GOV2001 Replication Paper

Meet the co-authors:
Ivan Dong - Concentrating in Applied Math and Economics, Class of 2005
Charles Duan - Concentrating in Computer Science, Class of 2004
Mee-Jung Jang - Concentrating in Computer Science, Class of 2006

What We Did:
By taking Gov2001 we learned how to write a publishable paper through the process of replication. Because all three of us were going to intern at a hedge fund the upcoming summer, we chose to replicate Contextual Fundamental Analysis Through the Prediction of Extreme Returns , a paper that was published in the "Review of Accounting Studies" in 2001.

We carefully followed the guidelines provided by our professor Gary King on how to write a publishable paper. In the process, we made R packages that contained the data, code, and documentation for our replication. Here is a sample R package we built early on in the project. The R package below contains code and results for calculating the fundamental variables for a small set of IBM data.
Sample R Package
IBM Quarterly COMPUSTAT data used
IBM ANNUAL COMPUSTAT data used

The Finished Paper:
After replicating the results of the original paper, we extended the results to write our own publishable paper.
Predicting Extreme Stock Performance More Accurately

[Home] ©2009 Kane Capital Management