Richard Price's Personal Meeting Room ACCT 6193 10/22/2019 Calculating Earnings Announcement Returns, CRSP and Compustat Quarterly FUNDQ

This video discusses the process of merging the Compustat Quarterly database and CRSP using the mycstlink macro.  Also discussed is the _trading_dates_ds.sas macro which enables better estimation of announcement period windows.  The file shows how to calculate three day announcement period returns, and then shows how to calculate these returns for peer firms announcing in the same window.

See the attachments for the sample programs.