-
Categories
- Data (9)
- Learning Resources (9)
- Python (8)
- SAS (13)
- Stata (27)
Archives
- January 2024 (1)
- September 2023 (1)
- August 2023 (1)
- May 2023 (1)
- February 2022 (2)
- January 2022 (1)
- August 2021 (1)
- September 2019 (1)
- August 2019 (2)
- July 2019 (2)
- May 2019 (1)
- April 2019 (1)
- March 2019 (1)
- August 2018 (3)
- July 2018 (4)
- December 2017 (1)
- November 2017 (1)
- October 2017 (1)
- September 2017 (1)
- April 2017 (2)
- September 2016 (1)
- April 2016 (1)
- December 2015 (1)
- November 2015 (1)
- September 2015 (4)
- August 2015 (5)
- June 2015 (3)
- March 2015 (7)
- February 2015 (2)
Author Archives: Kai Chen
Link Audit Analytics, Compustat, CRSP and I/B/E/S
The following program is used to link each financial restatement in Audit Analytics to Compustat, CRSP, and I/B/E/S. The resultant dataset aa contains unique identifiers of Audit Analytics (res_notify_key), Compustat (gvkey), CRSP (permno), and I/B/E/S (ibtic). Please note this program … Continue reading
Posted in SAS
15 Comments
Regression with a large dummy-variable set (e.g., firm and year fixed effects) in Stata
I run a regression in Stata with a Compustat dataset that contains fyear and gvkey. I want to add firm and year fixed effects, so I type the following command: regress DV IV i.fyear i.gvkey But Stata returns the error … Continue reading
Posted in Stata
Leave a comment
Stata command to create Fama-French industry classifications based on SIC codes
[Update on January 18, 2023] I was advised that the installation command in the original post didn’t work anymore. The author now instructed users, on his website, to find packages here. You can download a package, as well as its help … Continue reading
Posted in Stata
30 Comments
Fuzzy match in Stata
Nice article. http://ebp-projects.isr.umich.edu/NCRN/papers/wasi_flaaen_statarecordlinkageutilities.pdf Author’s website: http://www-personal.umich.edu/~nwasi/programs.html For installation, type the following command in Stata: net from http://www-personal.umich.edu/~nwasi/programs net install stnd_compname.pkg Update on August 30, 2018—The foregoing URLs seem broken. Please use the following command to install the package: net from http://www.stata-journal.com/software/sj15-3 net … Continue reading
Posted in Stata
2 Comments
Calculate CFO tenure with Execucomp in Stata
Nice article and nice blog! Happy to find that someone built a similar blog. https://robsonglasscock.wordpress.com/2014/04/01/determining-cfo-tenure-with-execucomp-data/
Calculate market value of equity: use CRSP or Compustat?
I encountered a problem today: I had to calculate market value of equity. On Compustat Quarterly I found three variables that seemed to be what I need: PRCCQ, CSHOQ, and MKVALTQ. On CRSP, I found two variables: PRC and SHROUT. So … Continue reading
Posted in Learning Resources
9 Comments
Calculate delta (pay-performance sensitivity), vega (risktaking incentives), and firm-specific wealth (inside equity) for executives on Execucomp
Several papers use measures of delta (pay-performance sensitivity), vega (risktaking incentives), and firm-specific wealth (inside equity) for executives on Execucomp. For example, 1. Core, J., Guay, W., 2002. Estimate the value of employee stock option portfolios and their sensitivities to price … Continue reading
Posted in SAS
49 Comments
Look into CRSP/Compustat link table
The link history table (CCMXPF_LNKHIST) is the primary table used for WRDS CCM web queries. In this post, I explain this table in detail. Background We know that a company may issue multiple securities, one of which is considered primary … Continue reading
Posted in Learning Resources, SAS
45 Comments
Errors in CRSP, Compustat and other popular data source
I find a web page providing references for articles that study specific aspects of CRSP, Compustat and other popular sources of data used in academic research. https://www.kellogg.northwestern.edu/researchcomputing/crsp-cstat-references.htm Some interesting topics include: error rates in CRSP and COMPUSTAT, differences between COMPUSTAT and CRSP … Continue reading
Posted in Learning Resources
2 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