Using Sas In Financial Research

Using Sas In Financial Research

ISBN-10:
1590470397
ISBN-13:
9781590470398
Pub. Date:
02/06/2002
Publisher:
SAS Institute Inc.
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Overview

Using Sas In Financial Research

Researchers, graduate students, and practitioners in the financial market now have the first reference-style handbook detailing the mechanics of statistical testing on financial and accounting data. This one-of-a-kind book illustrates how to use SAS software to conduct basic empirical analyses of stock market and financial statement data. It covers various research topics, including investigating the predictability of stock returns, estimating the risk of common stock, and analyzing the impact of earnings and other financial statement information. The use of the SAS language to investigate these issues is demonstrated with numerous real-world examples employing traditional to state-of-the-art analytical estimation techniques. Main topics covered are variance ratio testing, capital asset pricing model, event studies, value versus growth, earnings response coefficients, and microstructure analysis. Readers will find the merging of theoretical and practical concepts unique and informative.

Product Details

ISBN-13: 9781590470398
Publisher: SAS Institute Inc.
Publication date: 02/06/2002
Edition description: New Edition
Pages: 184
Product dimensions: 8.25(w) x 11.00(h) x 0.39(d)

Table of Contents

Acknowledgmentsvii
Chapter 1Introduction
Introduction1
Working with SAS2
Ground Rules3
SAS Data Sets3
Conventions Used in This Book4
Chapter 2Random Walking or Walking Randomly: Using SAS to Conduct Variance Ratio Testing of Asset Prices
Background for the Random Walk Theory of Asset Prices5
The Data7
Sample SAS Code for Variance Ratio Specification Testing7
Summary14
Program Listing14
Chapter 3Analyzing Winners and Losers: Using SAS to Test the Overreaction Hypothesis
Background on Behavioral Issues Specifically Related to Overreaction19
Data Used for Analysis20
Sample SAS Code Evaluating the Existence of Return Reversals21
Summary24
Program Listing25
Chapter 4Cross-Sectional Approach to the Empirical Test of the Capital Asset Pricing Model
Background27
The Data29
Sample SAS Code29
Program Listing37
AppendixA Short Introduction to SAS Macros39
Chapter 5Event Studies
Background43
Measuring Abnormal Stock Returns44
The Data45
Sample Program46
Program Listing52
Chapter 6Effective Use of SAS Macros: An Application to Event Studies
Alternative Test Statistics in Event Studies56
The Data57
Sample Program58
Program Listing70
Chapter 7Association Types of Studies: Investigating the Price-Earnings Relationship
Background for Association Types of Studies73
The Data75
Sample SAS Code for Price-Earnings Regressions75
Program Listing87
Chapter 8Predicting Bankruptcy from Financial Distress Characterization Models
Background for Characterizing Firms in Financial Distress91
The Data92
Sample SAS Program to Evaluate Financial Distress Characterization92
Summary105
Program Listing105
Chapter 9Using Accounting Information to Forecast Market Performance
Background for Analyzing Fundamental Accounting Information and Market Performance107
The Data108
Sample Program to Evaluate Financial Information and Market Performance108
Summary117
Program Listing117
Chapter 10Analysis of Transaction Data
Background119
The Data121
Combining Identical Trades123
Correcting Time Stamps and Computing the Tick Test123
Computing Quote Changes and Combining Them with Trades125
Estimation of Trading Costs127
VAR Estimation130
Program Listing142
AppendixUsing SAS/CONNECT Software to Access WRDS148
References153
Index155

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