Data & Code

Test Assets and Weak Factors

Simulation code for SPCA and other risk premium estimation methodologies.

Code


Equity Term Structures without Dividend Strips Data

The data contain end-of-month equity yields, as defined by equation (27) in the paper. The data contain yields for the aggregate market index for maturities 1-100 years, and for the cross-section of 100 portfolios (50 long and 50 short ends of anomalies) for maturities 1-15 years. Data covers the period August 1975 - September 2020. Note that the S&P 500 strips data (tradable contracts) most closely corresponds to the sizeS cross-sectional portfolio in these data (large firms).

Data


Cross-sectional uncertainty and the business cycle: evidence from 40 years of options data

The files contain historical data for option implied volatility for the S&P 500, averaged across firms (weighted by market capitalization), and the measure of cross-sectional or firm-specific implied volatility described in the paper.

Published replication files

Updated US firm uncertainty: Monthly (1/1980–12/2021)

European data: Monthly (1/2002–3/2020)


Hedging macroeconomic and financial uncertainty and volatility (JFE, forthcoming)

Returns on straddles in 19 financial and commodity option markets. The file contains two-week returns on delta-neutral straddles, as well as strangles, as described in the paper. Monthly at-the-money implied volatilities for the markets are also included.

Data


Thousands of Alpha Tests (RFS, 2021)

Python code implementing the methodology: Code


Asset Pricing with Omitted Factors (JPE, 2021)

MATLAB code with the three-pass estimator and replication of the main results.


Hedging climate change news (RFS, 2020)

Climate Change Indexes data


Uncertainty shocks as second-moment news shocks (ReStud, 2020)

S&P 500 VIX extended back to 1983: the file contains monthly data for one- and six-month implied volatilities, calculated using the VIX-type formula, for 1983–2014. Daily data is available on request.

Replication code & data

Data to replicate just the main VAR

Data on monthly S&P 500 implied volatility (VIX) extended to 1983 (daily is available on request)


The price of variance risk (JFE, 2017)

Data on variance swaps (reported as variance forwards), 1995-2013


Systemic Risk and the Macroeconomy: An Empirical Evaluation (JFE, 2016)

Data on systemic risk measures: both US and international systemic risk measures.

Code


Very Long-Run Discount Rates (QJE, 2015)

Data on rents growth in the US, UK, and Singapore housing markets.

Summary of the data sources.