
1. Return and volatility series are in excel.file "Return". I also generate the MAT file which is identical to the excel to be load easily.

2. Main codes for each figure and table are in the folder "Main" with name "Fig1_...", "Tab1_..." corresponding to each figure and table in the paper.

3. Functions used are in the folder "Function". Functions defined by me are named "Func_...", and functions borrowed from toolbox are in their own names.

4. For Figure1, codes used for plotting are together with the main code. For Figure2-5, codes used for plotting are in the folder "Figure".

5. For Table1, Table2, Table7-9, TableA2, codes for compilling are together with their main codes. For the other tables, codes for compilling are in the folder "Table".

6. Results generated by the codes, which used for plotting figures and compilling tables are in the folder "Mat".

7. Factor returns including MSCI world, Fama-French 3 factors and value and momentum everywhere factors are in the excel named "Factors".

8. Codes used for the appendix are in the folder "Appendix".