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WP302_FOMCdata_2
We collect intraday data on days with scheduled (# 112) and unscheduled (# 2) FOMC announcements between 2006 and 2019, for which detailed data on prices (and fund flows) are available.9 We then measure the change of the ...
WP302_FOMCdata_1
We collect commentary from market participants (e.g., traders, analysts, economists) on the outcome of the meeting shortly after an FOMC announcement.
Trimtabs
Trimtabs conduct their own survey to obtain fund flows and returns for approximately 15% of the market.
NSE
National Stock Exchange of India Limited (NSE) is the leading stock exchange of India, located in Mumbai, Maharashtra.
Hao Zhou Webpage
The variance risk premium taken from Hao Zhou’s homepage.
Bundesbank
The monetary, financial and foreign trade statistics compiled within the framework of the Bundesbank's statutory mandate as well as the comprehensive indicator sets and seasonally adjusted economic data comprise a broad ...
TRTH
Tick History is a historical market data service, offering global intra-day Time and Sales, Quotes, and Market Depth content dating back to January 1996 for an extensive range of equities, indices, foreign exchange, money, ...
Amit Goyal
We use the price-dividend ratio of the aggregate stock market provided on Amit Goyal’s webpage.
TAQ
NYSE Trade and Quote (TAQ) database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX), as well as Nasdaq National ...