Author Archives: Kai Chen

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 | 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

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 | 16 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

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 This move makes a lot of support documentation on the WRDS website outdated and misleading.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 | 2 Comments

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 →

Posted in Learning Resources, SAS, Stata | Leave a comment

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 →

Posted in SAS | 1 Comment

Use Python to calculate the tone of financial articles

Posted on September 7, 2015 by Kai Chen

[Update on 2019-03-01] I completely rewrite the Python program. The updates include: I include two domain-specific dictionaries: Loughran and McDonald’s and Henry’s dictionaries, and you can choose which dictionary to use. I add negation check as suggested by Loughran and … Continue reading →

Posted in Python | 14 Comments

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

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 Learning Resources, Stata | Tagged Learning Resources, Stata | 18 Comments

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