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]

RISKSHIFT_DATA_JME.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]

CONSUMPTION_DATA_2018.xls

Data from "Asset Pricing without Garbage"

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

APWG_replication data_Nov_2015.xls

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

FX_STYLES.xls