Paper Replication: Lemmon, Roberts, and Zender (2008)

The goal of this exercise is to replicate some of the results in Lemmon, Roberts, and Zender (2008) using the R programming language.

Persistence and the Cross-Section of Corporate Capital Structure

The sample consists of all nonfinancial firms in the Compustat database from 1965 to 2003. To avoid Compustat data disclosure and to simplify data acquisition, you can download the csv file available at the following link. The file contains all the variables required for the analysis in Lemmon, Roberts, and Zender (2008), constructed following the authors’ methodology described in the paper’s appendix. Data are already winsorized.

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