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Author Archives: Kai Chen
The calculation of average credit rating using ratings from three rating agencies
I was doing something in Finance and wanted to calculate the average rounded credit rating. Basically, I need to translate textual grades (e.g., AAA, Baa) to a numerical value. I found a clue in the following paper: Becker, B., and … Continue reading
Stata commands to test equality of mean and median
Please read this post for how to display the results in a readyforuse format. UCLA IDRE has posted an article (link) that may provide a bit more explanation. UCLA IDRE is a great resource for learning statistical analysis. A big thank you … Continue reading
Posted in Stata
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Stata command to display combined Pearson and Spearman correlation matrix
Oftentimes we would like to display Pearson correlations below the diagonal and Spearman correlations above the diagonal. Two builtin commands, pwcorr and spearman, can do the job. However, we have to manually combine Stata output tables when producing the correlation table … Continue reading
Stata command to convert string GVKEY to numerical GVKEY or vice versa
The default type of GVEKY in Compustat is string. Sometimes, we need it to be a numerical type in Stata (e.g., when we want to use the super handy command tsset). The command to convert string GVKEY to numerical GVEKY … Continue reading
Stata command to calculate the area under ROC curve
If we want to evaluate the predictive ability of a logit or probit model, Kim and Skinner (2012, JAE, Measuring securities litigation risk) suggest that A better way of comparing the predictive ability of different models is to use the Receiver … Continue reading
Stata commands to calculate skewness
Suppose we are going to calculate the skewness of 12 monthly returns. The 12 returns may be stored in a row (Figure 1) or in a column (Figure 2). This post discusses how to calculate the skewness in these two … Continue reading
Posted in Stata
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Use Python to download lawsuit data from Stanford Law School’s Securities Class Action Clearinghouse
[Update on 20190707] I am grateful to Shiyu Chen, my research assistant, who did a very good job on not only web scraping the toplevel table, but also extracting from the case summary page additional information (link to case summary … Continue reading
Posted in Python
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Calculate idiosyncratic stock return volatility
I have noted two slightly different definitions of idiosyncratic stock return volatility in: Campbell, J. Y. and Taksler, G. B. (2003), Equity Volatility and Corporate Bond Yields. The Journal of Finance, 58: 2321–2350. doi:10.1046/j.15406261.2003.00607.x Rajgopal, S. and Venkatachalam, M. (2011), … Continue reading
Posted in SAS
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Commonly used Stata commands to deal with potential outliers
In accounting archival research, we often take it for granted that we must do something to deal with potential outliers before we run a regression. The commonly used methods are: truncate, winsorize, studentized residuals, and Cook’s distance. I discuss in … Continue reading
Posted in Stata
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Use Python to extract URLs to HTMLformat SEC filings on EDGAR
[Update on 20200626] Eduardo has made a significant improvement to the code. Now you can specify a starting date and download the index file during the period from that starting date to the most recent date. I expect it to … Continue reading
Posted in Python
36 Comments