You can download here
a zip file that contains the code necessary to replicate the results in
Speculative Beta. 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.pdf
file that explains precisely how to do this and how to run the code.
We also provide the two
following STATA datasets in this zip file.
These two dataset contains the equal-weighted and value-weighted
beta-sorted portfolios used in our analysis, as well the main
time-series variables used as controls.
Used in conjunction with the tables.do and figures.do do-files in the
above zip file (speculativebetas.zip), they should allow to replicate the main results of our analysis.
If you have any question/comments about these programs and datasets, please contact David Sraer at firstname.lastname@example.org