Alex Chinco alexchinco
alexchinco
/ compute-idiosyncratic-volatility--04may2015.sas
Created
May 5, 2015 15:23
Code for figures in "Comparing explanations for the idiosyncratic-return volatility puzzle".
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| ;/************************************************************************************* | |
| @author: Alex Chinco | |
| @date: May 4th, 2015 | |
| **************************************************************************************/ | |
| OPTIONS LINESIZE = 208; | |
| OPTIONS PAGESIZE = 208; | |
| LIBNAME crsp '/wrds/crsp/sasdata/a_stock'; | |
| LIBNAME cboe '/wrds/cboe/sasdata'; |
alexchinco
/ R code: Price of aggregate volatility
Created
May 15, 2014 15:08
Code to replicate main results in Ang, Hodrick, Xing, and Zhang (2006)
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| ## Prep workspace | |
| rm(list=ls()) | |
| library(foreign) | |
| library(grid) | |
| library(plyr) | |
| library(ggplot2) | |
| library(tikzDevice) | |
| print(options('tikzLatexPackages')) | |
| options(tikzLatexPackages = |
alexchinco
/ ticker-data.csv
Created
July 18, 2014 02:07
List of S&P 500 companies from 01/01/2008 to 12/31/2012.
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| ticker | name | t1 | t2 | interval | |
|---|---|---|---|---|---|
| A | "Agilent Technologies" | 2008-01-01 | 2012-12-31 | 5.00547945205479 | |
| AA | "Alcoa" | 2008-01-01 | 2012-12-31 | 5.00547945205479 | |
| AAPL | "Apple" | 2008-01-01 | 2012-12-31 | 5.00547945205479 | |
| ABBV | "AbbVie" | 2012-12-31 | 2012-12-31 | 0.00273972602739726 | |
| ABC | "AmerisourceBergen" | 2008-01-01 | 2012-12-31 | 5.00547945205479 | |
| ABK | "Ambac Financial" | 2008-01-01 | 2008-06-10 | 0.443835616438356 | |
| ABT | "Abbot Laboratories" | 2008-01-01 | 2012-12-31 | 5.00547945205479 | |
| ACE | "ACE Limited" | 2010-07-14 | 2012-12-31 | 2.47123287671233 | |
| ACN | "Accenture" | 2011-07-05 | 2012-12-31 | 1.4958904109589 |
alexchinco
/ FullSurvey.qsf
Created
August 3, 2020 17:22
QSF files so that researchers can run online survey experiments in Chinco, Hartzmark, and Sussman (2020).
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| { | |
| "SurveyEntry": { | |
| "SurveyID": "SV_blrl3RFOcL7Ht53", | |
| "SurveyName": "Mutual fund vs. Bond Sample for Survey Curious", | |
| "SurveyDescription": null, | |
| "SurveyOwnerID": "UR_0e4Wr6osIKPvqNn", | |
| "SurveyBrandID": "chicagobooth", | |
| "DivisionID": "DV_a9PVFYw92ZwrUUJ", | |
| "SurveyLanguage": "EN", | |
| "SurveyActiveResponseSet": "RS_7X9X3aYlfcaUmJ7", |
alexchinco
/ prog--lasso-forecast--simulated-data--dense-shocks--04dec2015.R
Created
December 5, 2015 17:07
Simulation analysis of using the LASSO to forecast stock returns.
