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example_figures
example_figures
 
 
.DS_Store
.DS_Store
 
 
.gitattributes
.gitattributes
 
 
1_clean_data.py
1_clean_data.py
 
 
2a_calculate_mom_port_betas.py
2a_calculate_mom_port_betas.py
 
 
2b_calculate_mom_port_volatility_skewness.py
2b_calculate_mom_port_volatility_skewness.py
 
 
2c_calculate_mom_port_capital_overhang.py
2c_calculate_mom_port_capital_overhang.py
 
 
2d_calculate_vw_mom_port_returns.py
2d_calculate_vw_mom_port_returns.py
 
 
2e_calculate_theta_mi_stocks_market_weights.py
2e_calculate_theta_mi_stocks_market_weights.py
 
 
3a_computing_Si_xi.py
3a_computing_Si_xi.py
 
 
3b_computing_expected_returns.jl
3b_computing_expected_returns.jl
 
 
3d_draw_empirical_graphs.jl
3d_draw_empirical_graphs.jl
 
 
README.md
README.md
 
 

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Replicate Barberis, Jin, and Wang (2021)

Description:

This code replicates parts of the paper "Prospect Theory and Stock Market Anomalies" by Barberis, Jin, and Wang. I choose the momentum anomaly to replicate in my code.

Example:

Figure3

Figure4

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Replicate Barberis, Jin, and Wang (2021)

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finance anomaly anomalies behavioral-finance

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