This toolbox allows you to replicate table 1 of the following paper
Expected Return, Volume and Mispricing.  
Please cite the above JFE paper if you use our code. Thank you! 
Copyright Yufeng Han (UNCC), Dashan Huang (SMU), Dayong Huang (UNCG) and Guofu Zhou (Wash. U). 02/17/2021.


Datain: yyyymm, lagmisp [mispricing score], to [log of volume], lagme [market cap]. The yyyymm is the time of return. Lagmisp, TO and lagme are values at the beginning of the period, or the end of previous period. 

factors: the FF factors.
Hxz_q_factors: the Q factors.

Replication Code Share: Main code that calls data and calls subroutine. 
Port55HMLNOTNYSE2020dLite: Code that does double sort. 

There will be two blocks of output. The first block is return (t-value) followed by FF alpha and t-value. The secon d block repeats for Q factors. 


