Supplements

This page provides supplement files that are too large to be posted in the published article’s supplementary information section. All other supplements can can be found on each article’s online page under “Supporting Information.” See the Journal article page or the Wiley Online Library. This page also provides all supplements for papers published prior to February 2013.

Paper from the February 2020 issue

Replication code for “A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets” (zip file) Wenjin Kang, K. Geert Rouwenhorst, and Ke Tang

Permanent link: https://doi.org/10.37214/jofdata.3

Paper from the December 2020 issue

Replication code and data for “The Employment Effects of Faster Payment: Evidence from the Federal Quickpay Reform” (zip file) Jean-Noel Barrot and Ramana Nanda

Permanent link: https://doi.org/10.37214/jofdata.1

Paper from the December 2014 issue

Replication code and data for “Sizing Up Repo” (zip file) Arvind Krishnamurthy, Stefan Nagel, and Dmitry Orlov

Permanent link: https://doi.org/10.37214/jofdata.2

Papers from 2013

• February Issue
  • Internet Appendix for “Industry-Specic Human Capital, Idiosyncratic Risk, and the Cross-Section of Expected Stock Returns” (PDF file) Esther Eiling
  • Internet Appendix to “Ex Ante Skewness and Expected Stock Returns” (PDF file) Jennifer Conrad, Robert F. Dittmar, and Eric Ghysels
  • Internet Appendices for “What Do Consumers’ Fund Flows Maximize? Evidence from Their Brokers’ Incentives” (PDF file) Susan E.K. Christoffersen, Richard Evans, and David K. Musto
  • Internet Appendix for “Analyst Forecast Consistency” (PDF file) Gilles Hilary and Charles Hsu.
  • Internet Appendix for “Liquidity Cycles and Make/Take Fees in Electronic Markets” (PDF file) Thierry Foucault, Ohad Kadan, and Eugene Kandel
  • Internet Appendix for “Short-Selling Bans around the World: Evidence from the 2007-09 Crisis” (PDF file) Alessandro Beber and Marco Pagano

Papers from 2012

• December Issue
  • Internet Appendix for “On the Relative Pricing of Long Maturity Index Options and Collateralized Debt Obligations” (PDF file) Pierre Collin-Dufresne, Robert S. Goldstein, and Fan Yang
  • Internet Appendix to “Strategic Default and Equity Risk Across Countries” (PDF file) Giovanni Favara, Enrique Schroth, and Philip Valta
  • Internet Appendix for “Agency Problems in Public Firms: Evidence from Corporate Jets in Leveraged Buyouts” (PDF file) Jesse Edgerton
• October Issue
  • Internet Appendix: The Supply-Side Determinants of Loan Contract Strictness (PDF file) Justin Murfin
  • Internet Appendix to “Financial Flexibility, Bank Capital Flows, and Asset Prices” (PDF file) Christine A. Parlour, Richard Stanton, and Johan Walden
  • Internet Appendix for “Regulatory Arbitrage and International Bank Flows” (PDF file) Joel F. Houston, Chen Lin, and Yue Ma
  • Internet Appendix for “Incomplete-Market Equilibria Solved Recursively on an Event”(PDF file)
• August Issue
  • Internet Appendix to “Technological Growth and Asset Pricing” (PDF file) Nicolae Gârleanu, Stavros Panageas, and Jianfeng Yu
  • Internet Appendix for “Are Overconfident CEOs Better Innovators?” (PDF file) David Hirshleifer, Angie Low, and Siew Hong Teoh
• June Issue
  
