Generate our own erdport1 database from DSF file
Posted: 07 September 2012 01:52 PM   [ Ignore ]
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Like Joost mentioned, erdport1 is not complete.

Therefore, it is a good idea to build our own decile portiflio. I think DSF database include all securities, the output data of this code will be comparable to the erdport1 database, but more complete. smile

This post will be updated later. I only post the idea down for my own record.

*start from DSF database.
*calculate the cap size. share#*price.
*Proc Rank to generate 10 deciles.


Reference:
http://www.nesug.org/Proceedings/nesug09/ap/ap01.pdf

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Zenghui
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Posted: 07 September 2012 01:58 PM   [ Ignore ]   [ # 1 ]
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hi Zenghui,

People often use NYSE size deciles (instead of their own). There is a macro in the repository that should do that. http://www.wrds.us/index.php/repository/view/6

good luck smile

Joost

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