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This readme file contains the description of the files
used in the paper entitled: "Strategic Interactions and 
Portfolio Choice in Money Management: Theory and Evidence"

by: Alvaro Pedraza Morales
Last update: 12/01/2014
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Files 		 	Output		Description
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Main.m			Table 3		Linear regression for adjusted weight changes.
					Runs "CRegress.m".
MainLogit.m		Table 4		Probit regression of buying or selling a stock.
					Runs "Logit.m".
estimate_marginal.m	Figure3		Difference in marginal effects of "distance" on
					adjustments in portfolio weights before and after
					the policy change. Uses results from Table 3.
solve_calibration.m	Figure6		Calibrates three period economy according to Table 5
					and calculates Nash Equilibria for different values
					of x. 


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Supporting Files		Description
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CRegress.m			Cleans data from zeros, generates dummies for PFA, MRG and
				stock marketability. Runs OLS on portfolio changes.
Logit.m				Cleans data from zeros, generates dummies for PFA, MRG and
				stock marketability. Runs probit or logit regression on 
				the probability of buying or selling a stock.
clusterreg.m			Performs OLS estimation with one or two-way cluster standard
				errors.
winsor.m			Winsorize ratios at both tales at p%
Latextable, Latex_tablelogit    Produces latex code for Tables 3 and 4		
calibrate.m			Calculates Nash equilibrium for the three period economy
				and different model parameters.
ret.m				Calculates the period-to-period returns. 	

DATA:
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Variable Name			Description 
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FECHA				Year-month
AFP				Name of Pension Fund Administrator
NEMO				Stock ticker
MARKETABILITY			Stock marketability: High or Low
weight				Stock participation on PFA's portfolio
w_peer				Stock weight on the peer portfolio
OverExp				"weight"-"w_peer"
RETURNS				Stock returns
SIZE				Market share of PFA
RELATIVE12			Relative returns of PFA vs. peers over 12 months window
RELATIVE36			Relative returns of PFA vs. peers over 36 months window
BUY				Dummy variable indicating whether PFA bought the stock
SELLS				Dummy variable indicating whether PFA sold the stock
MARKETWEIGHTS			Stock participation on IGBC index
OEXPMARKET			"weight"-"MARKETWEIGHTS"
DeltaWAdj			Adjusted weight changes (by price change)