Author Archives: Kai Chen

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 This move makes a lot of support documentation on the WRDS website outdated and misleading.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

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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: http://www.stata.com/manuals13/tsrolling.pdf The … Continue reading

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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

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Pipeline

These are some topics in my mind. I will write up when I have time. Use Python to remove boilerplate paragraph in firm-initiated press releases Calculate earnings surprises Chow test and Vuong test Access to WRDS Propensity score matching macros … Continue reading

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Use Python to calculate the tone of financial texts

I find two internet resources for this task (thank both authors): https://iangow.wordpress.com/2014/07/22/get-tone-from-corporate-disclosures-postgresql-python-and-r/ http://conjugateprior.org/software/ca-in-python/ The first solution is way more efficient than the second, but the second is more straightforward. The first needs extra knowledge of PostgreSQL and R besides Python. I … Continue reading

Posted in Python | 5 Comments

How to remove duplicate GVKEY-DATADATE when using Compustat Annually (FUNDA) and Quarterly (FUNDQ)?

The annual data is easy to deal with, you just need to add conditions as follows: indfmt==”INDL” & datafmt==”STD” & popsrc==”D” & consol==”C” If you have downloaded FUNDA and converted it into Stata format, the uniqueness of GVKEY-DATADATE can be … Continue reading

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If beginning year and ending year are known, how to fill in years in between?

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 B 2000 2006 A C 1998 2003 C D 1995 … Continue reading

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SAS macro to get analysts EPS consensus for a given fiscal period end (DATADATE) by a selected date (DATE)

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 for other types of estimates (e.g., annual EPS). This macro currently extracts unadjusted quarterly EPS estimates (current … Continue reading

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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

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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

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