"Thousands of tired, nerve-shaken, over-civilized people are beginning
to find out that going to the mountains is going home; that wildness is a
necessity; and that mountain parks and reservations are useful not only as
fountains of timber and irrigating rivers, but as fountains of life." –John Muir
Data and code from "Short Interest and Aggregate Stock Returns" by Rapach, Ringgenberg, and Zhou (Journal of Financial Economics, 2016)
Mac users: Data and code
Windows users: Data and code
Update: short interest index (SII) data for 1973:01–2021:12
Third party out-of-sample confirmation of Short Interest and Aggregate Stock Returns
Another third party out-of-sample confirmation of Short Interest and Aggregate Stock Returns
Third party out-of-sample confirmation of "Short Selling Risk" by Engelberg, Reed, and Ringgenberg (Journal of Finance, 2018)
Data and code from "Do Index Funds Monitor?" by Heath, Macciocchi, Michaely, and Ringgenberg (Review of Financial Studies, 2021)
A note on Russell-based methodologies - Paper coming soon
Data and code from "On Index Investing" by Coles, Heath, and Ringgenberg (Journal of Financial Economics, 2022)
For more information about Reusing Natural Experiments, see https://www.reusingnaturalexperiments.com
Code to download 10-K filing dates from COMPUSTAT as recommended in "Anomaly Time" (Journal of Finance, forthcoming)