module CSAPFactors //start with Signals //Predictors def stataWinsorize(X,limit){ return iif(isNull(X),NULL,iif(X>quantile(X, 1-limit,'lower'),quantile(X, 1-limit, 'lower'),iif(Xquantile(X, 1-limit,'lower'),NULL,iif(Xb if (isNull(a) && isNull(b)) return NULL } def stataEbigger(a,b){ if (isNull(a) && !isNull(b)) return true if (!isNull(a) && isNull(b)) return false if (!isNull(a) && !isNull(b)) return a>=b if (isNull(a) && isNull(b)) return NULL } def sicff(sicCRSP){ group_ranges = { 1: ["0100-0199", "0200-0299", "0700-0799", "0910-0919", "2048-2048"], 2: ["2000-2009", "2010-2019", "2020-2029", "2030-2039", "2040-2046", "2050-2059", "2060-2063", "2070-2079", "2090-2092", "2095-2095", "2098-2099"], 3: ["2064-2068", "2086-2086", "2087-2087", "2096-2096", "2097-2097"], 4: ["2080-2080", "2082-2082", "2083-2083", "2084-2084", "2085-2085"], 5: ["2100-2199"], 6: ["0920-0999", "3650-3651", "3652-3652", "3732-3732", "3930-3931", "3940-3949"], 7: ["7800-7829", "7830-7833", "7840-7841", "7900-7900", "7910-7911", "7920-7929", "7930-7933", "7940-7949", "7980-7980", "7990-7999"], 8: ["2700-2709", "2710-2719", "2720-2729", "2730-2739", "2740-2749", "2770-2771", "2780-2789", "2790-2799"], 9: ["2047-2047", "2391-2392", "2510-2519", "2590-2599", "2840-2843", "2844-2844", "3160-3161", "3170-3171", "3172-3172", "3190-3199", "3229-3229", "3260-3260", "3262-3263", "3269-3269", "3230-3231", "3630-3639", "3750-3751", "3800-3800", "3860-3861", "3870-3873", "3910-3911", "3914-3914", "3915-3915", "3960-3962", "3991-3991", "3995-3995"], 10: ["2300-2390", "3020-3021", "3100-3111", "3130-3131", "3140-3149", "3150-3151", "3963-3965"], 11: ["8000-8099"], 12: ["3693-3693", "3840-3849", "3850-3851"], 13: ["2830-2830", "2831-2831", "2833-2833", "2834-2834", "2835-2835", "2836-2836"], 14: ["2800-2809", "2810-2819", "2820-2829", "2850-2859", "2860-2869", "2870-2879", "2890-2899"], 15: ["3031-3031", "3041-3041", "3050-3053", "3060-3069", "3070-3079", "3080-3089", "3090-3099"], 16: ["2200-2269", "2270-2279", "2280-2284", "2290-2295", "2297-2297", "2298-2298", "2299-2299", "2393-2395", "2397-2399"], 17: ["0800-0899", "2400-2439", "2450-2459", "2490-2499", "2660-2661", "2950-2952", "3200-3200", "3210-3211", "3240-3241", "3250-3259", "3261-3261", "3264-3264", "3270-3275", "3280-3281", "3290-3293", "3295-3299", "3420-3429", "3430-3433", "3440-3441", "3442-3442", "3446-3446", "3448-3448", "3449-3449", "3450-3451", "3452-3452", "3490-3499", "3996-3996"], 18: ["1500-1511", "1520-1529", "1530-1539", "1540-1549", "1600-1699", "1700-1799"], 19: ["3300-3300", "3310-3317", "3320-3325", "3330-3339", "3340-3341", "3350-3357", "3360-3369", "3370-3379", "3390-3399"], 20: ["3400-3400", "3443-3443", "3444-3444", "3460-3469", "3470-3479"], 21: ["3510-3519", "3520-3529", "3530-3530", "3531-3531", "3532-3532", "3533-3533", "3534-3534", "3535-3535", "3536-3536", "3538-3538", "3540-3549", "3550-3559", "3560-3569", "3580-3580", "3581-3581", "3582-3582", "3585-3585", "3586-3586", "3589-3589", "3590-3599"], 