> Programming Codes

> For Replication

• Rapach & Zhou (2013) Forecasting Stock Returns

  ➥ Code on Github

• 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

  ➥ Code on Github   ⬇ XKCD style

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

  ➥ Code on Github

> Research Codes

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

  ➥ Code on Github

• Institutional Ownership Using Thomson-Reuters 13F Database

  ➥ Code on Github

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

  ➥ Code on Github

• Risk Information Measure for Key Development Events

  ➥ Code on Github

• Official complete National Best Bid and Offer (NBBO) Tick-by-Tick

  ➥ Code on Github

• Post-Earnings Announcement Drift

  ➥ Code on Github

• Noise-Robust Intraday Jump Test (Christensen et al., 2025, JFE)

  ➥ Code on Github

> Packages

• forecastdom: Tools for (Un)conditional Forecast Dominance

  ➥ Code on Github

• sdim: An R Package for Supervised Dimension Reduction

  ➥ Code on Github

> Databases

• Big Data Monthly Predictors

  ➥ Code on Github

> Miscellaneous

• Personal Beamer Template

  ➥ Code on Github