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| ########################################################################### | |
| ########################################################################### | |
| ## @purpose: Simulate return data with dense shocks and show that the | |
| ## LASSO doesn't add any forecasting power. | |
| ## ------------------------------------------------------------------------ | |
| ## @author: Alex Chinco | |
| ## @date: 04-DEC-2015 | |
| ########################################################################### | |
| ########################################################################### |
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| {"SurveyEntry":{"SurveyID":"SV_0xHnIjV2NsCub2d","SurveyName":"Mutual fund vs. Bond NO IMAGES TEMPLATE","SurveyDescription":null,"SurveyOwnerID":"UR_0e4Wr6osIKPvqNn","SurveyBrandID":"chicagobooth","DivisionID":"DV_a9PVFYw92ZwrUUJ","SurveyLanguage":"EN","SurveyActiveResponseSet":"RS_cHdi9iB1ZCQyCFL","SurveyStatus":"Inactive","SurveyStartDate":"0000-00-00 00:00:00","SurveyExpirationDate":"0000-00-00 00:00:00","SurveyCreationDate":"2020-02-07 12:39:12","CreatorID":"UR_0e4Wr6osIKPvqNn","LastModified":"2020-12-16 16:36:45","LastAccessed":"0000-00-00 00:00:00","LastActivated":"0000-00-00 00:00:00","Deleted":null},"SurveyElements":[{"SurveyID":"SV_0xHnIjV2NsCub2d","Element":"BL","PrimaryAttribute":"Survey Blocks","SecondaryAttribute":null,"TertiaryAttribute":null,"Payload":{"1":{"Type":"Trash","Description":"Trash \/ Unused Questions","ID":"BL_erGOfrK4v8i6EHb","BlockElements":[{"Type":"Question","QuestionID":"QID279"},{"Type":"Question","QuestionID":"QID278"},{"Type":"Question","QuestionID":"QID280"},{"Type":"Questio |
alexchinco
/ survey_variant_scatterplot.QSF
Created
February 11, 2021 16:32
Survey Variant, Scatterplot
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| {"SurveyEntry":{"SurveyID":"SV_9RJ3Kv5JBdHTB53","SurveyName":"Mutual fund vs. Bond scatter","SurveyDescription":null,"SurveyOwnerID":"UR_0e4Wr6osIKPvqNn","SurveyBrandID":"chicagobooth","DivisionID":"DV_a9PVFYw92ZwrUUJ","SurveyLanguage":"EN","SurveyActiveResponseSet":"RS_9KzalMb4MsnT8PP","SurveyStatus":"Active","SurveyStartDate":"0000-00-00 00:00:00","SurveyExpirationDate":"0000-00-00 00:00:00","SurveyCreationDate":"2020-03-12 09:26:11","CreatorID":"UR_0e4Wr6osIKPvqNn","LastModified":"2020-12-16 16:30:05","LastAccessed":"0000-00-00 00:00:00","LastActivated":"2020-03-19 08:55:38","Deleted":null},"SurveyElements":[{"SurveyID":"SV_9RJ3Kv5JBdHTB53","Element":"BL","PrimaryAttribute":"Survey Blocks","SecondaryAttribute":null,"TertiaryAttribute":null,"Payload":{"1":{"Type":"Trash","Description":"Trash \/ Unused Questions","ID":"BL_erGOfrK4v8i6EHb","BlockElements":[{"Type":"Question","QuestionID":"QID279"},{"Type":"Question","QuestionID":"QID278"},{"Type":"Question","QuestionID":"QID280"},{"Type":"Question","QuestionI |
alexchinco
/ survey_variant_single_stock.QSF
Created
February 11, 2021 16:31
Survey Variant, Single Stock
