Monthly Archives: March 2015

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

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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

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Look into CRSP/COMPUSTAT link table

The link history table (CCMXPF_LNKHIST) is the main table is used for WRDS CCM web queries. So I focus on this link table. BACKGROUND We know that a company can issue multiple securities, of which one is considered primary for … Continue reading

Posted in Learning Resources, SAS | 6 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

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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

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Link RSSD and PERMCO

If you are working on bank holding company data, such as FR-Y9C, you may need to link the unique identifier (RSSD) in the data to the unique identifier (PERMCO) in CRSP. Federal Reserve Bank of New York provides such a … Continue reading

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My favorite econometrics textbook

The website http://www.econometricsbooks.com discusses popular econometrics textbooks. I find the information very useful. My favorite textbook is Introductory Econometrics: A Modern Approach. I would call it an intermediate level textbook which discusses almost every topic we will use in accounting research. I also … Continue reading

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