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log: /Volumes/ecxs2/users/baum/compustatcompann/UDCL7B07-1-9210.smcl
log type: smcl
opened on: 17 Feb 2009, 15:31:30
. * read crsp-compustat merged file, set up for merge with UDCL_IRRC_matched
. insheet using 071201862.txt,clear
(11 vars, 1609123 obs)
. saveold crspcompustat,replace
file crspcompustat.dta saved
. todate date, gen(ymd) p(yyyymmdd)
. g yeara = year(ymd)
. g ym = mofd(ymd)
. * collapse to year using sd(monthly data)
. * screen high, low prices
. replace prch = . if prch==0 | prch > 1000
(9857 real changes made, 9857 to missing)
. replace prcl = . if prcl==0 | prcl > 1000
(8273 real changes made, 8273 to missing)
. g prc = 0.5*(prch+prcl)
(53545 missing values generated)
. bysort cnum yeara: egen prsd = sd(prc)
(45058 missing values generated)
. su
Variable | Obs Mean Std. Dev. Min Max
-------------+--------------------------------------------------------
gvkey | 1609123 34925.4 41290.64 1004 270705
npermno | 1592146 65265.4 25503.31 10001 93316
linkdt | 1609123 1.99e+07 114737.7 1.93e+07 2.01e+07
linkenddt | 0
cnum | 0
-------------+--------------------------------------------------------
smbl | 0
date | 1609123 2.00e+07 47069.11 1.99e+07 2.01e+07
prch | 1555582 19.74071 45.81439 .0001 1000
prcl | 1557165 16.76635 42.23882 .0001 1000
cshtrm | 1552985 7730.078 50924.8 0 5335884
-------------+--------------------------------------------------------
cshoq | 1476053 76.08286 351.0168 0 10880
ymd | 1609123 14121.43 1721.746 10988 17166
yeara | 1609123 1998.124 4.707026 1990 2006
ym | 1609123 462.9919 56.56553 360 563
prc | 1555578 17.86921 39.74432 .0001 1000
-------------+--------------------------------------------------------
prsd | 1564065 3.342382 11.65965 0 326.6232
. by cnum yeara: keep if _n==12 & prsd>0
(1486068 observations deleted)
. su
Variable | Obs Mean Std. Dev. Min Max
-------------+--------------------------------------------------------
gvkey | 123055 32651.25 39145.11 1004 270287
npermno | 121711 64271.69 25743.43 10001 93316
linkdt | 123055 1.99e+07 115505.5 1.93e+07 2.01e+07
linkenddt | 0
cnum | 0
-------------+--------------------------------------------------------
smbl | 0
date | 123055 2.00e+07 47105.27 1.99e+07 2.01e+07
prch | 119131 19.33344 44.28565 .0001 1000
prcl | 119231 16.37202 40.5082 .0001 1000
cshtrm | 118969 8110.551 53902.13 0 3628998
-------------+--------------------------------------------------------
cshoq | 113867 79.18291 361.1199 0 10880
ymd | 123055 14122.22 1723.941 10988 17166
yeara | 123055 1998.126 4.710315 1990 2006
ym | 123055 463.0178 56.63769 360 563
prc | 119131 17.53033 38.66808 .0001 1000
-------------+--------------------------------------------------------
prsd | 119816 3.194133 11.36649 .0000144 326.6232
. keep cnum yeara prsd
. saveold pricevol, replace
file pricevol.dta saved
.
. use UDCL_IRRC_matched_9210, clear
. sort cnum yeara
. merge cnum yeara using pricevol
variables cnum yeara do not uniquely identify observations in the master data
. tab yeara
fiscal year | Freq. Percent Cum.
------------+-----------------------------------
1990 | 6,112 4.90 4.90
1991 | 6,104 4.89 9.79
1992 | 6,355 5.09 14.88
1993 | 6,803 5.45 20.33
1994 | 7,405 5.93 26.26
1995 | 7,663 6.14 32.40
1996 | 7,878 6.31 38.71
1997 | 8,201 6.57 45.28
1998 | 8,017 6.42 51.70
1999 | 7,977 6.39 58.09
2000 | 7,886 6.32 64.41
2001 | 7,761 6.22 70.63
2002 | 7,501 6.01 76.64
2003 | 7,220 5.78 82.42
2004 | 6,839 5.48 87.90
2005 | 6,848 5.49 93.39
2006 | 6,707 5.37 98.76
2007 | 1,548 1.24 100.00
------------+-----------------------------------
Total | 124,825 100.00
. tab _merge
_merge | Freq. Percent Cum.
------------+-----------------------------------
1 | 1,770 1.42 1.42
2 | 97,991 78.50 79.92
3 | 25,064 20.08 100.00
------------+-----------------------------------
Total | 124,825 100.00
. // drop if _merge<3
. // do not remove _merge==1 records for 2007
. drop if _merge == 2
(97991 observations deleted)
. drop _merge
. tab yeara
fiscal year | Freq. Percent Cum.
------------+-----------------------------------
1990 | 1,295 4.83 4.83
1991 | 1,262 4.70 9.53
1992 | 1,241 4.62 14.15
1993 | 1,346 5.02 19.17
1994 | 1,312 4.89 24.06
1995 | 1,365 5.09 29.15
1996 | 1,320 4.92 34.06
1997 | 1,236 4.61 38.67
1998 | 1,677 6.25 44.92
1999 | 1,527 5.69 50.61
2000 | 1,548 5.77 56.38
2001 | 1,457 5.43 61.81
2002 | 1,771 6.60 68.41
2003 | 1,719 6.41 74.82
2004 | 1,847 6.88 81.70
2005 | 1,749 6.52 88.22
2006 | 1,614 6.01 94.23
2007 | 1,548 5.77 100.00
------------+-----------------------------------
Total | 26,834 100.00
. duplicates list cnum yeara
Duplicates in terms of cnum yeara
+---------------------------------+
| group: obs: cnum yeara |
|---------------------------------|
| 1 1161 023608 2007 |
| 1 1162 023608 2007 |
| 2 1206 025537 2007 |
| 2 1207 025537 2007 |
| 3 3569 092113 2007 |
|---------------------------------|
| 3 3570 092113 2007 |
| 4 19597 748356 2007 |
| 4 19598 748356 2007 |
+---------------------------------+
. duplicates drop cnum yeara, force
Duplicates in terms of cnum yeara
(4 observations deleted)
. saveold UDCL_IRRC_vol_9210,replace
file UDCL_IRRC_vol_9210.dta saved
. log close
log: /Volumes/ecxs2/users/baum/compustatcompann/UDCL7B07-1-9210.smcl
log type: smcl
closed on: 17 Feb 2009, 15:32:50
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