Theodoros Evgeniou, Enric Junque de Fortuny, Nick Nassuphis, and Theo Vermaelen
The paper is generated by sourcing file manuscriptJF.Rnw. Please start from that file to trace the paths to all code files used.
In order to generate the paper (and source the file manuscriptJF.Rnw) you need to first generate all data based on the raw data from WRDS. As we cannot make the WRDS data public (e.g. from CRSP, Thomson/Reuters SDC, and other data sources), it is not possible to generate the pdf report after only downloading/forking all files in this repository - at this stage. However, all data are generated using create_bbissuers_data.R. The helper functions and code that constructs are datasets used are available upon request.
The paper is accompanied by an interactive tool to explore paper parameters that also allows the creation and download of customized versions of the paper (currently a draft, also available here ).