Theodoros Evgeniou, Enric Junque de Fortuny, Nick Nassuphis, and Theo Vermaelen
The paper is generated by sourcing file manuscript.Rnw. Please start from that file to trace the paths to all code files used. All files used are included. The process from the raw data to the pdf is as follows:
- create_project_data.R: gathers the data from all necessary sources.
- process_data_for_paper.R: uses the file generated by create_project_data.R to run all analyses in order to generate all variables used in the paper (.Rnw).
- manuscript.Rnw: uses the file generated by process_data_for_paper.R to generate the final pdf.
- Files Paper_global_parameters.R and filter_data_for_paper.R include all parameters used to clean the data
The helper functions are available at https://github.com/tevgeniou/FinanceHelpers (see instructions in README file of that repository).
In order to generate the paper (and source the file manuscript.Rnw) you need to first generate all data based on the raw data from WRDS. As we cannot make the WRDS data public (e.g. from CRSP, Thomson/Reuters SDC, and other data sources), it is not possible to generate the pdf report after only downloading/forking all files in this repository - at this stage. All data are generated using create_project_data.R.
The paper is accompanied by an interactive tool to explore paper parameters that also allows the creation and download of customized versions of the paper