Replication Data for: "Common Idiosyncratic Quantile Factors and Asset Prices"

10.7910/DVN/BMPGJXNevrla, MatejMatejNevrla0000-0001-5609-1341https://ror.org/04xs57h96Barunik, JozefJozefBarunik0000-0001-5097-2607https://ror.org/024d6js02Replication Data for: "Common Idiosyncratic Quantile Factors and Asset Prices"Harvard Dataverse2026Business and ManagementNevrla, MatejMatejNevrlaUniversity of Liverpool2026-06-022026-06-04106190834application/zip1.0CC0 1.0Data and codes for "Common Idiosyncratic Quantile Factors and Asset Prices" by Jozef Barunik and Matej Nevrla, accepted for publication in JFQA on May 22, 2026.