Gauss programs and data used in Liu, Whited, and Zhang (2009, forthcoming, Journal of Political Economy)

Matlab programs coming soon...

Data library for Chen and Zhang's (2009) q-theory factors and a comprehensive list of testing portfolios  

The data library contains the q-theory factors (the investment-to-assets factor and the return-on-assets factor) and all the testing portfolios used in "A better three-factor model that explains more anomalies" (with Chen), forthcoming, Journal of Finance. In addition, the data library is meant to be a general purpose library that can be useful for empirical researchers and that complements Ken French's data library.

Data for firm-level expected equity excess returns as well as expected equity and bond returns  by credit ratings from "Expected returns, yield spreads, and asset pricing tests" (with Campello and Chen), 2008, Review of Financial Studies

Data for five Chen, Roll, and Ross (1986) factors and momentum portfolios from "Momentum profits, factor pricing, and macroeconomic risk" (with Liu), 2008, Review of Financial Studies

Data for aggregate conditioning variables used in "Is value riskier than growth?" (with Petkova), 2005, Journal of Financial Economics

We provide monthly time series observations of default premium, term premium, short-term interest rate, and dividend yield from January 1927 to December 2006. See Section 3.1 of our paper for detailed descriptions of these variables.

Matlab and Fortran 90 programs used in "The value premium," 2005, Journal of Finance

The programs implement the Krusell and Smith (1998) algorithm of approximate aggregation in an industry equilibrium framework. A similar algorithm is likely to be useful for constructing general equilibrium models with the cross section of firms.

Matlab programs used in "Equilibrium cross section of returns" (with Gomes and Kogan), 2003, Journal of Political Economy