B****M
发帖数: 68 | 1 新手用SAS跑一个简单的regression程序。
Regress EPS & Book value of equity on share price.
Barth et.al (1998): Brand Values and Capital Market Valuation. Review of
Accounting Studies. Please see the model at page 12.
我从WRDS下载了4个Compustat annual variables(1995-2006): data25: number of
outstanding shares; data60: book value of equity; data178: operating income
from continuing operations; data199: share price at fiscal year end.
data two;
set one;
eps=data178/data25;
bv=data60/data25; *book value of equity per s |
s***r
发帖数: 1121 | 2 1. Winsorize your data
2. the definition of bv is too rough - check Fama's definition
3. Try Fama-MacBeth regression. |
B****M
发帖数: 68 | 3 Thanks a lot for your reply.
I ran a simple regression: data199=eps
I do not get any significance for EPS. What was wrong?
Also, where can I find Fama definition of BV?
感谢前辈不吝赐教！ |
B****M
发帖数: 68 | 4 前辈，哪里可以有Finance或者Accounting SAS program codes for paper
replication 网页么? |
s***r
发帖数: 1121 | 5 Look at WRDS sample codes - good enough. |
v*******y
发帖数: 5530 | 6 你没加year fixed effects呗
income
【在 B****M 的大作中提到】
: 新手用SAS跑一个简单的regression程序。
: Regress EPS & Book value of equity on share price.
: Barth et.al (1998): Brand Values and Capital Market Valuation. Review of
: Accounting Studies. Please see the model at page 12.
: 我从WRDS下载了4个Compustat annual variables(1995-2006): data25: number of
: outstanding shares; data60: book value of equity; data178: operating income
: from continuing operations; data199: share price at fiscal year end.
: data two;
: set one;
: eps=data178/data25;
|
