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log: /Volumes/ecxs2/users/baum/crsp/327evstud3.smcl
log type: smcl
opened on: 20 Feb 2008, 16:57:58
. use crspret200106, clear
. su
Variable | Obs Mean Std. Dev. Min Max
-------------+--------------------------------------------------------
permno | 10657623 72581.18 22849.81 10001 93105
permco | 10657623 21437.27 12927.71 5 51568
date | 0
ret | 10528995 .0009371 .0433201 -.9565217 15.955
caldt | 10657623 16041.71 639.1697 14977 17164
. // merge on the event_dates file by permno
. merge permno using 327event_dates, uniqusing
variable permno does not uniquely identify observations in the master data
. tab _merge
_merge | Freq. Percent Cum.
------------+-----------------------------------
1 | 10,502,698 98.55 98.55
3 | 154,925 1.45 100.00
------------+-----------------------------------
Total | 10,657,623 100.00
. drop if _merge < 3
(10502698 observations deleted)
. drop _merge
.
. // generate trading day counter
. bys permno (caldt): g trday = _n
. bys permno: g target = trday if caldt == event_date
(154818 missing values generated)
. egen td = min(target), by(permno)
(34885 missing values generated)
. drop if td == .
(34885 observations deleted)
. g dif = trday - td
.
. // merge on NYSE VWRETD index
. sort caldt
. merge caldt using nyse_vwretd, uniqusing
variable caldt does not uniquely identify observations in the master data
caldt was int now float
. tab _merge
_merge | Freq. Percent Cum.
------------+-----------------------------------
3 | 120,040 100.00 100.00
------------+-----------------------------------
Total | 120,040 100.00
. drop _merge
. sort permno caldt
. su
Variable | Obs Mean Std. Dev. Min Max
-------------+--------------------------------------------------------
permno | 120040 73573.67 20615.54 10016 91581
permco | 120040 20760.68 13750.25 323 51428
date | 0
ret | 119658 .0008281 .036728 -.7 2.333333
caldt | 120040 16093.33 635.5842 14977 17164
-------------+--------------------------------------------------------
event_date | 120040 16102.33 371.4021 15013 17141
first_date | 120040 15098.66 352.4275 14977 17111
last_date | 120040 17083.34 307.1394 15022 17164
trday | 120040 684.4097 433.7066 1 1507
target | 107 565.5514 318.2292 13 1107
-------------+--------------------------------------------------------
td | 120040 690.1725 252.0905 13 1107
dif | 120040 -5.762862 449.3579 -1106 1121
yymmdd | 0
vwretd | 120040 .0002864 .0095211 -.0468039 .0530638
. saveold 327evstud, replace
file 327evstud.dta saved
.
. log close
log: /Volumes/ecxs2/users/baum/crsp/327evstud3.smcl
log type: smcl
closed on: 20 Feb 2008, 16:58:15
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