Decile ranking with respect to NYSE firms
Posted: 03 February 2014 01:18 PM   [ Ignore ]
Newbie
Rank
Total Posts:  28
Joined  2014-01-13

Hi,

does anyone know what is meant by

- Size decile ranking with respect to NYSE firms
- Book-to-market decile ranking with respect to NYSE firms
- Earnings-to-price decile ranking with respect to NYSE firms

Apparently, I have to compare - for example - the size of my sample firms to the size of NYSE firms. I am not sure about it,
but I guess that I have to realize it somehow with Compustat Fundamentals. Does anyone have some input?

I have sample firms with size, BM, EP available and I need the mean decile rankings with respect to NYSE firms.

Thanks

Profile
 
 
Posted: 04 February 2014 07:43 PM   [ Ignore ]   [ # 1 ]
Administrator
Avatar
RankRankRankRank
Total Posts:  901
Joined  2011-09-19

hi,

What this means is that you need to compute decile-cutoffs for size, btm and ep for the NYSE observations in your sample. (You have to decide whether to do this quarterly, yearly, ..).
When you have the cut-offs, you can determine the decile rank (1 for lowest, etc) for all observations.

Hope this helps,

Joost

 Signature 

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

Profile
 
 
Posted: 06 February 2014 03:01 AM   [ Ignore ]   [ # 2 ]
Newbie
Rank
Total Posts:  28
Joined  2014-01-13

Thanks Joost.

So, I sort my sample firms (only the NYSE ones) into deciles based on size, book-to-market and earnings-to-price.
1= smallest size
10 = biggest size

Then, I sort my other firms (which are NOT listed on NYSE) into the NYSE deciles?

If I have a size decile ranking of 2.99 with respect to NYSE firms, how is this calculated?

Thanks again…

Profile
 
 
Posted: 06 February 2014 08:35 AM   [ Ignore ]   [ # 3 ]
Administrator
Avatar
RankRankRankRank
Total Posts:  901
Joined  2011-09-19

hi,

First create size deciles for NYSE firms. Then, take the cutoffs between the deciles. For example, the smallest 10% of NYSE firms have a size up to 3, while the next 10% is between 3 and 4, etc, and the largest 10% exceed 8. (just making up the numbers).

Then, you go through all other firms. If the size is smaller than 3, they are in decile 1; between 3 and 4: decile 2, etc, larger than 8, decile 10.

Repeat the procedure for btm and pe.

Hope this helps,

Joost

 Signature 

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

Profile
 
 
Posted: 12 February 2014 03:29 PM   [ Ignore ]   [ # 4 ]
Newbie
Rank
Total Posts:  28
Joined  2014-01-13

Thanks. I think I got it smile

Profile