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

Commonly used Stata commands to deal with potential outliers

Posted on November 10, 2017 by Kai Chen

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 | 2 Comments

Use Python to extract URLs to HTML-format SEC filings on EDGAR

Posted on October 25, 2017 by Kai Chen

I wrote two posts to describe how to download TXT-format SEC filings on EDGAR: Use Python to download TXT-format SEC filings on EDGAR (Part I) Use Python to download TXT-format SEC filings on EDGAR (Part II) Although TXT-format files have … Continue reading →

Posted in Python | 20 Comments

Sample code for “outreg” command in Stata

Posted on September 18, 2017 by Kai Chen

outreg is a time-saving and must-have command in Stata. It will generate a ready-for-use results table like this. I’m sure you will see what a relief this can give us. outreg is not a built-in command and can be installed … Continue reading →

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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

TAR-Style Word Template

Posted on September 12, 2016 by Kai Chen

I create a Word template that complies with The Accounting Review editorial style. My design philosophy is “simple but sufficient”. I do not like those templates that are heavy and fancy (e.g., macros everywhere). This is just version 1. It … Continue reading →

Posted in Learning Resources | 1 Comment

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

Posted on April 9, 2016 by Kai Chen

As I said in the post entitled “Part I“, we have to do two steps in order to download SEC filings on EDGAR: Find paths to raw text filings; Select what we want and bulk download from the EDGAR FTP server using … Continue reading →

Posted in Data, Python | 52 Comments

Use Python to extract Intelligence Indexing fields in Factiva articles

Posted on December 20, 2015 by Kai Chen

First of all, I acknowledge that I benefit a lot from Neal Caren’s blog post Cleaning up LexisNexis Files. Thanks Neal. Factiva (as well as LexisNexis Academic) is a comprehensive repository of newspapers, magazines, and other news articles. I first … Continue reading →

Posted in Python | 11 Comments

A loop of cross-sectional regressions for calculating abnormal accruals in Stata

Posted on November 7, 2015 by Kai Chen

I write a loop of cross-sectional regressions for calculating abnormal accruals. This program can be easily modified and replaced with Jones, modified Jones, or Dechow and Dichev model. I add detailed comments in the program to help you prepare the input … Continue reading →

Posted in Stata | 7 Comments