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Category Archives: SAS
Link Audit Analytics, Compustat, CRSP and I/B/E/S
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
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
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?
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