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Sloan 1996 Tutorial part 2, replicating the main return tests. Note, this code does not merge delisting returns or calculate the Mishkin test, or calculate alphas. The SAS code used in the tutorial…
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DirectEdgar is a software package that allows you to extract information for SEC filings. This video demonstrates how to install it and update the license files by connecting to the DirectEdgar…
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Runzu Wang provided a Python tutorial demonstrating how to replicate Burgstahler and Dichev on the WRDS server. See attachments for files provided by Runzu including files for merging Compustat and…
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Discussion of part 1 of Sloan 1996 replication, which is the earnings regression part. Also discusses winsorizing and dealing with outliers, as well as approaches to calculating lagged values. the…
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The is the second part of the office hours discussing the replication of Collins and Kothari 1989. See the attached code, which was used in the video (note to self, it is saved in the 6193/sas…
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I recorded office hours with Hunter, Ling, and Brady discussing how to replicate Collins and Kothari 1989. We discussed several issues such as using the autoexec file, getting macros on WRDS.
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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…
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I discuss the process of calculating return using 1) stock prices and 2) compounded monthly returns. I demonstrate the logic of the process of merging Compustat and CRSP in the flow of information…
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