quarterly accruals
Posted: 26 June 2014 11:10 AM   [ Ignore ]
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Does anyone have sas code or know where it is posted which allows you to compute accruals (i.e. jones, modified jones models) on a Quarterly basis.  While this is traditionally done on an annual basis, my dataset consists of quarterly earnings.

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Posted: 26 June 2014 05:48 PM   [ Ignore ]   [ # 1 ]
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hi,

There is code for the ‘annual’ Jones model here: http://www.wrds.us/index.php/repository/view/7

Notice this piece of code on that page:

data EarningsManagementset comp.funda;
where INDFMT 'INDL' AND DATAFMT 'STD' AND POPSRC 'D' AND CONSOL 'C';
CYEAR YEAR(DATADATE);
KEEP GVKEY FYEAR CYEAR SICH ACT AT CHE DLC DP LCT PPENT PPEGT RECT RECTR SALE;
run

Unless I am mistaking, you would only need to replace ‘set comp.funda’ with ‘set comp.fundq’ and find the corresponding variable names from fundq for ACT AT CHE DLC DP LCT PPENT PPEGT RECT RECTR SALE, you would be pretty much there.

Hope this helps,

Joost

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