  • Internet Appendix for “The Case for Intervening In Bankers’ Pay” (PDF file) John Thanassoulis 
  • Internet Appendix for “Decoding Inside Information” (PDF file) Lauren Cohen, Christopher Malloy, and Lukasz Pomorski
  • Internet Appendix for “Determinants of Cross‐Border Mergers and Acquisitions” (PDF file) Isil Erel, Rose C. Liao, and Michael S. Weisbach
  • Internet Appendix for “Threshold Events and Identification: A Study of Cash Shortfalls”(PDF file) Tor‐Erik Bakke and Toni M. Whited
• April Issue
  • Internet Appendix for “Hedge Funds and Chapter 11” (PDF file)  Wei Jiang, Kai Li, and Wei Wang
• February Issue
  • Internet Appendix for “The Power of Voice: Managerial Affective States and Future Firm Performance” (PDF file) William J. Mayew and Mohan Venkatachalam
  • Internet Appendix to “Political Uncertainty and Corporate Investment Cycles” (PDF file) Brandon Julio and Youngsuk Yook
  • Internet Appendix to “The Credit Ratings Game” (PDF file) Patrick Bolton, Xavier Freixas, and Joel Shapiro
  • Internet Appendix to “Tiebreaker: Certification and Multiple Credit Ratings” (PDF file) Dion Bongaerts, K. J. Martijn Cremers, and William N. Goetzmann
  • Internet Appendix for “External Networking and Internal Firm Governance” (PDF file) Cesare Fracassi and Geoffrey Tate

Papers from 2011

• December Issue
  • Internet Appendix to “Prices or Knowledge? What Drives Demand for Financial Services in Emerging Markets?” (PDF file) Shawn Cole, Thomas Sampson, and Bilal Zia
  • Internet Appendix to “IQ and Stock Market Participation” (PDF file) Mark Grinblatt, Matti Keloharju, and Juhani Linnainmaa
  • Internet Appendix for “Ambiguous Information, Portfolio Inertia, and Excess Volatility”(PDF file) Philipp Karl Illeditsch
• October Issue
  • Internet Appendix for “Free Cash Flow, Issuance Costs, and Stock Prices” (PDF file) Jean-Paul Décamps, Thomas Mariotti, Jean-Charles Rochet, And Stéphane Villeneuve
  • Internet Appendix for “Nonbinding Voting for Shareholder Proposals” (PDF file) Doron Levit and Nadya Malenko
  • Internet Appendix for “Overconfidence and Early-life Experiences: The Effect of Managerial Traits on Corporate Financial Policies” (PDF file) Ulrike Malmendier, Geoffrey Tate, and Jon Yan
  • Internet Appendix for “Are Incentive Contracts Rigged By Powerful CEOs?” (PDF file) Adair Morse, Vikram Nanda, and Amit Seru
• August Issue
  • Internet Appendix for “Public Pension Promises: How Big Are They and What Are They Worth?” (PDF file) Robert Novy-Marx and Joshua Rauh
  • Internet Appendix to “Who Drove and Burst the Tech Bubble?” (PDF file) John M. Griffin, Jeffrey H. Harris, Tao Shu, and Selim Topaloglu
  • Internet Appendix for “Individual Investors and Volatility” (PDF file) Thierry Foucault, David Sraer, and David Thesmar
  • Internet Appendix to “Are Options on Index Futures Profitable for Risk-Averse Investors? Empirical Evidence” (PDF file) George M. Constantinides, Michal Czerwonko, Jens Carsten Jackwerth, and Stylianos Perrakis
• June Issue
  • Internet Appendix to“The Internal Governance of Firms” (PDF file) Viral V. Acharya, Stewart C. Myers, Raghuram G. Rajan
  • Internet Appendix to “Financial Distress and the Cross-section of Equity Returns” (PDF file) Lorenzo Garlappi And Hong Yan
  • Internet Appendix to “Are All Inside Directors the Same?” (PDF file) Ronald W. Masulis and Shawn Mobbs
  • Internet Appendix to “Intermediated Investment Management” (PDF file) Neal M. Stoughton, Youchang Wu, and Josef Zechner
  • Internet Appendix to “Do Individual Investors Have Asymmetric Information Based on Work Experience?” (PDF file) Trond M. Døskeland and Hans K. Hvide
• April Issue
  • Internet Appendix for “Bankruptcy and the Collateral Channel” (PDF file) Efraim Benmelech and Nittai K. Bergman
  • Appendix for “Do Buyouts (Still) Create Value?” (PDF file) Shourun Guo, Edith Hotchkiss and Weihong Song
  • Internet Appendix for “Corporate Governance, Product Market Competition, and Equity Prices” (PDF file) Xavier Giroud and Holger M. Mueller
  • Internet Appendix to “The Interim Trading Skills of Institutional Investors” (PDF file) Andy Puckett and Xuemin (Sterling) Yan.
    
