Data for: Volatility Timing, Sentiment, and the Short-term Profitability of VIX-based Cross-sectional Trading Strategies

  • Aditi Bapat (Contributor)
  • Natascha Schippel (Contributor)
  • Xiaojian Shi (Contributor)
  • Paniz Jasbi (Contributor)
  • Haiwei Gu (Contributor)
  • Mrinalini Kala (Contributor)
  • Aparna Sertil (Contributor)
  • Shalini Sharma (Contributor)
  • Wenjie Ding (Contributor)
  • Khelifa Mazouz (Contributor)
  • Qingwei Wang (Contributor)



Use Stata to run the program. Change the path to the folder where alldata.dta file is saved before running the file.
Date made availableMar 3 2021
PublisherMendeley Data

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