JoostImpink

/*
  Macro that creates a dataset with Compustat, CRSP and IBES identifiers (gvkey, permno, Ibes ticker)
  for fiscal years in period start-end.
  
  macro parameters:
	  @dsout: name of dataset to create
	  @start: start year
	  @end: end year
	  @compvars: list of variables to get from compustat, default value: at sale ceq ni
	  @minscore: ibes iclink minimum score (0 [default] is best score, 6 worst, see iclink.sas)

JoostImpink

/*****************************************

Author unknown - that is a pity because this macro is the best since sliced bread! 

Trim or winsorize macro
* byvar = none for no byvar;
* type  = delete/winsor (delete will trim, winsor will winsorize;
*dsetin = dataset to winsorize/trim;
*dsetout = dataset to output with winsorized/trimmed values;
*byvar = subsetting variables to winsorize/trim on;

JoostImpink

%MACRO ARRAY(arraypos, array=, data=, var=, values=,
                       delim=%STR( ), debug=N, numlist=Y);

 /* last modified 8/4/2006                    a.k.a. MACARRAY( ).  
                                                           72nd col -->|
 Function: Define one or more Macro Arrays
     This macro creates one or more macro arrays, and stores in them 
     character values from a SAS dataset or view, or an explicit list 
     of values.

JoostImpink

/*

	Earnings management models

	Author: Joost Impink, March 2016

	Models estimated:
	- Jones model, 	tac = a0 + a1 1/TAt-1 + a2chSales + a3PPE + a4ROA + error.
		- variable names DA_Jones ABSDA_Jones 
	- Modified Jones model, as Jones model, but using chSales - chREC to compute fitted values.

JoostImpink

## 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

JoostImpink

/*	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)

JoostImpink

/* 	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;

JoostImpink

/* 	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 (

JoostImpink

/*	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;

JoostImpink

/*	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 */