Category Archives: SAS

Calculate idiosyncratic stock return volatility

Posted on December 6, 2017 by Kai Chen

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.1540-6261.2003.00607.x Rajgopal, S. and Venkatachalam, M. (2011), … Continue reading →

Posted in SAS | 4 Comments

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

The impact of WRDS transition to the new WRDS Cloud server

Posted on September 20, 2015 by Kai Chen

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 This move makes a lot of support documentation on the WRDS website outdated and misleading.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

Posted on September 17, 2015 by Kai Chen

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

Posted on September 16, 2015 by Kai Chen

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

Posted on August 21, 2015 by Kai Chen

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)

Posted on August 17, 2015 by Kai Chen

Update: contains error! will update later. 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 … Continue reading →

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Link Audit Analytics, Compustat, CRSP and I/B/E/S

Posted on August 14, 2015 by Kai Chen

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 →

Posted in SAS | 13 Comments

Calculate delta (pay-performance sensitivity), vega (risktaking incentives), and firm-specific wealth (inside equity) for executives on Execucomp

Posted on March 15, 2015 by Kai Chen

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 →

Posted in SAS | 29 Comments

Look into CRSP/Compustat link table

Posted on March 14, 2015 by Kai Chen

The link history table (CCMXPF_LNKHIST) is the primary table used for WRDS CCM web queries. In this post, I explain this table in detail. Background We know that a company may issue multiple securities, one of which is considered primary … Continue reading →

Posted in Learning Resources, SAS | 34 Comments