Monthly Archives: September 2015

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 This move makes a lot of support documentation on the WRDS website outdated and misleading.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

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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