Replication file for “The Collateral Channel” (2012) by Chaney, Sraer and Thesmar: You can find a replication folder on the AER website
here
Replication file for “Speculative Betas” (2016) by Hong and Sraer: You can download
here a zip file that contains the code and source files necessary to replicate the results in the current version of Speculative Betas. You need, however, to download all the datasets necessary to construct the beta portfolios and the main time-series used in the analysis (stock return data from CRSP, dispersion of analyst forecasts from IBES, etc.). The zip file contains a readme.doc file that explains precisely how to do this and how to run the code.
To allow for a quick replication of the main result in our paper, we also provide two additional STATA datasets and a do file
in this zip file:
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20_beta_sorted_portfolios.dta contains the value-weighted returns of 20 beta sorted portfolios excluding microcaps, penny stocks and using NYSE thresholds.
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40_beta_portfolios_spec_nonspec.dta contains the value-weighted returns of 20 beta sorted portfolios constructed from speculative stocks and 20 beta portfolios constructed from non-speculative stocks.
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main_table.do contains a program to run the main analysis of the paper presented in Table 3 (panel A) and Table 5 using only these two datasets.
If you have any question/comments about these programs and datasets, please contact
David Sraer
Replication package for “The Banking View of Bond Risk Premia” (2020) by Haddad and Sraer: You can find the
replication folder here
Replication package for “Can Unemployment Insurance Spur Entrepreneurial Activity? Evidence from France” (2020) by Hombert, Schoar, Sraer and Thesmar: You can find the
replication folder here.
Replication package for “Banks’ exposure to interest rate risk and the transmission of monetary policy” (2021) by Gomez, Landier, Sraer and Thesmar: You can find the
replication folder here.
Replication package for “Quantifying Reduced-Form Evidence on Collateral Constraints” by Catherine, Chaney, Huang, Sraer and Thesmar (2022): You can find the
replication folder here
Replication package for “How to Use Natural Experiments to Estimate Misallocation” (2023) by Sraer and Thesmar: You can find the
replication folder here.
