Category Archives: SAS

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 | 14 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 | 48 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 | 45 Comments

Which is better for archival accounting research, SAS or Stata?

Posted on February 26, 2015 by Kai Chen

The short answer is: we need both. When we do archival accounting research, we often need to merge data across various databases, such as COMPUSTAT, CRSP, and EXECUCOMP. Stata can by no means beat SAS in this regard. SAS supports … Continue reading →

Posted in Learning Resources, SAS, Stata | 2 Comments