Stata command to calculate the area under ROC curve

If we want to evaluate the predictive ability of a logit or probit model, Kim and Skinner (2012, JAE, Measuring securities litigation risk) suggest that A better way of comparing the predictive ability of different models is to use the Receiver … Continue reading

Posted in Stata | Leave a comment

Stata commands to calculate skewness

Suppose we are going to calculate the skewness of 12 monthly returns. The 12 returns may be stored in a row (Figure 1) or in a column (Figure 2). This post discusses how to calculate the skewness in these two … Continue reading

Posted in Stata | Leave a comment

Use Python to download lawsuit data from Stanford Law School’s Securities Class Action Clearinghouse

Several papers borrow the litigation risk model supplied in Equation (3) of Kim and Skinner (2012, JAE, Measuring securities litigation risk). The logit model uses total asset, sales growth, stock return, stock return skewness, stock return standard deviation, and turnover to … Continue reading

Posted in Python | Leave a comment

Calculate idiosyncratic stock return volatility

I have noted two slightly different definitions of idiosyncratic stock return volatility in: Campbell, J. Y. and Taksler, G. B. (2003), Equity Volatility and Corporate Bond Yields. The Journal of Finance, 58: 2321–2350. doi:10.1046/j.1540-6261.2003.00607.x Rajgopal, S. and Venkatachalam, M. (2011), … Continue reading

Posted in SAS | 1 Comment

Commonly used Stata commands to deal with potential outliers

In accounting archival research, we often take it for granted that we must do something to deal with potential outliers before we run a regression. The commonly used methods are: truncate, winsorize, studentized residuals, and Cook’s distance. I discuss in … Continue reading

Posted in Stata | Leave a comment

Use Python to extract URLs to HTML-format SEC filings on EDGAR

I wrote two posts to describe how to download TXT-format SEC filings on EDGAR: Use Python to download TXT-format SEC filings on EDGAR (Part I) Use Python to download TXT-format SEC filings on EDGAR (Part II) Although TXT-format files have … Continue reading

Posted in Python | 12 Comments

Sample code for “outreg” command in Stata

outreg is very powerful and time-saving command in Stata. The following code generates a ready-for-use results table:

Please change x1, x2, x3 and x4 to variables that you want to report.

Posted in Stata | Leave a comment

Use Python to download data from the DTCC’s Swap Data Repository

I helped my friend to download data from the DTCC’s Swap Data Repository. I am not familiar with the data and just use this as a programming practice. This article gives an introduction to the origin of the data: http://www.dtcc.com/news/2013/january/03/swap-data-repository-real-time The … Continue reading

Posted in Data, Python | Leave a comment

Download FR Y-9C data from WRDS

WRDS currently populates FR Y-9C data quarter by quarter in individual datasets, like BHCF200803, BHCF200806, BHCF200809 and so on. WRDS has not stacked those individual datasets to formulate a single time-series dataset like COMPUSTAT. There are two ways to overcome … Continue reading

Posted in Data, SAS | 2 Comments

TAR-Style Word Template

I create a Word template that complies with The Accounting Review editorial style. My design philosophy is “simple but sufficient”. I do not like those templates that are heavy and fancy (e.g., macros everywhere). This is just version 1. It … Continue reading

Posted in Uncategorized | 1 Comment