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You can find a replication folder on the AER website here.




You can download here a zip file that contains the code and source files necessary to replicate the results in the current version of Speculative Betas. You need, however, to download all the datasets necessary to construct the beta portfolios and the main time-series used in the analysis (stock return data from CRSP, dispersion of analyst forecasts from IBES, etc.). The zip file contains a readme.doc file that explains precisely how to do this and how to run the code.


To allow for a quick replication of the main result in our paper, we also provide two additional  STATA datasets and a do file in this zip file:


- 20_beta_sorted_portfolios.dta contains the value-weighted returns of 20 beta sorted portfolios excluding microcaps, penny stocks and using NYSE thresholds.


- 40_beta_portfolios_spec_nonspec.dta contains the value-weighted returns of 20 beta sorted portfolios constructed from speculative stocks and 20 beta portfolios constructed from non-speculative stocks.


- main table.do contains a program to run the main analysis of the paper presented in Table 3 (panel A) and Table 5 using only these two datasets.


If you have any question/comments about these programs and datasets, please contact David Sraer at sraer@berkeley.edu




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