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Category Archives: Data
Link FactSet and CRSP
Both FactSet and CRSP offer identifier files that contain primary identifiers at the entity level and security level (note: an entity may issue multiple securities). These files provide a mapping between their primary identifiers and all other historical identifiers such … Continue reading
The calculation of average credit rating using ratings from three rating agencies
I was doing something in Finance and wanted to calculate the average rounded credit rating. Basically, I need to translate textual grades (e.g., AAA, Baa) to a numerical value. I found a clue in the following paper: Becker, B., and … Continue reading
Use Python to download data from the DTCC’s Swap Data Repository
I helped my friend to download data from the DTCC’s Swap Data Repository. I am not familiar with the data and just use this as a programming practice. This article gives an introduction to the origin of the data: http://www.dtcc.com/news/2013/january/03/swap-data-repository-real-time The … Continue reading
Posted in Data, Python
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Download FR Y-9C data from WRDS
WRDS currently populates FR Y-9C data quarter by quarter in individual datasets, like BHCF200803, BHCF200806, BHCF200809 and so on. WRDS has not stacked those individual datasets to formulate a single time-series dataset like COMPUSTAT. There are two ways to overcome … Continue reading
Posted in Data, SAS
2 Comments
Use Python to download TXT-format SEC filings on EDGAR (Part II)
[Update on 2019-07-31] This post, together with its sibling post “Part I“, has been my most-viewed post since I created this website. However, the landscape of 10-K/Q filings has changed dramatically over the past decade, and the text-format filings are … Continue reading
Posted in Data, Python
59 Comments
How to remove duplicate GVKEY-DATADATE when using Compustat Annual (FUNDA) and Quarterly (FUNDQ)?
The annual data (FUNDA) is easy to deal with, we just need to apply the following conditions: indfmt==”INDL” & datafmt==”STD” & popsrc==”D” & consol==”C” If we have converted FUNDA to Stata format, the uniqueness of GVKEY-DATADATE can be verified using … Continue reading
Posted in Data, Stata
18 Comments
EDGAR index files in Stata dataset (from 1993 Q1 to March 2, 2017)
SEC makes all EDGAR filings publicly available. We can download all 10-Ks, 10-Qs, 8-Ks filed since 1993. However, SEC makes this far away from just a few mouse clicks (in order to reduce the server load and avoid the possible abuse … Continue reading
Posted in Data
16 Comments
Link RSSD with PERMCO
If you are working on bank holding company data, such as FR-Y9C, you may need to link the unique identifier (RSSD) in the data to the unique identifier (PERMCO) in CRSP. Federal Reserve Bank of New York provides such a … Continue reading
Posted in Data
7 Comments
Use Python to download TXT-format SEC filings on EDGAR (Part I)
[Update on 2019-07-31] This post, together with its sibling post “Part II“, has been my most-viewed post since I created this website. However, the landscape of 10-K/Q filings has changed dramatically over the past decade, and the text-format filings are extremely … Continue reading
Posted in Data, Python
67 Comments