Replication Code for Identifying Price Informativeness
The main project folder contains five subfolders and fourteen R source/markdown files. The import data subfolder has two R source files.
Run the files 01_stocks_import.R, 02_stocks_import_inst_ownership.R, and 03_move_files_to_input_raw.cmd in the import_data folder.
- The file 03_move_files_to_input_raw.cmd simply moves the output files to the input/data_raw folder. It only works for windows. In other OS's, simply move the files manually.
Run the files in the main project folder sequentially. Alternatively, simply run the file 00_stocks_main.R.
- A complete run of the code generates all the figure and tables in the paper with the exception of those with public signals.
- The results with public signals are obtained by uncommenting the variables controls_levels and controls_logs in the file 04a_stocks_recover.Rmd and running the code gain.
- The simulation folder includes the simulations in Figures 6, OA-15 and OA-16.s
The files rolling_a.csv and rolling_q.csv include the estimated rolling measures of price informativeness by stock (permno).