1. This file contains the equity issuance cost shock (ICS) constructed in Belo, Lin and Yang (2018), "External equity financing shocks, financial flows and asset prices". Below is a brief desription of the construction of the ICS. For the contruction details, please refer to the paper.

2. The ICS is defined as a linear combination of two aggregate moments as the following:

ICS = beta1*dEI + beta2*dDK,

where beta1=0.046 and beta2=-0.078 are implied by a neoclassical model with external equity financing shocks.

dEI is the change in the fraction of firms issuing equity in the cross section.

dDK is the change in the aggregate debt-to-capital ratio.

Both dEI and dDK are normalized to have mean zero and unit variance.

3.Note that we have updated the ICS to 2025. In Belo, Lin and Yang, the ICS is estimated in the sample period of 1964-2013.

4.Please cite Belo, Lin and Yang (2018) when referring to the data.