Fama_French code
/* *************************************************************************** */
/* ********* W R D S R E S E A R C H A P P L I C A T I O N S ************* */
/* *************************************************************************** */
/* Program : fama_french_factors_replication.sas */
/* Authors : Luis Palacios (WRDS), Premal Vora (Penn State) */学前教育专业的学校
/* Date : 04/2009 */
/* Last modified : 08/2011 */
/* Description : Replicates Fama-French (1993) SMB & HML Factors */
/* *************************************************************************** */
%let comp=compq;
%let crsp=crspq;
libname myh '~';
/************************ Part 1: Compustat ****************************/
/* Compustat XpressFeed Variables: */
/* AT = Total Assets */
/* PSTKL = Preferred Stock Liquidating Value */
/* TXDITC = Deferred Taxes and Investment Tax Credit */
/* PSTKRV = Preferred Stock Redemption Value */
/* CEQ = Common/Ordinary Equity - Total */
/* PSTK = Preferred/Preference Stock (Capital) - Total */
/* In calculating Book Equity, incorporate Preferred Stock (PS) values */
/* use the redemption value of PS, or the liquidation value */
/* or the par value (in that order) (FF,JFE, 1993, p. 8) */
/* USe Balance Sheet Deferred Taxes TXDITC if available */
/* Flag for number of years in Compustat (<2 likely backfilled data) */
%let vars = AT PSTKL TXDITC PSTKRV CEQ PSTK ;
data comp;
set &comp..funda
(keep= gvkey datadate &vars indfmt datafmt popsrc consol);
by gvkey datadate;
where indfmt='INDL' and datafmt='STD' and popsrc='D' and consol='C'
and datadate >='01Jan1959'd;
/* Two years of accounting data before 1962 */
PS = coalesce(PSTKRV,PSTKL,PSTK,0);
if 中国旅游景点missing(TXDITC) then TXDITC = 0 ;
BE = CEQ + TXDITC - PS ;
if BE<0 then BE=.;
year = year(datadate);
label BE='Book Value of Equity FYear t-1' ;
drop indfmt datafmt popsrc consol ps &vars;
retain count;
if first.gvkey then count=1;
else count = count+1;
run;
/************************ Part 2: CRSP **********************************/
/* Create a CRSP Subsample with Monthly Stock and Event Variables */
/* This procedure creates a SAS dataset named "CRSP_M" */
你是我心中最美的云彩/* Restrictions will be applied later */
/* Select variables from the CRSP monthly stock and event datasets */
%let msevars=ticker ncusip shrcd exchcd;
%let msfvars = prc ret retx shrout cfacpr cfacshr;
%include '/wrds/crsp/samples/crspmerge.sas';
%crspmerge(s=m,start=01jan1959,end=30jun2011,
sfvars=&msfvars,sevars=&msevars,filters=exchcd in (1,2,3));
/* CRSP_M is sorted by date and permno and has historical returns */
/* as well as historical share codes and exchange codes */
/* Add CRSP delisting returns */
proc sql; create table crspm2
as select a.*, b.dlret,
sum(1,ret)*sum(1,dlret)-1 as retadj "Return adjusted for delisting",
abs(a.prc)*a.shrout as MEq 'Market Value of Equity'
from Crsp_m a left join &sedelist(where=(missing(dlret)=0)) b
on a.permno=b.permno and
intnx('month',a.date,0,'E')=intnx('month',b.DLSTDT,0,'E')
order by a.date, a.permco, MEq;
quit;
/* There are cases when the same firm (permco) has two or more */
/* securities (permno) at same date. For the purpose of ME for */
/* the firm, we aggregated all ME for a given permco, date. This */
/* aggregated ME will be assigned to the Permno with the largest ME */
data crspm2a (drop = Meq); set crspm2;
by date permco Meq;
retain ME;
if first.permco and last.permco then do;
ME=meq;
output; /* most common case where a firm has a unique permno*/
end;
else do ;
