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 description on what they do. The question is\u2014what does “analysts following a firm” really mean?<\/p>\n
First, it is only meaningful to count the number at a specified date.<\/p>\n
Second, how to define “an analyst is actually following a firm”? I use the following definition: if an analyst issued any forecast (EPS or stock price or sales, anything) within a certain window (e.g., 180 days) before the specified date, then the analyst will be counted in. This definition ensures that the analyst is “actively” following the firm.<\/p>\n
That is why my macro requires two arguments: DATE and WINDOW. This macro is used to answer such question\u2014at a specified date, how many analysts are actively following Firm A, B, …?<\/p>\n
%MACRO ANALYST_COUNT(INFILE=, TICKER=, DATE=, WINDOW=, OUTFILE=);\r\n \r\n\/* This macro is used to count the number of analysts who followed a *\/\r\n\/* specific firm at a specified date (DATE). Any analyst who issued any *\/\r\n\/* forecast during the window (WINDOW) before the specified date (DATE) *\/\r\n\/* will be counted in. *\/\r\n \r\n\/* This macro use both Detailed History Unadjusted (EPS for US Region) *\/\r\n\/* and Unadjusted (Non-EPS for US Region). INFILE should contain IBES *\/\r\n\/* Ticker (TICKER) and DATE. *\/\r\n \r\noptions mprint;\r\n\r\n\/* Stack Detailed History Unadjusted (EPS for US Region) and *\/\r\n\/* Unadjusted (Non-EPS for US Region). *\/\r\ndata detu;\r\n set ibes.detu_epsus ibes.detu_xepsus;\r\nrun;\r\n\r\n\/* Merge analysts who issued a forecast during the window. *\/\r\nproc sql;\r\n create table ibes1\r\n as select a.*, b.estimator, b.analys, b.anndats\r\n from (select distinct &TICKER, &DATE from &INFILE) a, detu b\r\n where not missing(a.&TICKER) and a.&TICKER=b.ticker and \r\n not missing(a.&DATE) and a.&DATE-&WINDOW+1<=b.anndats<=a.&DATE and\r\n not missing(b.value);\r\nquit;\r\n\r\n\/* Retain the most recent forecast from a specific analyst. *\/\r\nproc sort data=ibes1; by &TICKER &DATE estimator analys descending anndats; run;\r\nproc sort data=ibes1 out=ibes2 nodupkey; by &TICKER &DATE estimator analys; run;\r\n\r\n\/* Count the number of analysts who issued a forecast during the window. *\/\r\nproc sql;\r\n create table ibes3\r\n as select distinct &TICKER, &DATE, count(anndats) as analyst_count\r\n from ibes2\r\n group by &TICKER, &DATE;\r\nquit;\r\n\r\n\/* Merge INFILE with number of analysts *\/\r\nproc sql;\r\n create table &OUTFILE\r\n as select a.*, b.analyst_count\r\n from &INFILE a left join ibes3 b\r\n on a.&TICKER=b.&TICKER and a.&DATE=b.&DATE;\r\nquit;\r\n\r\nproc sql;\r\n drop table detu, ibes1, ibes2;\r\nquit;\r\n\r\n%MEND;<\/pre>\n<\/p>\n","protected":false},"excerpt":{"rendered":"
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 description on what they do. The question is\u2014what does “analysts … Continue reading