Overview of entries in repository

Article replication
Accrual reliability, earnings persistence and stock prices
Replication of tables 1-3 of Richardson, Sloan, Soliman and Tuna, 2005. Accrual reliability, earnings persistence and stock prices as published in the Journal of Accounting and Economics
An alternative interpretation of the discontinuity in earnings distributions
Replication of Beaver, McNichols and Nelson 2007. An alternative interpretation of the discontinuity in earnings distributions as published in the Review of Accounting Studies
Are Smoother Earnings Associated with a Lower Cost of Equity Capital
SAS code for article "Are Smoother Earnings Associated with a Lower Cost of Equity Capital?" as published in The Accounting Review (2010)
Financial Statement Comparability -  De Franco, Kothari and Verdi (2011, JAR) Replication
Replication of Financial Statement Comparability - De Franco, Kothari and Verdi (2011, JAR)

Data management
C++ code to compute ‘Jackknife’ Herfindahl indices
C++ code to compute Herfindahl indices. The Herfindahl index is computed at the industry level, as well as at the firm level (where it is based on other firms in the industry).
Fama French industry classification
SAS macros to assign Fama French industry classification codes based on SIC number.
Macro to adjust timeseries data for inflation (CPI)
SAS macro to adjust timeserie data for inflation (CPI). Can be used (for example) to include firm-years where sales exceed $50 million (in 2010 dollars).
Macro to compute industry-year adjusted values
This macro creates new variables where the industry-median for the year is subtracted (industry-year adjustment)
Macro to create Pearson-Spearman correlations and p-values
SAS macro to create a table with both Pearson and Spearman correlation coefficients and p-values
Match Compustat (Funda) with Audit Analytics (Auditfees)
Macro that matches Compustat Fundamental Annual with Audit Analytics Auditfees
SAS Macro for creating decile ranked variables
SAS Macro for creating decile ranked variables
SAS Macro for WRDS CRSP.DSF Stock price retrieval
Macro that appends crsp.dsf stock price to a dataset that contains permno and a date variable
SAS macro to determine number of segments
This macro counts the number of segments (industry segments, geographic segments) in Compustat Segment file
SAS Macro to determine the number of analysts following
SAS Macro to determine the number of analysts following using IBES summary files
SAS macro to download WRDS datasets and create indices
This macro downloads WRDS datasets to the local pc and creates an index file (if index file is available on WRDS).
SAS Winsorize macro
SAS macro to delete/winsorize outliers

Datasets
SEC Filings on EDGAR
SAS dataset with SEC filings on EDGAR from 1993 - 2016

Estimation
Fama McBeth regression in SAS
Fama McBeth (1973) regression
Jones model to estimate earnings management
This code estimates abnormal accruals (earnings management) using the Jones model
SAS macro for two-way clustering
SAS macro for two-way clustering of standard errors

Statistical tests
Macro to create table with two groups comparing means and medians
Macro to create table with two groups comparing means, medians, standard deviation. Includes t-test and Wilcoxon-Mann-Withney significance.


forum

Latest forum posts
Fama French 49 YES 49 !!! by CA Miller
date format by Emily
Discretionary Accruals by jwhi121
question about discretionary accrual models by kerrida
Combining Global and North American data by CA Miller
File for Eventus or SAS Event Study by samme
quarterly accruals by lxt88
Financial Statement Comparability - De Franco, Kothari and Verdi (2011, JAR) Replication by rowing
question about discretionary accrual models by Zenghui
problem in perl by KZ

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