  • Internet Appendix for “Institutional Trade Persistence and Long-term Equity Returns”(PDF file) Amil Dasgupta, Andrea Prat, and Michela Verardo
  • Internet Appendix for “Local Dividend Clienteles” (PDF file) Dividend Payout and Local Seniors
• February Issue
  • Internet Appendix for “Does Algorithmic Trading Improve Liquidity?” (PDF file) Terrence Hendershott, Charles M. Jones, and Albert J. Menkveld
  • Internet Appendix for “When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10-Ks” (PDF file) and Word lists for “When Is a Liability not a Liability” (Excel file) Tim Loughran and Bill McDonald
  • Internet Appendix to “Stock Market Liquidity and the Business Cycle” (PDF file) Randi Næs, Johannes A. Skjeltorp and Bernt Arne Ø
  • Appendix to “Asset Pricing with Garbage” (PDF file) Alexi Savov
  • Internet Appendix for “Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market” (PDF file) Dion Bongaerts, Frank de Jong and Joost Driessen

Papers from 2010

• December Issue
  • Internet Appendix for “Sticks or Carrots? Optimal CEO Compensation When Managers Are Loss-Averse” (PDF file) Ingolf Dittmann, Ernst Maug, and Oliver Spalt
  • Internet Appendix for “Who Blows the Whistle on Corporate Fraud?” (PDF file) Alexander Dyck, Adair Morse and Luigi Zingales
  • Internet Appendix for “Corporate Fraud and Business Conditions: Evidence from IPOs”(PDF file) Tracy Yue Wang, Andrew Winton, and Xiaoyun Yu
  • Internet Appendix for “Lucky CEOs and Lucky Directors” (PDF file) Lucian Bebchuk, Yaniv Grinstein, and Urs Peyer
• October Issue
  • Internet Appendix to “Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster Than They Fall?” (PDF file) Richard C. Green, Dan Li, and Norman Schürhoff
  • Internet Appendix to “Exploring the Nature of ‘Trader Intuition’” (PDF file) Antoine J Bruguier, Steven R Quartz, and Peter Bossaerts
  • Internet Appendix for “Hedge Fund Contagion and Liquidity Shocks” (PDF file) Nicole M. Boyson, Christof W. Stahel, and Rene M. Stulz
  • Internet Appendix to “Time for a Change: Loan Conditions and Bank Behavior When Firms Switch Banks” (PDF file) Vasso Ioannidou and Steven Ongena
  • Internet Appendix for “Short Sellers and Financial Misconduct” (PDF file) Jonathan M. Karpoff and Xiaoxia Lou
  • Internet Appendix for “Individual Investors and Local Bias” (PDF file) Mark Seasholes and Ning Zhu
• August Issue
  • Internet Appendix to “Intraday Patterns in the Cross-section of Stock Returns” (PDF file) Steven L. Heston, Robert A. Korajczyk, and Ronnie Sadka
  • Internet Appendix to “Sell‐Side School Ties” (PDF file) Lauren Cohen, Andrea Frazzini, and Christopher Malloy
  • Internet Appendix for “Predictive Regressions: A Present-Value Approach” (PDF file) Jules H. van Binsbergen and Ralph S.J. Koijen
  • Internet Appendix to “Do Limit Orders Alter Inferences about Investor Performance and Behavior?” (PDF file) Juhani Linnainmaa
  • Internet Appendix for “Why Do Foreign Firms Leave U.S. Equity Markets?” (PDF file) Craig Doidge, G. Andrew Karolyi, and René M. Stulz
  • Internet Appendix to “Market Segmentation and Cross-Predictability of Returns” (PDF file) Lior Menzly and Oguzhan Ozbas
  • Internet Appendix for “Mutual Fund Incubation” (PDF file) Richard B. Evans
