Category Archives: Data

Link FactSet and CRSP

Posted on February 12, 2022 by Kai Chen

Both FactSet and CRSP have identifier files that contain primary identifiers at the entity level and the security level (note: an entity may issue multiple securities) and provide a map between their primary identifiers and all other historical identifiers (e.g., … Continue reading →

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The calculation of average credit rating using ratings from three rating agencies

Posted on August 24, 2018 by Kai Chen

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 →

Posted in Data | 1 Comment

Use Python to download data from the DTCC’s Swap Data Repository

Posted on April 23, 2017 by Kai Chen

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: http://www.dtcc.com/news/2013/january/03/swap-data-repository-real-time The … Continue reading →

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Download FR Y-9C data from WRDS

Posted on April 23, 2017 by Kai Chen

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 | 2 Comments

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

Posted on April 9, 2016 by Kai Chen

[Update on 2019-07-31] This post, together with its sibling post “Part I“, has been my most-viewed post since I created this website. However, the landscape of 10-K/Q filings has changed dramatically over the past decade, and the text-format filings are … Continue reading →

Posted in Data, Python | 59 Comments

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

Posted on August 21, 2015 by Kai Chen

The annual data (FUNDA) is easy to deal with, we just need to apply the following conditions: indfmt==”INDL” & datafmt==”STD” & popsrc==”D” & consol==”C” If we have converted FUNDA to Stata format, the uniqueness of GVKEY-DATADATE can be verified using … Continue reading →

Posted in Data, Stata | 16 Comments

EDGAR index files in Stata dataset (from 1993 Q1 to March 2, 2017)

Posted on March 2, 2015 by Kai Chen

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 →

Posted in Data | 16 Comments

Link RSSD with PERMCO

Posted on March 2, 2015 by Kai Chen

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 →

Posted in Data | 7 Comments

Use Python to download TXT-format SEC filings on EDGAR (Part I)

Posted on February 28, 2015 by Kai Chen

[Update on 2019-07-31] This post, together with its sibling post “Part II“, has been my most-viewed post since I created this website. However, the landscape of 10-K/Q filings has changed dramatically over the past decade, and the text-format filings are extremely … Continue reading →

Posted in Data, Python | 67 Comments