ERC sample code
Posted: 15 June 2012 11:59 AM   [ Ignore ]
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Hi, Joost,

Thanks a lot for your great forum!

One simple question:

What is the paper that your ERC SAS code is based on?

 

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Posted: 15 June 2012 01:43 PM   [ Ignore ]   [ # 1 ]
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hi Malvernguy,

It is just one of several ways of how you could do an ERC study.
Thinking out loud, I can think of the following variations:

1. measuring earnings surprises
- use Compustat ni or bi, or use IBES actuals
- use IBES summary stats, or detail for latest analyst forecast

2. window size
- 1 day, 2 day, 3 day etc

3. returns
- raw return
- market model
- capm
- size adjusted return
- 3 or 4 factor model

Hope this helps,

Joost

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To reply/post new questions: Please use the group WRDS/SAS on Google Groups! http://groups.google.com/d/forum/wrdssas

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Posted: 28 November 2012 09:35 AM   [ Ignore ]   [ # 2 ]
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Bonno - 28 November 2012 01:06 AM

I did a natural language parser in Erc as some example code for people trying to learn it. It’s heavily commented, and useful too. It’s also modular, and supports different languages.

Where is it?

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