| /* count industrial segments | |
| starting dataset, work.a_start with variables gvkey, fyear, datadate from Funda | |
| */ | |
| data b_segm (keep = GVKEY datadate STYPE SID IAS CAPXS NAICS NAICSH NAICSS1 NAICSS2 NIS OPS SALES SICS1 SICS2 SNMS SOPTP1 INTSEG); | |
| set segments.Wrds_segmerged; | |
| /* prevent duplicates: use the data when first published (not later years)*/ | |
| if srcdate eq datadate; | |
| /* select business/operating (or, industrial) segments */ | |
| if stype IN ("BUSSEG", "OPSEG"); |
| /* | |
| macro that computes the Herfindahl index for each industry-year | |
| indVar can be SIC or NAICS | |
| dsin needs to have gvkey, fyear, SICH or NAICSH | |
| sample use: %computeIndSales(dsin=work.start, dsout=work.indsales, indVar=NAICS); | |
| */ | |
| %macro computeIndSales(dsin=, dsout=, indVar=SIC); | |
| /* code for SIC */ |
| /* | |
| 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. |
| /* ********************************************************************************* */ | |
| /* ******************** W R D S R E S E A R C H M A C R O S ******************** */ | |
| /* ********************************************************************************* */ | |
| /* WRDS Macro: INDRATIOS */ | |
| /* Summary : Computes a broad range of financial ratios aggregated at */ | |
| /* the industry level using Fama-French industry classification */ | |
| /* Date : Apr, 2009 */ | |
| /* Modified : Nov, 2010 */ | |
| /* Author : Denys Glushkov, WRDS */ | |
| /* Parameters: */ |
| /* ********************************************************************************* */ | |
| /* ************** W R D S R E S E A R C H A P P L I C A T I O N S ************** */ | |
| /* ********************************************************************************* */ | |
| /* Summary : Calculate Institutional Ownership, Concentration, and Breadth Ratios */ | |
| /* Date : May 18, 2009 */ | |
| /* Author : Luis Palacios, Rabih Moussawi, and Denys Glushkov */ | |
| /* Variables : - INPUT : Thomson-Reuters 13F Data (TR-13F) S34TYPE3 Holdings data */ | |
| /* S34TYPE1 data for FDATE and RDATE variables */ | |
| /* - OUTPUT: IO_TimeSeries dataset with IO variables for common stocks */ | |
| /* ********************************************************************************* */ |
More up-to-date material on this topic can be found here.
From WRDS:
The WRDS-created linking dataset (ccmxpf_linktable) has been deprecated. It will continue to be created for a transition period of 1 year. SAS programmers should use the Link History dataset (ccmxpf_lnkhist) from CRSP.
And from here: