This page contains some code and small helper datasets.

SAS code for two-way clustered standard errors

Written by John McInnis, slightly modified by me.

SAS dataset: IBES ticker–PERMNO link

Includes data until the end of 2025. · Screenshot

SAS code: compute cumulative past returns

SAS code: obtain short interest data

Please note that prior to June 2003 there is very limited short interest data for NASDAQ firms in COMPUSTAT.

SAS code: earnings surprise and announcement-day returns

Screenshot of resulting dataset

CSV dataset (zipped): contains for each PERMNO-Ticker/Day, the total number of tweets and the total number of retweets regarding the corresponding stock.

As used in Chen and Hwang, Listening in on Investors' Thoughts and Conversations, Journal of Financial Economics, 2022.

SAS code: price-based return comovement around splits

As used in Green and Hwang, Price-Based Return Comovement, Journal of Financial Economics, 2009.

SAS code: expected skewness and IPO first-day returns

As used in Green and Hwang, IPOs as Lotteries, Management Science, 2012.

Stata code: readability and firm value

As used in Hwang and Kim, It Pays to Write Well, Journal of Financial Economics, 2017.