WRDS provides an excellent manual (link) and SAS code (link) for cleaning up the raw TRACE Enhanced bond transaction data, primarily based on the work done by Dick‐Nielsen, Jens, How…
SAS
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This macro is used to count the number of analysts who followed a specific firm. Although this is a commonly used measure in literature, prior studies often give a vague…
I have noted two slightly different definitions of idiosyncratic stock return volatility in: Campbell, J. Y. and Taksler, G. B. (2003), Equity Volatility and Corporate Bond Yields. The Journal of…
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…
WRDS has quietly started the transition from the old server to the new Cloud server. This move makes a lot of support documentation on the WRDS website outdated and misleading. That…
SASers often find proc expand plus transformout very useful for rolling-window (or moving-window) computation. Stataers may wonder if there is a counter party in Stata. The answer is “yes”. The command…
There are two macros on the List of WRDS Research Macros: EVTSTUDY and BETA, which may be often used. I like the first one, written by Denys Glushkov. Denys’ codes…
Question: Suppose two companies A and B are connected in some years. Say, right now the data structure is the following: Company 1 Company 2 Starting Year Ending Year A…
Update: contains error! will update later. I write this macro to compute analysts’ quarterly EPS consensus on a selected date (DATE) for a given fiscal quarter end (DATADATE). This macro can be easily modified…
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…
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