Data

Bid-Ask Spreads Database for "Efficient Estimation of Bid-Ask Spreads from Open, High, Low and Close Prices" [Website]

Replication code (Matlab) for "A Skeptical Appraisal of Robust Asset Pricing Tests" [LINK]

Replication data for "The FOMC Risk Shift"   [XLS]

Replication data and Matlab code for  "Robust Inference for Consumption-based Asset Pricing with Power"  [Zip-package]

Updated data for "Asset Pricing without Garbage" 

up to 2018,  annual data at the quarterly frequency added [XLS] 

Data from "Asset Pricing without Garbage"

replication data (as used in the paper) [XLS] 

Data from "International Diversification Benefits with Foreign Exchange Investment Styles"

• FX investment styles / benchmark returns [XLS] 

• includes updated data up to Dec 2013