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\begin{document}


\begin{center}
 {\Large  \emph{Matlab Code for} \\ Investor Sentiment and Paradigm Shifts in Equity Return Forecasting
         }
   \end{center}



\section{Data}
\subsection{Return Variables}
\begin{itemize}


\item \url{SP500.m}: saves SP500 excess return data in \url{SP500_sentment_new.mat}
Here the excess stock market return is measured as
the difference between the log return on the S\&P 500 (including
dividends) and the log return on a risk-free bill. The
monthly data over 1965:07--2010:12 is downloaded from the Center for Research in Security Prices
(CRSP).

\item \url{SP500_longer_horizons.m}: saves the data for SP500 excess return over long horizons  in \url{SP500_longer.mat}

\item \url{CRSP_discount_rate.m}: saves discount rate in \url{discount_rate_CRSP.mat}

\end{itemize}
\subsection{Sentiment Regimes}
\begin{itemize}

\item \url{Sentiment_data.m}: save sentiment data in \url{CRSP_SENT_value_weighted_new.mat}
Here investor sentiment over  1965:07--2010:12 is downloaded from Jeffrey Wurgler's homepage. % \url{http://people.stern.nyu.edu/jwurgler/}

\item \url{Paramters_Sentiment.m} saves sentiment regime data in \url{Para_sentiment.mat}

\item \url{Paramters_Sentiment_medium.m} saves sentiment regime using median-cut data in \url{Para_sentiment_Medium.mat}

\item \url{Paramters_Sent_20percent.m} saves sentiment regime using the 20\%-cut data in \url{Para_sent_20percent.mat}


\end{itemize}
\subsection{Fundamental Economic Predictors}
\begin{itemize}

\item \url{trans279.m}: saves PCA of the individual macro variables in \url{PCA_ECON.mat}
Here the 132 macroeconomic series that are used to construct the fundamental economic predictors are downloaded from Sydney
C. Ludvigson's homepage.% \url{https://www.sydneyludvigson.com/}

\item \url{ECON_variables.m}: saves individual ECON predictors in \url{ECON_variable.mat}

\item \url{ECON_variables_PLS.m}: save the combined ECON variable in \url{ECON_variable_a.mat}

\item \url{ECON_variable_medium.m}: saves  ECON predictors for medium-cut regime in
\url{ECON_variable_medium.mat}

\item \url{ECON_variable_20perc.m}: saves  ECON predictors for 20\%-cut regime in
\url{ECON_variable_20perc.mat}


\end{itemize}
\subsection{Non-Fundamental Predictors}
\begin{itemize}

\item \url{technical_variables.m}: saves technical indicators in \url{technical.mat}

\item \url{anchoring.m}: saves anchoring variables in \url{anchoring.mat}

\item \url{NONFUND_variables.m}: saves all NONFUND variables in \url{NONFUND_variable.mat}

\item \url{NONFUND_variables_PLS.m}: save the combined NONFUND variable in \url{NONFUND_variable_new.mat}

\item \url{NONFUND_variable_medium.m}: saves  NONFUND predictors for medium-cut regime in
\url{NONFUND_variable_medium.mat}

\item \url{NONFUND_variable_20perc.m}: saves  NONFUND predictors for 20\%-cut regime in
\url{NONFUND_variable_20perc.mat}

\item \url{PLS_Oil_shock.m}: saves ECON and NONFUND predictors for excluding the oil
shock recession in
\url{PLS_NO_73_75_period.mat}

\item \url{PLS_Expansion.m}: saves ECON and NONFUND predictors  for during economic expansion in
\url{PLS_ECON_NONFUND_EXP.mat}

%\item \url{CTdata.m}: saves the data in \citeasnoun{CT08}


\end{itemize}

\section{Figures and Tables}
\begin{itemize}
\item Figures 1 and 3: \url{Paramters_Sentiment.m}. Estimate sentiment regimes using the regime-switching model and the median-cut model respectively. Load sentiment data from \url{CRSP_SENT_value_weighted_new.mat}

\item Figures 2, 4, 5: \url{Figure2.m}, \url{Figure4.m}, and \url{Figure5.m}. Plot the time series, correlations, and predicted returns, respectively, of combined predictors saved in \url{ECON_variable_a.mat} and \url{NONFUND_variable_new.mat}.

\item Table 1: \url{Table1.m}. Summary statistics.

\item Table 2: \url{Table2.m}

\item Table 3 Panels A and B: \url{Table3A.m} and \url{Table3B.m}. %Individual fundamental (non-fundamental) variables are loaded from \url{ECON_variable.mat} and \url{NONFUND_variable.mat}, respectively. 
    Panel C: \url{Table3C_univariate.m} for univariate regressions and \url{Table3C_bivariate.m} for bivariate regressions.

\item Table 4: \url{Table4.m}

\item Table 5 Panel A: \url{Table5A_univariate.m} and \url{Table5A_bivariate.m}; Panel B: \url{Table5B.m}; Panel C: \url{Table5C_univariate.m} and \url{Table5C_bivariate.m}; Panel D: \url{Table5D_univariate.m} and \url{Table5D_bivariate.m}; Panel E: \url{Table5E_univariate.m} and \url{Table5E_bivariate.m}

\item Table 6: \url{Table6.m}

\item Table 7: \url{Table7.m}, \url{ECON_variable_long_horizon.m}, \url{NONFUND_variable_Long_horizon.m}, and \url{SP500_longer_horizons.m}


\item Table 9: \url{Table9.m}

\item Table 10: \url{Table10.m}

\end{itemize}
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