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

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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

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Paper from the December 2014 issue

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

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Papers from 2013

Papers from 2012

Papers from 2011

Papers from 2010

Papers from 2009

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)