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Replication Data for: Institutional Liquidity Costs, Internalized Retail Trade Imbalances, and the Cross-Section of Stock Returns
Jan 10, 2025
Barardehi, Yashar, 2025, "Replication Data for: Institutional Liquidity Costs, Internalized Retail Trade Imbalances, and the Cross-Section of Stock Returns", https://doi.org/10.7910/DVN/T64SEZ, Harvard Dataverse, V1, UNF:6:VNNAX9NaFafPsKeuP5koVA== [fileUNF]
Computer programs and pseudo data that illustrate the necessary steps to arrive at the key results of the article.
ANcerno_raw.tab
Jan 10, 2025 - Replication Data for: Institutional Liquidity Costs, Internalized Retail Trade Imbalances, and the Cross-Section of Stock Returns
Tabular Data - 17.1 MB - 15 Variables, 136439 Observations - UNF:6:FTn2+a+koJHaLOiHNW/Eow==
Raw ANcerno pseudo data
AN_institutional.tab
Jan 10, 2025 - Replication Data for: Institutional Liquidity Costs, Internalized Retail Trade Imbalances, and the Cross-Section of Stock Returns
Tabular Data - 95.0 KB - 8 Variables, 1286 Observations - UNF:6:OGZl9nZjkI3Wk817O2YnOg==
Processed ANcerno pseudo data
BBD_raw.tab
Jan 10, 2025 - Replication Data for: Institutional Liquidity Costs, Internalized Retail Trade Imbalances, and the Cross-Section of Stock Returns
Tabular Data - 4.5 KB - 5 Variables, 120 Observations - UNF:6:uqM4PDqu/WNDH4taJBQPJA==
Trade-time measures of liquidity pseudo data
Biweekly_DSI.tab
Jan 10, 2025 - Replication Data for: Institutional Liquidity Costs, Internalized Retail Trade Imbalances, and the Cross-Section of Stock Returns
Tabular Data - 20.1 KB - 13 Variables, 216 Observations - UNF:6:12No8HbWzwJZyrGmN5674g==
Changes in short interest pseudo data
CRSP_pricing.tab
Jan 10, 2025 - Replication Data for: Institutional Liquidity Costs, Internalized Retail Trade Imbalances, and the Cross-Section of Stock Returns
Tabular Data - 26.4 KB - 29 Variables, 120 Observations - UNF:6:zxPUMocuWv6ghlI9gBpgKw==
Baseline asset pricing sample pseudo data
Daily_CRSP_base.tab
Jan 10, 2025 - Replication Data for: Institutional Liquidity Costs, Internalized Retail Trade Imbalances, and the Cross-Section of Stock Returns
Tabular Data - 324.3 KB - 18 Variables, 2520 Observations - UNF:6:yA73KgTBkU9zUtng4kU3gQ==
Raw daily CRSP pseudo data
Daily_CRSP_returns.tab
Jan 10, 2025 - Replication Data for: Institutional Liquidity Costs, Internalized Retail Trade Imbalances, and the Cross-Section of Stock Returns
Tabular Data - 646.6 KB - 18 Variables, 5040 Observations - UNF:6:IukKaRngzA+ZkkWvyvHnfQ==
Raw daily CRSP (returns) pseudo data
Daily_DSI.tab
Jan 10, 2025 - Replication Data for: Institutional Liquidity Costs, Internalized Retail Trade Imbalances, and the Cross-Section of Stock Returns
Tabular Data - 20.5 KB - 13 Variables, 216 Observations - UNF:6:HHurUNR1g6PVF2yyxmMB+g==
Raw short interest pseudo data
Lambda_base.tab
Jan 10, 2025 - Replication Data for: Institutional Liquidity Costs, Internalized Retail Trade Imbalances, and the Cross-Section of Stock Returns
Tabular Data - 7.9 KB - 9 Variables, 120 Observations - UNF:6:PCcW20oZU2j3Q3pKtpB7Vg==
Estimates of Kyle's Lambda pseudo data
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