Data

Data

Daniel-Hodrick-Lu (2017) Currency Carry Trade Portfolio Returns:

This excel file contains monthly returns to the zero-investment currency carry portfolios examined in Daniel, Hodrick and Lu (2017) over the 1976:02-2013:08 time period.

Lu-Murray (2018) Bear-beta Portfolio Returns:

This excel file contains monthly excess returns to the bear-beta sorted decile stock portfolios examined in Lu and Murray (2018) over the 1997:01-2015:09 time period. This excel file contains 5-day excess returns to the AD Bear and market portfolios used to compute bear betas in Lu and Murray (2019). 

Lu-Qin (2021) Shadow Cost of Leverage Constraints:

This excel file contains the daily and monthly measures of the shadow cost of leverage constraints used in Lu and Qin (2021) over the 2006:06-2016:12 time period. This excel file contains the manually collected information on leveraged funds, which are then matched to the CRSP fundnos. 

Liu-Shu-Lu-Wei (2022)  Unique Bidder-Target Relatedness:

This zip file contains the conditional dependence (CD) measure for all PERMNO pairs in the CRSP U.S. common stock universe over the 1991-2015 time period. We use the CD measure to construct the unique relatedness measure in the M&A sample.

Lu-Malliaris-Qin (2023):

We share the replication package at https://data.mendeley.com/datasets/9vnz5y9yzy.

Campbell-Lu-Ham-Wood (2024):

We currently share various recommended machine learning earnings forecasts and the accompanying readme file. The replication codes will be posted soon.