Monthly Archives: September 2015

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 This move makes a lot of support documentation on the WRDS website outdated and misleading.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: 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 find time. Use Python to remove boilerplate paragraph in firm-initiated press releases Calculate earnings surprises Chow test Access to WRDS

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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 | 4 Comments