Data & Code

The data and code from my papers posted below may be used for non-commercial purposes free of charge. They are provided as is, without any guarantee of correctness. Please reference the relevant paper for construction details. Send me an email if you have any issues.

News Implied Volatility and Disaster Concerns (with Alan Moreira)

Journal of Financial Economics, 2017, Vol 123, Issue 1, pp. 137–162 | Citation
  • NVIX, 1889–07 to 2016–03 New Also includes a decomposition into categories.
  • Phrase counts (ngram frequencies) of Wall Street Journal frontpage titles and abstracts. See readme.txt inside for details and replication code.

  • Intermediary Asset Pricing: New Evidence from Many Asset Classes (with Zhiguo He and Bryan Kelly)

    Journal of Financial Economics, 2017, Vol 126, Issue 1, pp. 1–35 | Citation
  • Intermediary capital risk factor, 1970Q1–2017Q3 New Quarterly, monthly, and starting 2000-01-01 daily too. Also includes portfolio returns used in our cross-sectional tests. See readme.txt inside for details and replication code.