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 The calculation of average credit rating using ratings from three rating agencies
 Stata commands to test equality of mean and median
 Handy Stata command to display combined Pearson and Spearman correlation matrix
 Stata command to convert string GVKEY to numerical GVKEY or vice versa
 Stata command to calculate the area under ROC curve
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The calculation of average credit rating using ratings from three rating agencies
I was doing something in Finance and wanted to calculate the average rounded credit rating. Basically, I need to translate textual grades (e.g., AAA, Baa) to a numerical value. I found a clue in the following paper: Becker, B., and … Continue reading
Stata commands to test equality of mean and median
UCLA IDRE has posted an article (link) that may provide a bit more explanation. UCLA IDRE is a great resource for learning statistical analysis. A big thank you to them.
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Handy Stata command to display combined Pearson and Spearman correlation matrix
Oftentimes we would like to display Pearson correlations below the diagonal and Spearman correlations above the diagonal. Two builtin commands, pwcorr and spearman, can do the job. However, we have to manually combine Stata output tables when producing the correlation table … Continue reading
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Stata command to convert string GVKEY to numerical GVKEY or vice versa
The default type of GVEKY in Compustat is string. Sometimes, we need it to be a numerical type in Stata (e.g., when we want to use the super handy command tsset). The command to convert string GVKEY to numerical GVEKY … Continue reading
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
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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
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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
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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.15406261.2003.00607.x Rajgopal, S. and Venkatachalam, M. (2011), … Continue reading
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
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Use Python to extract URLs to HTMLformat SEC filings on EDGAR
I wrote two posts to describe how to download TXTformat SEC filings on EDGAR: Use Python to download TXTformat SEC filings on EDGAR (Part I) Use Python to download TXTformat SEC filings on EDGAR (Part II) Although TXTformat files have … Continue reading
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