> Programming Codes

> For Replication

• Rapach & Zhou (2013) Forecasting Stock Returns

  ⬇ Data & R Code

• DeMiguel et al. (2009) Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?

  ⬇ Data & R Code

• Goyal and Welch (2008) A Comprehensive Look at The Empirical Performance of Equity Premium Prediction

  ⬇ Data & R Code

• Rossi (2006) Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability

  ⬇ Data & R Code

> Research Codes

• Size, Book to Market, Momentum Benchmarks (DGTW, 1997)

  ➥ Code at Github

• Institutional Ownership Using Thomson-Reuters 13F Database

  ➥ Code at Github

• Post-Earnings Announcement Drift

  ➥ Code at Github

• FRED-MD: Factor-Based Imputation for Missing Data

  ➥ Code at Github

> Packages

• QuEST: Quantized Eigenvalues Sampling Transform Method

  ➥ Code at Github

• SQuaSh: Stein’s Quadratic Shrinkage for Large-Dimensions

  ➥ Code at Github

• CSPA: Conditional Superior Predictive Ability

  ➥ Code at Github