Time-Varying Risk Premium in Large Cross-Sectional Equity Data Set

By Scaillet Olivier, Gagliardini Patrick, and Ossola Elisa
Econometrica (2016)

  • Olivier Scaillet

    University of Geneva and Swiss Finance Institute


  • Patrick Gagliardini

    University of Lugano and Swiss Finance Institute


  • Elisa Ossola

    Università della Svizzera Italiana



September 14, 2017

Last update

September 14, 2017


Zip Archive








Programs and datasets for the paper "Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets", by P. Gagliardini, E. Ossola and O. Scaillet. (1) Monthly data used for Section 4 from Jul 64 to Dec 09: Wspace_25FF.mat 25 Fama-French portfolios Wspace_44Indu.mat 44 Indu. portfolios Wspace_CRSPCMST_ret.mat Individual stocks matching CRSP and Compustat Wspace_Fact.mat factors: mkt,smb,hml,mom RiskFree.mat free-risk rate: monthly 30-day T-bill Wspace_Instrum.mat instruments: default spread, term spread (2) MATLAB codes for the empirical exercises in Section 4. GOS_main.m is the main code that allows you to perform the exercises in Section 4. You need to insert the INPUT (dataset, number of factors, model) at the beginning of the code. Each MATLAB code is annotated and contains a step-by-step description of the successive computations. We use EstTimeInvariantMod.m to estimate time-invariant models and get Tables 1 and 3. We use EstTimeVariantMod.m to estimate time-varying models and get Tables 2 and 3, and Figures 1-2, and Figures in Appendices 9-11. We also get results for the time-variation tests shown in Section 4.3.

Instructional Manipulation Checks: A longitudinal analysis with implications for MTurk

International Journal of Research in Marketing (2018)

Paas Leonard, Dolnicar Sara, and Karlsson Logi


Zip Archive




Endogeneity in survey research

International Journal of Research in Marketing (2018)

Sande Jon Bingen and Ghosh Mrinal

The Leverage Effect and the Basket-Index Put Spread

Journal of Financial Economics (2018)

Bai Jennie, Goldstein Robert, and Yang Fan

Huggett Economies with Multiple Stationary Equilibria

Journal of Economic Dynamics and Control (2017)

Toda Alexis Akira

Securitized Markets, International Capital Flows, and Global Welfare

Working Paper (2016)

Toda Alexis Akira and Phelan Gregory

Growth Effects of Annuities and Government Transfers in Perpetual Youth Models

Journal of Mathematical Economics (2017)

Miyoshi Yoshiyuki and Toda Alexis Akira

Edgeworth Box Economies with Multiple Equilibria

Economic Theory Bulletin (2017)

Toda Alexis Akira and James Kieran

A Note on the Size Distribution of Consumption: More Double Pareto than Lognormal

Macroeconomic Dynamics (2017)

Toda Alexis Akira

Capturing flexible correlations in multiple-discrete choice outcomes using copulas

International Journal of Research in Marketing (2018)

Kim Chul, Jun Duk Bin, and Park Sungho


Zip Archive




0 comment

Add comment

You need to log in to post a comment.