Handy Stata command to create Fama-French industry classifications based on SIC codes

See ffind written by Judson Caskey. Here is his website: https://sites.google.com/site/judsoncaskey/data The syntax is as follows (download Help file here): ffind sic, newvar(ffi) type(30) type(30) means Fama_French 30 industries classification. Type must be 5, 10, 12, 17, 30, 38, 48 or … Continue reading

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Fuzzy match in Stata

Nice article. http://ebp-projects.isr.umich.edu/NCRN/papers/wasi_flaaen_statarecordlinkageutilities.pdf Author’s website: http://www-personal.umich.edu/~nwasi/programs.html For installation, type the following command in Stata: net from http://www-personal.umich.edu/~nwasi/programs net install stnd_compname.pkg

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Calculate CFO tenure with Execucomp in Stata

Nice article and nice blog! Happy to find that someone built a similar blog. https://robsonglasscock.wordpress.com/2014/04/01/determining-cfo-tenure-with-execucomp-data/

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Calculate market value of equity: use CRSP or Compustat?

I encountered a problem today: I had to calculate market value of equity. On Compustat Quarterly I found three variables that seemed to be what I need: PRCCQ, CSHOQ, and MKVALTQ. On CRSP, I found two variables: PRC and SHROUT. So … Continue reading

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Calculate delta (pay-performance sensitivity), vega (risktaking incentives), and firm-specific wealth (inside equity) for executives on Execucomp

Several papers use measures of delta (pay-performance sensitivity), vega (risktaking incentives), and firm-specific wealth (inside equity) for executives on Execucomp. For example, 1.  Core, J., Guay, W., 2002. Estimate the value of employee stock option portfolios and their sensitivities to price … Continue reading

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Look into CRSP/Compustat link table

The link history table (CCMXPF_LNKHIST) is the primary table used for WRDS CCM web queries. In this post, I explain this table in detail. Background We know that a company may issue multiple securities, one of which is considered primary … Continue reading

Posted in Learning Resources, SAS | 11 Comments

Errors in CRSP, Compustat and other popular data source

I find a web page providing references for articles that study specific aspects of CRSP, Compustat and other popular sources of data used in academic research. https://www.kellogg.northwestern.edu/researchcomputing/crsp-cstat-references.htm Some interesting topics include: error rates in CRSP and COMPUSTAT, differences between COMPUSTAT and CRSP … Continue reading

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EDGAR index files in Stata dataset (from 1993 Q1 to March 2, 2017)

SEC makes all EDGAR filings publicly available. We can download all 10-Ks, 10-Qs, 8-Ks filed since 1993. However, SEC makes this far away from just a few mouse clicks (in order to reduce the server load and avoid the possible abuse … Continue reading

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If you are working on bank holding company data, such as FR-Y9C, you may need to link the unique identifier (RSSD) in the data to the unique identifier (PERMCO) in CRSP. Federal Reserve Bank of New York provides such a … Continue reading

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My favorite econometrics textbook

The website http://www.econometricsbooks.com discusses popular econometrics textbooks. I find the information very useful. My favorite textbook is Introductory Econometrics: A Modern Approach. I would call it an intermediate level textbook which discusses almost every topic we will use in accounting research. I also … Continue reading

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