Monthly Archives: March 2015

Calculate market value of equity: use CRSP or Compustat?

Posted on March 17, 2015 by Kai Chen

I encountered a problem today: I had to calculate market value of equity. On Compustat Quarterly I found three variables that seemed to be what I need: PRCCQ, CSHOQ, and MKVALTQ. On CRSP, I found two variables: PRC and SHROUT. So … Continue reading →

Posted in Learning Resources | 9 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 | 51 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

Errors in CRSP, Compustat and other popular data source

Posted on March 3, 2015 by Kai Chen

I find a web page providing references for articles that study specific aspects of CRSP, Compustat and other popular sources of data used in academic research. https://www.kellogg.northwestern.edu/researchcomputing/crsp-cstat-references.htm Some interesting topics include: error rates in CRSP and COMPUSTAT, differences between COMPUSTAT and CRSP … Continue reading →

Posted in Learning Resources | 3 Comments

EDGAR index files in Stata dataset (from 1993 Q1 to March 2, 2017)

Posted on March 2, 2015 by Kai Chen

SEC makes all EDGAR filings publicly available. We can download all 10-Ks, 10-Qs, 8-Ks filed since 1993. However, SEC makes this far away from just a few mouse clicks (in order to reduce the server load and avoid the possible abuse … Continue reading →

Posted in Data | 16 Comments

Link RSSD with PERMCO

Posted on March 2, 2015 by Kai Chen

If you are working on bank holding company data, such as FR-Y9C, you may need to link the unique identifier (RSSD) in the data to the unique identifier (PERMCO) in CRSP. Federal Reserve Bank of New York provides such a … Continue reading →

Posted in Data | 7 Comments

My favorite econometrics textbook

Posted on March 2, 2015 by Kai Chen

The website http://www.econometricsbooks.com discusses popular econometrics textbooks. I find the information very useful. My favorite textbook is Introductory Econometrics: A Modern Approach. I would call it an intermediate level textbook. It discusses almost every topic that we will use in accounting research. I … Continue reading →

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