Monthly Archives: July 2018

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

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Stata command to calculate the area under ROC curve

If we want to evaluate the predictive ability of a logit or probit model,┬áKim 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┬álogit model uses total asset, sales growth, stock return, stock return skewness, stock return standard deviation, and turnover to … Continue reading

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