thiago-os / Dissecting

Code to generate all tables and figures of "Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios", Critical Finance Review (forthcoming).

How to generate all results:
1. Open the file pls.py (on Spyder, for example).
2. Run the file pls.py (this will take a day probably...).
2.1. Save the results of all different models generated by pls.py with the name CFR72.mod for example (as a pickle).
3. Open the file CFR.ipynb on Jupyter notebook.
4. Run the file CFR.ipynb on Jupyter notebok to obtain all the graphs and tables in the paper from the pickles in step 2.1.