Industry classficiation
Posted: 04 June 2014 08:58 PM   [ Ignore ]
Newbie
Rank
Total Posts:  26
Joined  2014-05-03

Hi Joost,
  Thanks a lot for you previous relpies about my questions!
  Here I have another question. It’s about the industry classficiation code.I want to calculate industry average returns. But I notice in the CRSP that there are SICCD and HSICCD. I wonder why there are two types of industry classification? What’s the difference between them? and which of them should I use?
  Thanks a lot!
Best.
Xinjiao

Profile
 
 
Posted: 05 June 2014 07:23 AM   [ Ignore ]   [ # 1 ]
Administrator
Avatar
RankRankRankRank
Total Posts:  901
Joined  2011-09-19

hi Xinjiao,

The ‘header’ SIC (HSICCD) means the current SIC code. The SICCD is the historical SIC code. This difference is only relevant for companies that changed their SIC.

One way of using this is to use SICCD (the historical one), and replace missing values with the header (current) SIC (HSICCD).

By the way, you can also use industry codes from Compustat. Compustat Fundamental Annual has SICH, NAICSH (historical), and Compustat Company has the current industry codes.

best regards,

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: 11 May 2015 08:51 AM   [ Ignore ]   [ # 2 ]
Newbie
Rank
Total Posts:  4
Joined  2015-03-25

Joost,

Is there any easy way to “average return for all CRSP firms with the same SIC code”?

Thanks

Profile
 
 
Posted: 11 May 2015 06:56 PM   [ Ignore ]   [ # 3 ]
Administrator
Avatar
RankRankRankRank
Total Posts:  901
Joined  2011-09-19

hi,

Once you have constructed a dataset with SIC and the returns, a proc means (with ‘by ...’) or proc sql (with ‘group by ...’) are SAS procedures that would be straightforward to use to get grouped averages.

Best regards,

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: 04 April 2016 10:11 AM   [ Ignore ]   [ # 4 ]
Newbie
Rank
Total Posts:  5
Joined  2016-03-07

Hi Xinjiao and Joost,

I am currently doing an analysis which requires SIC code. However, some SIC code I downloaded from CRSP are “0000”, for example, the permno “10146” has SIC “0000”, and permno “10592” also has SIC code “0000”. I wonder why is the case? Should the SIC code stars from “0100”?

Many thanks,
Bo

Profile
 
 
Posted: 04 April 2016 04:07 PM   [ Ignore ]   [ # 5 ]
Administrator
Avatar
RankRankRankRank
Total Posts:  901
Joined  2011-09-19

hi Bo,

I would think ‘0000’ means missing.

Best Regards,

Joost

 Signature 

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

Profile