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Legacy data 1993-2012 (JFE 2020 original)

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@edwinhu edwinhu released this 15 Oct 20:35
legacy-1993-2012
bc74934

Original paper data from Duarte, Hu, and Young (2020), "A Comparison of Some Structural Models of Private Information Arrival," Journal of Financial Economics 135(3): 795-815.

  • cpie_data.zip (273 MB; 699 MB unzipped): cpie_daily.csv (daily CPIE measures for PIN, DY, GPIN, OWR, sorted by permno and date) and yearly parameter estimates pin_yearly.csv, dy_yearly.csv, gpin_yearly.csv, owr_yearly.csv, 1993-2012.
  • pin-est-1319.zip: GPIN and OWR yearly estimates for 2013-2019.

Formerly hosted on Dropbox. For current estimates (2003-2024) see release v2024.1.

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