Replication code for peer-reviewed article published in The Journal of Finance. Paper published online December 23, 2024. When citing this dataset, please also cite the a[...]

The aggregate leverage of broker‐dealers responds to demand and supply disturbances that have opposite effects on financial markets. Specifically, leverage supply shocks [...]

We develop an exact and distribution-free procedure to test for quantile predictability at several prediction horizons and quantile levels jointly, while allowing for an [...]

This paper documents stylized facts about the life cycle of trading activity and trading cost (i.e., market liquidity) of Government of Canada (GoC) bonds. Using a unique[...]

The data and programs replicate tables and figures from "The life cycle of trading activity and liquidity of Government of Canada bonds: Evidence from cash, repo and secu[...]

We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and[...]

We develop a finite-sample procedure to test the mean-variance efficiency and spanning hypotheses, without imposing any parametric assumptions on the distribution of mode[...]

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbanc[...]

We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is great[...]