I'm currently trying to reproduce some results shown in the book 'Empirical Asset Pricing: The Cross Section of Returns' by Bali, Engle, and Murray. More precisely, I try to compute Table 7.3 and 9.1. The results that I obtain are similar to these tables but not exactly the same. Furthermore, I observe that the variable 'n' (average number of stocks per month) differs slightly, and therefore, I believe that my stock sample might be different from the used 'CRSP U.S.-Based Common Stock Sample' (defined in Section 7.1.1). Although I double-checked my implementation, I could not figure out where the difference comes from.

Is somebody able to exactly reproduce the results shown in Table 7.3 or 9.1 or able to give me a hint how I can check whether my stock sample is correct?

Thank you very much for your help!



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