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Replication file for “The Collateral Channel” (2012), Chaney, Sraer & Thesmar
You can find a replication folder on the AER website here.
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Replication file for “Speculative Betas” (2016), Hong & 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 still need to download all the datasets necessary to construct the beta portfolios and the main time-series (CRSP, IBES, etc.).
The zip file contains a readme.doc that explains precisely how to do this and run the code.
To allow a quick replication of the main results, we provide two additional Stata datasets and a do-file:
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20_beta_sorted_portfolios.dta: value-weighted returns of 20 beta-sorted portfolios (excluding microcaps, penny stocks, using NYSE thresholds)
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40_beta_portfolios_spec_nonspec.dta: value-weighted returns of 20 speculative and 20 non-speculative beta portfolios
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main_table.do: program to run Table 3 (Panel A) and Table 5 using only these datasets
If you have any questions, please contact David Sraer.
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Replication package for “The Banking View of Bond Risk Premia” (2020), Haddad & Sraer
You can find the replication folder here.
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Replication package for “Can Unemployment Insurance Spur Entrepreneurial Activity? Evidence from France” (2020), Hombert, Schoar, Sraer & Thesmar
You can find the replication folder here.
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Replication package for “Banks’ Exposure to Interest Rate Risk and the Transmission of Monetary Policy” (2021), Gomez, Landier, Sraer & Thesmar
You can find the replication folder here.
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Replication package for “Quantifying Reduced-Form Evidence on Collateral Constraints” (2022), Catherine, Chaney, Huang, Sraer & Thesmar
You can find the replication folder here.
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Replication package for “How to Use Natural Experiments to Estimate Misallocation” (2023), Sraer & Thesmar
You can find the replication folder here.