_RISK
Contains MATLAB code that replicates all tables and figures from "Non-substitutable consumption growth risk" (with Dittmar and Schlag, published in Management Science).
Contains MATLAB code that allows the execution of a large number of asset pricing tests, including Fama/MacBeth, Fama/MacBeth-Shanken, Fama/MacBeth-GMM, and numerous "robust" alternatives. It allows to replicate the results reported in our paper "A Skeptical Appraisal of Robust Asset Pricing Tests".
CROSS-SECTIONAL_ASSET_PRICING_(PYTHON)
Same as above but written in Python.Â
Contains MATLAB code that performs two-stage regressions (a la Fama/MacBeth) with standard errors that account for errors-in-variables.
Contains MATLAB code and data that allows to replicate the results in Section 6 of our paper "GMM Weighting Matrices in Cross-sectional Asset Pricing Tests".