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
List of companies
    data/

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.
     For replication it is necessary to replace the routines for pulling data
     from Yahoo to your preferred data provider, and also create a routine
     that pulls a time series of market capitalizations,
       R_progs/

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