Monthly Archives: August 2015

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 , | 18 Comments

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

Posted on August 21, 2015 by Kai Chen

Question: Suppose two companies A and B are connected in some years. Say, right now the data structure is the following: Company 1 Company 2 Starting Year Ending Year A B 2000 2006 A C 1998 2003 C D 1995 … Continue reading →

Posted in SAS | 3 Comments

SAS macro to get analysts EPS consensus for a given fiscal period end (DATADATE) by a selected date (DATE)

Posted on August 17, 2015 by Kai Chen

Update: contains error! will update later. I write this macro to compute analysts’ quarterly EPS consensus on a selected date (DATE) for a given fiscal quarter end (DATADATE). This macro can be easily modified for other types of estimates (e.g., annual EPS). This macro … Continue reading →

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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 | 15 Comments

Regression with a large dummy-variable set (e.g., firm and year fixed effects) in Stata

Posted on August 4, 2015 by Kai Chen

I run a regression in Stata with a Compustat dataset that contains fyear and gvkey. I want to add firm and year fixed effects, so I type the following command: regress DV IV i.fyear i.gvkey But Stata returns the error … Continue reading →

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