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| {"SurveyEntry":{"SurveyID":"SV_aaTXFYqDX70Cbno","SurveyName":"Mutual fund vs. Bond Indiv Stock","SurveyDescription":null,"SurveyOwnerID":"UR_0e4Wr6osIKPvqNn","SurveyBrandID":"chicagobooth","DivisionID":"DV_a9PVFYw92ZwrUUJ","SurveyLanguage":"EN","SurveyActiveResponseSet":"RS_5nZHj3wM7YVGukS","SurveyStatus":"Active","SurveyStartDate":"0000-00-00 00:00:00","SurveyExpirationDate":"0000-00-00 00:00:00","SurveyCreationDate":"2021-01-20 13:39:44","CreatorID":"UR_0e4Wr6osIKPvqNn","LastModified":"2021-02-10 10:41:29","LastAccessed":"0000-00-00 00:00:00","LastActivated":"2021-01-20 13:49:40","Deleted":null},"SurveyElements":[{"SurveyID":"SV_aaTXFYqDX70Cbno","Element":"BL","PrimaryAttribute":"Survey Blocks","SecondaryAttribute":null,"TertiaryAttribute":null,"Payload":{"1":{"Type":"Trash","Description":"Trash \/ Unused Questions","ID":"BL_erGOfrK4v8i6EHb","BlockElements":[{"Type":"Question","QuestionID":"QID279"},{"Type":"Question","QuestionID":"QID278"},{"Type":"Question","QuestionID":"QID280"},{"Type":"Question","Quest |
alexchinco
/ survey_variant_stable_predictor.QSF
Created
February 11, 2021 16:30
Survey Variant, Stable Predictor
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| {"SurveyEntry":{"SurveyID":"SV_bQ7bc7jA7EeDB41","SurveyName":"Mutual fund vs. Bond for ECON new language 101320","SurveyDescription":null,"SurveyOwnerID":"UR_0e4Wr6osIKPvqNn","SurveyBrandID":"chicagobooth","DivisionID":"DV_a9PVFYw92ZwrUUJ","SurveyLanguage":"EN","SurveyActiveResponseSet":"RS_bO9poszXRhEJC6N","SurveyStatus":"Active","SurveyStartDate":"0000-00-00 00:00:00","SurveyExpirationDate":"0000-00-00 00:00:00","SurveyCreationDate":"2020-10-13 10:41:57","CreatorID":"UR_0e4Wr6osIKPvqNn","LastModified":"2020-12-16 16:28:50","LastAccessed":"0000-00-00 00:00:00","LastActivated":"2020-10-13 10:47:57","Deleted":null},"SurveyElements":[{"SurveyID":"SV_bQ7bc7jA7EeDB41","Element":"BL","PrimaryAttribute":"Survey Blocks","SecondaryAttribute":null,"TertiaryAttribute":null,"Payload":{"1":{"Type":"Trash","Description":"Trash \/ Unused Questions","ID":"BL_erGOfrK4v8i6EHb","BlockElements":[{"Type":"Question","QuestionID":"QID193"},{"Type":"Question","QuestionID":"QID98"},{"Type":"Question","QuestionID":"QID100"},{"Type":" |
alexchinco
/ survey_variant_marginal_decision.QSF
Created
February 11, 2021 16:29
Survey Variant, Marginal Decision
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| {"SurveyEntry":{"SurveyID":"SV_8jquVQy3YN1L3ZH","SurveyName":"Mutual fund vs. Bond Portfolio Language","SurveyDescription":null,"SurveyOwnerID":"UR_0e4Wr6osIKPvqNn","SurveyBrandID":"chicagobooth","DivisionID":"DV_a9PVFYw92ZwrUUJ","SurveyLanguage":"EN","SurveyActiveResponseSet":"RS_8bHv1ePSVgQGTJ3","SurveyStatus":"Active","SurveyStartDate":"0000-00-00 00:00:00","SurveyExpirationDate":"0000-00-00 00:00:00","SurveyCreationDate":"2020-10-14 12:38:14","CreatorID":"UR_0e4Wr6osIKPvqNn","LastModified":"2021-02-10 13:14:58","LastAccessed":"0000-00-00 00:00:00","LastActivated":"2020-10-14 12:43:37","Deleted":null},"SurveyElements":[{"SurveyID":"SV_8jquVQy3YN1L3ZH","Element":"BL","PrimaryAttribute":"Survey Blocks","SecondaryAttribute":null,"TertiaryAttribute":null,"Payload":{"1":{"Type":"Trash","Description":"Trash \/ Unused Questions","ID":"BL_erGOfrK4v8i6EHb","BlockElements":[{"Type":"Question","QuestionID":"QID193"},{"Type":"Question","QuestionID":"QID98"},{"Type":"Question","QuestionID":"QID100"},{"Type":"Question", |
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