if first.permco then ME=meq;
else ME=sum(meq,ME);
if last.permco then output;
end;
run;
/* There should be no duplicates*/
proc sort data=crspm2a nodupkey; by permno date;run;
/* The next step does 2 things: */
/* - Create weights for later calculation of VW returns. */
/* Each firm's monthly return RET t willl be weighted by */
/* ME(t-1) = ME(t-2) * (1 + RETX (t-1)) */
/* where RETX is the without-dividend return. */
/* - Create a File with December t-1 Market Equity (ME) */
data crspm3 (keep=permno date retadj weight_port ME exchcd shrcd cumretx)
decme (keep = permno date ME rename=(me=DEC_ME) ) ;
set crspm2a;
by permno date;
retain weight_port cumretx me_base;
Lpermno=lag(permno);
LME=lag(me);
if first.permno then do;
LME=me/(1+retx); cumretx=sum(1,retx); me_base=LME;weight_port=.;end;
else do;
if month(date)=7 then do;
weight_port= LME;
me_base=LME; /* lag ME also at the end of June */
cumretx=sum(1,retx);
end;
else do;
if LME>0 then weight_port=cumretx*me_base;
else weight_port=.;
cumretx=cumretx*sum(1,retx);
end; end;
output crspm3;
if走是什么结构的字 month(date)=12 and ME>0 then output decme;
run;
/* Create a file with data for each June with ME from previous December */
proc sql;
create table crspjune as
select a.*, b.DEC_ME
from crspm3 (where=(month(date)=6)) as a, decme as b
where a.permno=b.permno and
intck('month',b.date,a.date)=6;
quit;
/*************** Part 3: Merging CRSP and Compustat ***********/
/* Add Permno to Compustat sample */
proc sql;
create table ccm1 as
select a.*, b.lpermno as permno, b.linkprim
from comp as a, &pf_linktable as b
where a.gvkey=b.gvkey
and substr(b.linktype,1,1)='L' and linkprim in ('P','C')
and (intnx('month',intnx('year',a.datadate,0,'E'),6,'E') >= b.linkdt)
and (b.linkenddt >= intnx('month',intnx('year',a.datadate,0,'E'),6,'E')
or missing(b.linkenddt))
order by a.datadate, permno, b.linkprim desc;
quit;
/* Cleaning Compustat Data for no relevant duplicates */
/* Eliminating overlapping matching : few cases where different gvkeys */
/* for same permno-date --- some of them are not 'primary' matches in CCM */
/* Use linkprim='P' for selecting just one gvkey-permno-date combination */
data ccm1a; set ccm1;
by datadate permno descending linkprim;
if first.permno;
run;
/* Sanity Check -- No Duplicates */
proc sort data=ccm1a nodupkey; by permno year datadate; run;
/* 2. However, there other type of duplicates within the year */
/* Some companiess change fiscal year end in the middle of the calendar year */
/* In these cases, there are more than one annual record for accounting data */
/* We will be selecting the last annual record in a given calendar year */
data ccm2a ; set ccm1a;
by permno year datadate;
if ar;
run;
/* Sanity Check -- No Duplicates */
proc sort data=ccm2a nodupkey; by permno datadate; run;
/* Finalize Compustat Sample */
/* Merge CRSP with Compustat data, at June of every year */
/* Match fiscal year ending calendar year t-1 with June t */
proc sql; create table ccm2_june as
select a.*, b.BE, (1000*b.BE)/a.DEC_ME as BEME, b.count,
b.datadate,
intck('month',b.datadate, a.date) as dist
from crspjune a, ccm2a b
where a.permno=b.permno and intnx('month',a.date,0,'E')=
intnx('month',intnx('year',b.datadate,0,'E'),6,'E')
order by a.date;
quit;
/************************ Part 4: Size and Book to Market Portfolios ***/
/* Forming Portolio by ME and BEME as of each June t */
/* Calculate NYSE Breakpoints for Market Equity (ME) and */
/* Book-to-Market (BEME) */
proc univariate data=ccm2_june noprint;