  • Internet Appendix for “Mutual Fund Incubation” (EXCEL file) Richard B. Evans
• June Issue
  • Internet Appendix to “Does Credit Competition Affect Small-Firm Finance?” (PDF file) Tara Rice and Philip E. Strahan
  • Internet Appendix for “Human Capital, Bankruptcy, and Capital Structure” (PDF file) Jonathan B. Berk, Richard Stanton, and Josef Zechner
  • Internet Appendix to “Stapled Finance” (PDF file) Paul Povel and Rajdeep Singh
  • Internet Appendix for “The Political Economy of Financial Regulation: Evidence from U.S. State Usury Laws in the 19th Century” (PDF file) Efraim Benmelech and Tobias J. Moskowitz
  • Internet Appendix to “Financial Strength and Product Market Behaviour: The Real Effects of Corporate Cash Holdings” (PDF file) Laurent Fresard
  • Internet Appendix to “Executive Compensation and the Maturity Structure of Corporate Debt” (PDF file) Paul Brockman, Xiumin Martin, and Emre Unlu
  • Internet Appendix to “The Effect of SOX Section 404: Costs, Earnings Quality, and Stock Prices” (PDF file) Peter Iliev
• April Issue
  • Internet Appendix to “The Variability of IPO Initial Returns” (PDF file) Michelle Lowry, Micah S. Officer, and G. William Schwert
  • Internet Appendix to “The New Game in Town: Competitive Effects of IPOs” (PDF file) Hung-Chia Hsu, Adam V. Reed, and Jörg Rocholl
  • Internet Appendix to “Financial Structure, Acquisition Opportunities, and Firm Locations”(PDF file) Andres Almazan, Adolfo de Motta, Sheridan Titman, and Vahap Uysal
  • Internet Appendix to “The Interdependent and Intetemporal Nature of Financial Decisions: An Application to Cash Flow Sensitivities” (PDF file) Vladimir A. Gatchev, Todd Pulvino, and Vefa Tarhan
  • Internet Appendix to “Performance and Persistence in Institutional Investment Management” (PDF file) Jeffrey Busse, Amit Goyal, and Sunil Wahal
• February Issue
  • Internet Appendix to “Product Market Competition, Insider Trading and Stock Market Efficiency” (PDF file) Joel Peress
  • Internet Appendix to “Real and Financial Industry Booms and Busts” (PDF file) Gerard Hoberg and Gordon Phillips
  • Internet Appendix to “Global Currency Hedging” (PDF file) John Y. Campbell, Karine Serfaty-De Medeiros, and Luis M. Viceira
  • Internet Appendix for “A Habit-based Explanation of the Exchange Rate Risk Premium”(PDF file) Adrien Verdelhan
  • Internet Appendix to “Collateral Spread and Financial Development” (PDF file) Jose M. Liberti and Atif R. Mian
  • Internet Appendix to “False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas” (PDF file) Laurent Barras, Olivier Scaillet, and Russ Wermers
  • Internet Appendix to“Stock Market Declines and Liquidity” (PDF file) Allaudeen Hameed, Wenjin Kang, and S. Viswanathan
  • Internet Appendix for “Time Variation in Liquidity: The Role of Market-Maker Inventories and Revenues” (PDF file) Carole Comerton-Forde, Terrence Hendershott, Charles M. Jones, Pamela C. Moulton, and Mark S. Seasholes
  • Internet Appendix to “Individualism and Momentum around the World” (PDF file) Andy C.W. Chui, Sheridan Titman, and K.C. John Wei
  • Internet Appendix for “Correlation Risk and Optimal Portfolio Choice” (PDF file) Andrea Buraschi, Paolo Porchia, and Fabio Trojani

