Data for “Asset Pricing with Fading Memory”  [link to updated data set]  

Data and Code for “Shrinking the Cross-Section”

“Bank Risk Dynamics and Distance to Default”
Matlab Code 
Estimates of 5-year risk-neutral default probabilities for individual US Banks 1987-2016

Time-Series of Liquidity Premia from “The Liquidity Premium of Near-Money Assets”

Code for “Learning from Inflation Experiences”

Repo data from “Sizing Up Repo”

Code for “Risk-Adjusting the Returns to Venture Capital”
Matlab code and simulations for the GMM estimation of the Generalized PME measure

Time-Series of Daily Reversal Strategy Returns from “Evaporating Liquidity”
Daily returns of the reversal strategy shown (in terms of 3-month moving averages) in Figure 1 of the paper

Code for “Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?”

List of Hedge Funds from “Hedge Funds and the Technology Bubble”

Data used in “Capturing the Value Premium in the UK”:

• Monthly returns, 1955-2001, on UK SMB, HML, and Market factors .csv file
  Portfolio characteristics: value-weighted average book-to-market .csv file , sum of market cap .csv file
• Monthly returns, 1995-2001, on UK SMB and HML basis portfolios .csv file
• Monthly returns, 1955-2001, on dividend-yield based UK SMB and IMC factors, incl. basis portfolios .csv file
• Monthly returns, 1955-2001, on 16 UK size and book-to-market portfolios .csv file
  Portfolio characteristics: value-weighted average book-to-market .csv file , sum of market cap .csv file
• The database of accounting information used in this paper is described in: Accounting Information Free of Selection Bias, revised October 2001.