GOV2001 Replication Paper

Meet the co-authors:
Daniel Suo - Concentrating in Chemistry and Physics, Class of 2010
Luyi Zhao - Concentrating in Statistics, Class of 2010

What We Did:
By taking Government 2001 (Advanced Quantitative Research Methodology), we learned how to write a publishable paper through the process of replication. Because both of us were going to work at Kane Capital this summer, we chose to replicate Differences of Opinion and the Cross-Section of Stock Returns, a paper that was published in the "The Journal of Finance" in 2002.

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 our final package which contains code and results to calculate our final results.

R Package

The Finished Paper:
After replicating the results of the original paper, we extended the results to write our own publishable paper.

Dispersion, Coverage, and the Rational Investor: Using Analysts' Earnings Forecasts to Predict Stock Returns