Papers from 2009

• December Issue
  • Internet Appendix to “Blockholder Trading, Market Efficiency, and Managerial Myopia” (PDF file) Alex Edmans
  • Internet Appendix to “Reinforcement Learning and Savings Behavior” (PDF file) James J. Choi, David Laibson, Brigitte C. Madrian, and Andrew Metrick
  • Internet Appendix to “Momentum, Reversal, and Uninformed Traders in Laboratory Markets” (PDF file) Robert Bloomfield, William B. Tayler, and Flora (Hailan) Zhou
  • Internet Appendix for “Catering Through Nominal Share Prices” (PDF file) Malcolm Baker, Robin Greenwood, and Jeffrey Wurgler
  • Internet Appendix to “International Stock Return Comovements” (PDF file) Geert Bekaert, Robert J. Hodrick, and Xiaoyan Zhang
  • Internet Appendix for “A Bayesian’s Bubble” (PDF file) C. Wei Li and Hui Xue
  • Internet Appendix for “Exponential Growth Bias and Household Finance” (PDF file) Victor Stango and Jonathan Zinman
• October Issue
  • Internet Appendix to “Media Coverage and the Cross-section of Stock Returns” (PDF file) Lily Fang and Joel Peress
  • Internet Appendix to “Frailty Correlated Default” (PDF file) Darrell Duffie, Andreas Eckner, Guillaume Horel, and Leandro Saita
  • Internet Appendix to “Attracting Flows by Attracting Big Clients” (PDF file) Lauren Cohen and Breno Schmidt
  • Internet Appendix for “The Relation between Price and Performance in the Mutual Fund Industry” (PDF file) Javier Gil-Bazo and Pablo Ruiz-Verdú
  • Internet Appendix to “Business Networks, Corporate Governance, and Contracting in the Mutual Fund Industry” (PDF file) Camelia M. Kuhnen
  • Internet Appendix for “Role of Managerial Incentives and Discretion in Hedge Fund Performance” (PDF file) Vikas Agarwal, Naveen D. Daniel, and Narayan Y. Naik
  • Internet Appendix to “Do Hedge Fund Managers Misreport Returns? Evidence from the Pooled Distribution” (PDF file) Nicolas P.B Bollen and Veronika K. Pool
  • Internet Appendix for “Driven to Distraction: Extraneous Events and Underreaction to Earnings News” (PDF file) David Hirshleifer, Sonya Seongyeon Lim, and Siew Hong Teoh
  • Internet Appendix for “Making Sense of Cents: An Examination of Firms That Marginally Miss or Beat Analyst Forecasts” (PDF file) Sanjeev Bhojraj, Paul Hribar, Marc Picconi, and John McInnis
  • Internet Appendix to “Electing Directors” (PDF file) Jie Cai, Jacqueline L. Garner, and Ralph A. Walkling
• August Issue
  • Internet Appendix for “Why Are Buyouts Levered? The Financial Structure of Private Equity Funds” (PDF file) Ulf Axelson, Per Strömberg, and Michael S. Weisbach
  • Internet Appendix for “Predictive Systems: Living with Imperfect Predictors” (PDF file) Lubos Pástor and Robert F. Stambaugh
  • Internet Appendix to “Control Rights and Capital Structure: An Empirical Investigation”(PDF file) Michael R. Roberts and Amir Sufi
  • Internet Appendix for “Rewriting History” (PDF file) Alexander Ljungqvist, Christopher Malloy and Felicia Marston
  • Internet Appendix to “Who Gambles In The Stock Market?” (PDF file) Alok Kumar
  • Internet Appendices to “The Corporate Propensity to Save” (PDF file) Leigh A. Riddick and Toni M. Whited
  • Internet Appendix to “Target Behavior and Financing: How Conclusive is the Evidence?”(PDF file) Xin Chang and Sudipto Dasgupta
  • Internet Appendix to “Analyzing the Tax Benefits from Employee Stock Options” (PDF file) Ilona Babenko and Yuri Tserlukevich
• June Issue
  • Internet Appendix to “Information Immobility and the Home Bias Puzzle” (PDF file) Stijn Van Nieuwerburgh and Laura Veldkamp
  • Internet Appendix to “International Taxation and the Direction and Volume of Cross-border M&As” (PDF file) Harry P. Huizinga and Johannes Voget
  • Internet Appendix to “Rank Order Tournaments and Incentive Alignment: The Effect on Firm Performance” (PDF file) Jayant Kale, Ebru Reis, and Anand Venkateswaran
• April Issue
  • Internet Appendix to “Cash Flow, Consumption Risk, and the Cross-Section of Stock Returns” (PDF file) Zhi Da
  • Internet Appendix to “Hedge Fund Risk Dynamics: Implications for Performance Appraisal” (PDF file) Nicolas P.B. Bollen, and Robert E. Whaley
  • Internet Appendix to “Income Risk and Portfolio Choice: An Empirical Study” (PDF file) Xiaohong Angerer, and Pok-sang Lam

