Replication Package for Unvertainty about What's in the Price

This is the replication package for the paper "Uncertainty about What's in the Price", to be published in the Journal of Financial Economics. The data we provide is a subsample of our data files with scrambled company IDs and other identifying information removed. The subsample consists of data for 100 firms selected by, in that order, S&P inclusion/deletion events and data coverage. The main analysis is run in Stata using the +replication do-file. For more information about data source files and data processing, see the +replication do-file.