Test Assets and Weak Factors

Simulation code for SPCA and other risk premium estimation methodologies.

Code

Equity Term Structures without Dividend Strips Data

This dataset is constructed using the model in Giglio, Kelly, Kozak (2024) "Equity Term Structures without Dividend Strips Data". The data contain end-of-month equity yields, as defined by equation (32) in the paper. The data contain yields  for the aggregate market index for maturities 1--15 years, and for the cross-section of 102 portfolios (51 long and 51 short ends of anomalies below) for maturities 1--15 years. 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.