Paper from the June 2008 issue
Appendix for “A Search-Based Theory of the On-the-Run Phenomenon” (PDF file)
Dimitri Vayanos and Pierre-Olivier Weill

Paper from the February 2007 issue
Data and supplements for “Lower Salaries and No Options? On the Optimal Structure of Executive Pay”(ZIP file)
Ingolf Dittmann and Ernst Maug

Paper from the August 2006 issue
Investor sentiment data used in “Investor Sentiment and the Cross-Section of Stock Returns” (Excel file)
Malcolm Baker and Jeffrey Wurgler

Paper from the August 2004 issue
Sample for “The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation” (Excel file)
Honghui Chen, Gregory Noronha, and Vijay Singal

Paper from the October 2000 issue
The Equity Share in New Issues and Aggregate Stock Returns
Malcolm Baker and Jeffrey Wurgler

Paper from the April 2000 issue
Supplement to “Foreign Speculators and Emerging Equity Markets” (zip file)
Geert Bekaert and Campbell R. Harvey

Paper from the October 1999 issue:
Supplement to “Optimal Investment, Growth Options and Security Returns”
Jonathan Berk, Richard Green, and Vasant Naik

Papers from the December 1998 issue:
Data for “Earnings Management and the Long-Run Market Performance of Initial public Offerings” (.htm files)
Authored by Siew Hong Teoh, Ivo Welch, and T.J. Wong
Dividend Corrections from “Stock Returns, Dividend Yields and Taxes” (Excel file)
Authored by Andy Naranjo, M. Nimalendran, and Mike Ryngaert

Paper from the April 1998 issue:
Data of Block Share Information from “Block Share Purchases and Corporate Performance” (Excel file)
Authored by Jennifer Bethel, Julia Liebeskind, and Tim Opler

Papers from the February 1998 issue:
Appendix for “Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies”
Torben Andersen and Tim Bollerslev
Simulated marginal tax rates from “Debt, Leases, Taxes, and the Endogeneity of Corporate Tax Status”
Authored by John R. Graham, Michael L. Lemmon, and James S. Schallheim.

Papers from the September 1997 issue:
Appendix Tables for “Informed Traders, Intervention and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market”
Bettina Peiers
Appendicies for “Public-Offerings of State-Owned and Privately-Owned Enterprises: An International Comparison”
Kathryn L. Dewenter and Paul H. Malatesta

Updates of Papers:
“Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility” – Errata
Torben Andersen, originally published Journal of Finance, 1996, Vol 51, 169-204
“Finance Research Productivity and Influence”
Update of Borokhovich, Bricker, Brunarski, and Simkins (1995)