SAS code for two-way clustered standard errors
Written by John McInnis, slightly modified by me.
Datasets and Code
This page contains code and small helper datasets. For paper-specific code and data, please also see the relevant items in the Papers section.
General
SAS dataset: IBES ticker–PERMNO link
Includes data until the end of 2024. · Screenshot
.jpg){kind=link}
Paper-Specific
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.
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.
.JPG){kind=link}