where exchcd=1 and beme>0 and shrcd in (10,11) and me>0 and count>=2;
var ME BEME;
by date; /*at june;*/
output out=nyse_breaks median = SIZEMEDN pctlpre=ME BEME pctlpts=30 70;
run;
/* Use Breakpoints to classify stock only at end of all June's */
proc sql;
create table ccm3_june as
select a.*, b.sizemedn, b.beme30, b.beme70
from ccm2_june as a, nyse_breaks as b
where a.date=b.date;
quit;
/* Create portfolios as of June */
/* SIZE Portfolios : S[mall] or B[ig] */
/* Book-to-market Portfolios: L[ow], M[edium], H[igh] */
data june ; set ccm3_june;
If beme>0 and me>0 and count>=2 then do;
positivebeme=1;
* beme>0 includes the restrictioncs that ME at Dec(t-1)>0
* and BE (t-1) >0 and more than two years in Compustat;
if 0 <= ME <= sizemedn then sizeport = 'S';
else if ME > sizemedn then sizeport = 'B';
else sizeport='';
if 0 < beme <= beme30 then btmport = 'L';
else if beme30 < beme <= beme70 then btmport = 'M' ;
else if beme > beme70 then btmport = 'H';
else btmport='';
end;
else positivebeme=0;
if cmiss(sizeport,btmport)=0 then nonmissport=1; else nonmissport=0;
keep permno date sizeport btmport positivebeme exchcd shrcd nonmissport;
run;
/* Identifying each month the securities of */
/* Buy and hold June portfolios from July t to June t+1 */
proc sql; create table ccm4 as
select a.*, b.sizeport, b.btmport, b.date as portdate format date9.,
b.positivebeme , b.nonmissport
from crspm3 as a, june as b
where a.permno=b.permno and 1 <= intck('month',b.date,a.date) <= 12
order by date, sizeport, btmport;
quit;
/*************** Part 5: Calculating Fama-French Factors **************/
/* Calculate monthly time series of weighted average portfolio returns */
proc means data=ccm4 noprint;
where weight_port>0 and positivebeme=1 and exchcd in (1,2,3)
and shrcd in (10,11) and nonmissport=1;
by date sizeport btmport;
var retadj;
weight weight_port;
output out=vwret (drop= _type_ _freq_ ) mean=vwret n=n_firms;
run;
/* Monthly Factor Returns: SMB and HML */
proc transpose data=vwret(keep=date sizeport btmport vwret)
out=vwret2 (drop=_name_ _label_);
by date ;
ID sizeport btmport;
Var vwret;
run;
/************************ Part 6: Saving Output ************************/
data myh.ff_factors;
set vwret2;
WH = (bh + sh)/2 ;
WL = (sl + bl)/2 ;
WHML = WH - WL;
WB = (bl + bm + bh)/3 ;
WS = (sl + sm + sh)/3 ;
WSMB = WS - WB;
label WH = 'WRDS High'
WL = 'WRDS Low'
WHML = 'WRDS HML'
WS = 'WRDS Small'
WB = 'WRDS Big'
WSMB = 'WRDS SMB';
run;
/* Number of Firms */
proc transpose data=vwret(keep=date sizeport btmport n_firms)
out=vwret3 (drop=_name_ _label_) prefix=n_;
by date ;
ID sizeport btmport;
Var n_firms;
run;
data myh.ff_nfirms;
set vwret3;
N_H = n_sh + n_bh;
N_L = n_sl + n_bl;
N_HML = N_H + N_L;
N_B = n_bl + n_bm + n_bh;
N_S = n_sl + n_sm + n_sh ;
N_SMB = N_S + N_B;
Total1= N_SMB;
label N_H = 'N_firms High'
N_L = 'N_firms Low'
N_HML = 'N_firms HML'
N_S = 'N_firms Small'
N_B = 'N_firms Big'
N_SMB = 'N_firms SMB';
run;
/* Clean the house*/
proc sql;
drop table ccm1, ccm1a,ccm2a,ccm2_june,
ccm3_june, ccm4, comp,
crspm2, crspm2a, crspm3, crsp_m,
个人委托书模板decme, june, nyse_breaks; 侠盗猎车 罪恶都市秘籍
quit;
/* ********************************************************************************* */
/* ************* Material Copyright Wharton Research Data Services *************** */
/* ****************************** All Rights Reserved ****************************** */
/* ********************************************************************************* */
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