DSF or erdport1
Posted: 20 September 2011 09:39 PM   [ Ignore ]
Sr. Member
Total Posts:  169
Joined  2011-09-20

Joost and everybody here,

I am interested to get the return after earnings annoucement. I started with Example 3, and I found it is very useful.
Now, my question is, i found i don’t have access to the Erdport1 (maybe my instituion didn’t enroll into this part of CRSP). I just want to confirm that to get the return data, beside the DSF. any other database from CRSP will do the job? how about the CRSP Daily Data?
The both include the variable PRC…

Another way to ask my question is: is that okey to use one database to replace another as long as they have the same defined (and interested) variable(s)?

Thank you in advance,



A humble student of business

Posted: 21 September 2011 09:03 AM   [ Ignore ]   [ # 1 ]
Total Posts:  901
Joined  2011-09-19

hi Zenghui,

I will need to incorporate the forums into the ‘main’ website so that people reading the articles see the forum posts. Untill that time I will probably the one you will chat with

I am using erdport1 as it has also the return for firms with similar size. So, it is easy to compute size adjusted returns.

If size-adjusted return is not important, and raw return is fine, then you can use dsf. If you still would want size adjusted returns (without having access to erdport1), then you can compute the average daily return for size deciles yourself.
(This probably is a good idea anyways, as erdport1 has missing values). You can use ‘proc means’ for this (first create a ranked size decile, then create average daily return for each size decile).

Creating a ranked decile variable (will be 0 to 9), in this case, by fiscal fyear:
proc rank data =dsetIn out = dsetOut groups = 10;
var marketCap; 
ranks sizeRank; 
by fyear;   

Include the sizeRank in the daily returns; then this will compute average returns for each size decile:
proc means data=setWithReturns noprint;
OUTPUT OUT=setWithAverages   mean=/autoname;
var ret;
by date sizeRank;

best regards,



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