JoostImpink

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JoostImpink

/* 	Helper macro to make dummy variables
	Note: it is not robust for missing values
*/
%macro createDummyVars(dsin=, var=, newvar=);
  proc sql noprint;
    select distinct &var. into :mvals separated by '|'
    from &dsin.;
	/* Number of unique values */
    %let mdim=&sqlobs;
  quit;

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proc sort data=g_sample_wins; by gvkey;run;
  
proc reg data= g_sample_wins;		
model ret = e_p ;
ods output ParameterEstimates = regout_1a FitStatistics = regout_1b;
/* adding by gvkey will result in separate regressions for each firm */
by gvkey;
quit;

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/*  Example of how to use SAS to retrieve data from WRDS
    Computing market-to-book ratio for years 2000-, and benchmark it against
    other firms in the industry */

/* this piece of code makes a connection of your SAS instance with WRDS remote server */
%let wrds = wrds-cloud.wharton.upenn.edu 4016;options comamid = TCP remote=WRDS;
signon username=_prompt_;

/* any code executed on WRDS needs to go in a remote submit block, for example: */

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/*	Regressions */

/*	Some variables need to be created */
data g_sample;
set b_sample;
/* earnings per share scaled by beginning of year stock price */
e_p = epspx / prcc_f_lag;
/* change in eps scaled by boy stock price */
ch_e_p = (epspx - epspx_lag) / prcc_f_lag;
/* keep observations with no missings */

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/*	For each size decile: compute #firm-years and #losses */

/*	Create size deciles */
proc rank data = b_sample out = e_ranked groups = 10;
var size; 		
ranks size_d ; 
run;

/*	Add 1 to rank (0-9 => 1-10) */
data e_ranked;

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/* 	Table 2
	Use firms that have at least 8 years of data
	Count the number of loss-years
*/
/* 	For each gvkey, count the #loss-years */
proc sql;
	create table d_table2_a as
	select gvkey, sum(loss) as lossYears from b_sample	
	/* gvkey must be in the following table */
	where gvkey IN (

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/* 	Table 1
	Left panel shows by year the #obs, and the #loss years
	Right panel shows the same, but for firms that were in the sample from 1968 
	through 1990 (23 years)
*/

/*	Left panel */

/* 	Using SQL */
proc sql;

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/*	We need to make a sample for US listed firms with fiscal years 1962-1990

	From Compustat Funda we need:
	- gvkey		Firm identifier
	- datadate 	End of fiscal year
	- fyear		Fiscal year
	- epspx		EPS before extraordinary items
	- prcc_f 	Price at fiscal year end
	- csho 		Common shares outstanding end of year (to compute market cap)

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## For each SEC filing stock return in the interval [time - before, time + after] is measured

# Set constants
before <- 0
after <- 7200

# load Grokit Nanex library 
library(gtNanex)

# Load dataset with 8-K filings (symbol and timestamp)s