replication package,
Exclusions paper

This package contains the necessary data and R programs to replicate
the results in the paper.

It is downloaded as a zip file.
Unzip the file, make sure you specify that directory paths are included. 

It is currently incomplete, below is a list of which paper/appendix tables
has its code included.

The packagee contains two directories:
  data      input data
  R_progs   R programs

To replicate: 
Paper
   Table 5 - run programs
        R_prog/do_regressions_ew.R
        R_prog/do_regressions_vw.R
   Table 6 - run program
        R_progs/regressions_by_reason.R
    Table 7 run programs
        R_progs/complete_regressions_pre_revoke.R
Appendix
   Figures B.2 and B.4  - run programs
       R_progs/plot_ff_comparison_vw.R
       R_progs/plot_ff_comparison_ew.R

Portfolio construction.
   The data for the construction of portfolios has been downloaded from Datastream
   We are not allowed to enclose this data.
   To help in replication we include an R program that illustrates reading data
     from yahoo finance and constructing equal and value weighted portfolios.
   See:
         R_progs/illustrate_portfolio_construction.R
    For replication it is necessary to replace the routines for pulling data
    from Yahoo with a call to pulling data from  your preferred data provider,
    and also create a routine that pulls a time series of market capitalizations

    The file 
       data/list_of_firms_ids_and_dates.csv 
    contains the list of companies and ids used in the analysis

To run all programs, use the command file "rep.sh" (on Unix systems)