Overview

The data from this code base was used in the paper In Search of the True Greenium by Eskildsen, Ibert, Jensen, and Pedersen (2024). If you use the code and/or the data, please cite the paper:

@article{greenium2024,
  title={In Search of the True Greenium},
  author={Eskildsen, Marc and Ibert, Markus and Jensen, Theis Ingerslev and Pedersen, Lasse Heje},
  year={2024}
}

Implied cost of capital - Data

Code to generate the implied cost of capital measures used in The data is available here: https://www.dropbox.com/scl/fo/j10kaoqlxe4vc1exw2efa/h?rlkey=coqucul5f6uuhrgy259v18v6n&dl=0 The folder also contains a description of the columns in the data sets.

Implied cost of capital - Code

To generate the data yourself:

• Step 1: Download files to your local PC
• Step 2: Open implied-cost-of-capital.Rproj in R
• Step 3: Modify the file main.R, by adding WRDS login details and an API key to the St. Louis's FRED database (https://fred.stlouisfed.org/docs/api/api_key.html):

# User defined inputs ------------------------
# Users need to modify the three variables below to their own credentials
wrds_username <- "YOURWRDSUSENAME"
wrds_password <- "YOURWRDSPASSWORD"
fread_apikey <- "YOURFREDAPIKEY"

• Step 4: Run the script main.R to generate the data

After executing these four steps, your project folder should contain the following files:

• icc_us.csv: ICC's in the US based on prices from CRSP
• icc_comp.csv: ICC's in the US and globally, based on prices from Compustat