Data
"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 (2016)
Mac users: Data and code
Windows users: Data and code
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 (2018)
Data and code from "Do Index Funds Monitor?" by Heath, Macciocchi, Michaely, and Ringgenberg (2021)
Data and code from "On Index Investing" by Coles, Heath, and Ringgenberg (2022)
For more information about Reusing Natural Experiments, see https://www.reusingnaturalexperiments.com