Working with CRSP/COMPUSTAT in R: Reproducible Empirical Asset Pricing

Simaan, Majeed. (2020). Working with CRSP/COMPUSTAT in R: Reproducible Empirical Asset Pricing.

17 Pages Posted: 2 Oct 2020 Last revised: 24 Apr 2021

See all articles by Majeed Simaan

Majeed Simaan

Stevens Institute of Technology - School of Business

Date Written: March 31, 2021

Abstract

It is common to come across SAS or Stata manuals while working on academic empirical finance research. Nonetheless, given the popularity of open-source programming languages such as R, there are fewer resources in R covering popular databases such as CRSP and COMPUSTAT. The aim of this article is to bridge the gap and illustrate how to leverage R in working with both datasets. As an application, I illustrate how to form size-value portfolios with respect to Fama and French (1993) and study the sensitivity of the results with respect to different inputs. Ultimately, the purpose of the article is to advocate reproducible finance research and to contribute to the recent idea of "Open Source Cross-Sectional Asset Pricing'', proposed by Chen and Zimmermann (2020).

Keywords: Empirical Asset Pricing, RStats, Data Science, Reproducible Finance

JEL Classification: C20, C55, G12

Suggested Citation

Simaan, Majeed, Working with CRSP/COMPUSTAT in R: Reproducible Empirical Asset Pricing (March 31, 2021). Simaan, Majeed. (2020). Working with CRSP/COMPUSTAT in R: Reproducible Empirical Asset Pricing. , Available at SSRN: https://ssrn.com/abstract=3676675 or http://dx.doi.org/10.2139/ssrn.3676675

Majeed Simaan (Contact Author)

Stevens Institute of Technology - School of Business ( email )

Hoboken, NJ 07030
United States

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