Code, replication files, and data for research in macro-finance and asset pricing.
CSV file containing the time-series of the return spread between low and high receivables to sales (R/S) firms (raw spread and industry adjusted). Based on "Grigoris, Hu, and Segal (2023), Counterparty Risk: Implications for Network Linkages and Asset Prices, Review of Financial Studies, 36(2), 814–858".
Download here: CSV File
Tired of waiting for your value-function-iteration code to converge in Matlab? Simulating a cross-section takes forever? Afraid of C++?
The following may help you. I provide an example of how to solve a simple production model and how to simulate a cross-section of firms in C++. The code uses Armadillo library, whose syntax is very similar to Matlab. I specify instructions on how to to compile the code. Along with the C++ code, I include an equivalent Matlab code, and show the mapping between the two. Simulating the cross-section takes over 16 mintues in Matlab, but only 14 seconds in C++. The code can be easily altered to solve more complicated setups.
Download here: Value Function Iteration in C++
The journal’s supplemental-materials page links to its replication files and online appendix.
Management Science replication page ↗
If using this code or data, please cite: Grigoris and Segal (2024), “The Utilization Premium,” Management Science, 70(1), 207–224.
The replication code is listed under Supporting Information on the article page.
Journal of Finance replication page ↗
If using this code or data, please cite: Grigoris and Segal (2026), “Investment under Upstream and Downstream Uncertainty,” Journal of Finance, 81(1), 413–457.
Replication code.
If using this code or data, please cite: Davis and Segal (2023), “Trendy Business Cycles and Asset Prices,” Review of Financial Studies, 36(6), 2509–2570.
Replication code and pseudodata.
If using this code or data, please cite: Grigoris, Hu, and Segal (2023), “Counterparty Risk: Implications for Network Linkages and Asset Prices,” Review of Financial Studies, 36(2), 814–858.