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
Date Written: March 31, 2021
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: Suggested Citation