Author Archives: Kai Chen

Sample code for “outreg” command in Stata

outreg is very powerful and time-saving command in Stata. The following code generates a ready-for-use results table:

Please change x1, x2, x3 and x4 to variables that you want to report.

Posted in Stata | Leave a comment

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: The … Continue reading

Posted in Data, Python | Leave a comment

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 | Leave a comment

TAR-Style Word Template

I create a Word template that complies with The Accounting Review editorial style. My design philosophy is “simple but sufficient”. I do not like those templates that are heavy and fancy (e.g., macros everywhere). This is just version 1. It … Continue reading

Posted in Uncategorized | 1 Comment

Use Python to download SEC filings on EDGAR (Part II)

As I said in the post entitled “Part I“, we have to do two steps in order to download SEC filings on EDGAR: Find paths to raw text filings; Select what we want and bulk download from the EDGAR FTP server using … Continue reading

Posted in Data, Python | 32 Comments

Use Python to extract Intelligence Indexing fields in Factiva articles

First of all, I acknowledge that I benefit a lot from Neal Caren’s blog post Cleaning up LexisNexis Files. Thanks Neal. Factiva (as well as LexisNexis Academic) is a comprehensive repository of newspapers, magazines, and other news articles. I first … Continue reading

Posted in Python | 5 Comments

A loop of cross-sectional regressions for calculating abnormal accruals in Stata

I write a loop of cross-sectional regressions for calculating abnormal accruals. This program can be easily modified and replaced with Jones, modified Jones, or Dechow and Dichev model. I add detailed comments in the program to help you prepare the input … Continue reading

Posted in Stata | 5 Comments

The impact of WRDS transition to the new WRDS Cloud server

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 is why I think WRDS should direct its resources on continuously … Continue reading

Posted in Learning Resources, SAS | 1 Comment

Rolling-window computation in SAS and Stata

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 in Stata is rolling. See the manual below: The … Continue reading

Posted in Learning Resources, SAS, Stata | Leave a comment

SAS macro for event study and beta

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 are always elegant. I don’t like the second one because … Continue reading

Posted in SAS | 1 Comment