22: ["3600-3600", "3610-3613", "3620-3621", "3623-3629", "3640-3644", "3645-3645", "3646-3646", "3648-3649", "3660-3660", "3690-3690", "3691-3692", "3699-3699"], 23: ["2296-2296", "2396-2396", "3010-3011", "3537-3537", "3647-3647", "3694-3694", "3700-3700", "3710-3710", "3711-3711", "3713-3713", "3714-3714", "3715-3715", "3716-3716", "3792-3792", "3790-3791", "3799-3799"], 24: ["3720-3720", "3721-3721", "3723-3724", "3725-3725", "3728-3729"], 25: ["3730-3731", "3740-3743"], 26: ["3760-3769", "3795-3795", "3480-3489"], 27: ["1040-1049"], 28: ["1000-1009", "1010-1019", "1020-1029", "1030-1039", "1050-1059", "1060-1069", "1070-1079", "1080-1089", "1090-1099", "1100-1119", "1400-1499"], 29: ["1200-1299"], 30: ["1300-1300", "1310-1319", "1320-1329", "1330-1339", "1370-1379", "1380-1380", "1381-1381", "1382-1382", "1389-1389", "2900-2912", "2990-2999"], 31: ["4900-4900", "4910-4911", "4920-4922", "4923-4923", "4924-4925", "4930-4931", "4932-4932", "4939-4939", "4940-4942"], 32: ["4800-4800", "4810-4813", "4820-4822", "4830-4839", "4840-4841", "4880-4889", "4890-4890", "4891-4891", "4892-4892", "4899-4899"], 33: ["7020-7021", "7030-7033", "7200-7200", "7210-7212", "7214-7214", "7215-7216", "7217-7217", "7219-7219", "7220-7221", "7230-7231", "7240-7241", "7250-7251", "7260-7269", "7270-7290", "7291-7291", "7292-7299", "7395-7395", "7500-7500", "7520-7529", "7530-7539", "7540-7549", "7600-7600", "7620-7620", "7622-7622", "7623-7623", "7629-7629", "7630-7631", "7640-7641", "7690-7699", "8100-8199", "8200-8299", "8300-8399", "8400-8499", "8600-8699", "8800-8899", "7510-7515"], 34: ["2750-2759", "3993-3993", "7218-7218", "7300-7300", "7310-7319", "7320-7329", "7330-7339", "7340-7342", "7349-7349", "7350-7351", "7352-7352", "7353-7353", "7359-7359", "7360-7369", "7370-7372", "7374-7374", "7375-7375", "7376-7376", "7377-7377", "7378-7378", "7379-7379", "7380-7380", "7381-7382", "7383-7383", "7384-7384", "7385-7385", "7389-7390", "7391-7391", "7392-7392", "7393-7393", "7394-7394", "7396-7396", "7397-7397", "7399-7399", "7519-7519", "8700-8700", "8710-8713", "8720-8721", "8730-8734", "8740-8748", "8900-8910", "8911-8911", "8920-8999", "4220-4229"], 35: ["3570-3579", "3680-3680", "3681-3681", "3682-3682", "3683-3683", "3684-3684", "3685-3685", "3686-3686", "3687-3687", "3688-3688", "3689-3689", "3695-3695", "7373-7373"], 36: ["3622-3622", "3661-3661", "3662-3662", "3663-3663", "3664-3664", "3665-3665", "3666-3666", "3669-3669", "3670-3679", "3810-3810", "3812-3812"], 37: ["3811-3811", "3820-3820", "3821-3821", "3822-3822", "3823-3823", "3824-3824", "3825-3825", "3826-3826", "3827-3827", "3829-3829", "3830-3839"], 38: ["2520-2549", "2600-2639", "2670-2699", "2760-2761", "3950-3955"], 39: ["2440-2449", "2640-2659", "3220-3221", "3410-3412"], 40: ["4000-4013", "4040-4049", "4100-4100", "4110-4119", "4120-4121", "4130-4131", "4140-4142", "4150-4151", "4170-4173", "4190-4199", "4200-4200", "4210-4219", "4230-4231", "4240-4249", "4400-4499", "4500-4599", "4600-4699", "4700-4700", "4710-4712", "4720-4729", "4730-4739", "4740-4749", "4780-4780", "4782-4782", "4783-4783", "4784-4784", "4785-4785", "4789-4789"], 41: ["5000-5000", "5010-5015", "5020-5023", "5030-5039", "5040-5042", "5043-5043", "5044-5044", "5045-5045", "5046-5046", "5047-5047", "5048-5048", "5049-5049", "5050-5059", "5060-5060", "5063-5063", "5064-5064", "5065-5065", "5070-5078", "5080-5080", "5081-5081", "5082-5082", "5083-5083", "5084-5084", "5085-5085", "5086-5087", "5088-5088", "5090-5090", "5091-5092", "5093-5093", "5094-5094", "5099-5099", "5100-5100", "5110-5113", "5120-5122", "5130-5139", "5140-5149", "5150-5159", "5160-5169", "5170-5172", "5180-5182", "5190-5199"], 42: ["5200-5200", "5210-5219", "5220-5229", "5230-5231", "5250-5251", "5260-5261", "5270-5271", "5300-5300", "5310-5311", "5320-5320", "5330-5331", "5334-5334", "5340-5349", "5390-5399", "5400-5400", "5410-5411", "5412-5412", "5420-5429", "5430-5439", "5440-5449", "5450-5459", "5460-5469", "5490-5499", "5500-5500", "5510-5529", "5530-5539", "5540-5549", "5550-5559", "5560-5569", "5570-5579", "5590-5599", "5600-5699", "5700-5700", "5710-5719", "5720-5722", "5730-5733", "5734-5734", "5735-5735", "5736-5736", "5750-5799", "5900-5900", "5910-5912", "5920-5929", "5930-5932", "5940-5940", "5941-5941", "5942-5942", "5943-5943", "5944-5944", "5945-5945", "5946-5946", "5947-5947", "5948-5948", "5949-5949", "5950-5959", "5960-5969", "5970-5979", "5980-5989", "5990-5990", "5992-5992", "5993-5993", "5994-5994", "5995-5995", "5999-5999"], 43: ["5800-5819", "5820-5829", "5890-5899", "7000-7000", "7010-7019", "7040-7049", "7213-7213"], 44: ["6000-6000", "6010-6019", "6020-6020", "6021-6021", "6022-6022", "6023-6024", "6025-6025", "6026-6026", "6027-6027", "6028-6029", "6030-6036", "6040-6059", "6060-6062", "6080-6082", "6090-6099", "6100-6100", "6110-6111", "6112-6113", "6120-6129", "6130-6139", "6140-6149", "6150-6159", "6160-6169", "6170-6179", "6190-6199"], 45: ["6300-6300", "6310-6319", "6320-6329", "6330-6331", "6350-6351", "6360-6361", "6370-6379", "6390-6399", "6400-6411"], 46: ["6500-6500", "6510-6510", "6512-6512", "6513-6513", "6514-6514", "6515-6515", "6517-6519", "6520-6529", "6530-6531", "6532-6532", "6540-6541", "6550-6553", "6590-6599", "6610-6611"], 47: ["6200-6299", "6700-6700", "6710-6719", "6720-6722", "6723-6723", "6724-6724", "6725-6725", "6726-6726", "6730-6733", "6740-6779", "6790-6791", "6792-6792", "6793-6793", "6794-6794", "6795-6795", "6798-6798", "6799-6799"], 48: ["4950-4959", "4960-4961", "4970-4971", "4990-4991"] } code_to_group = {2440:1} for (group in group_ranges.keys()){ for(r in group_ranges[group]){ start_str, end_str = r.split('-') start= int(start_str) end=int(end_str)+1 for (code in start:end){ code_to_group[string(code)] = int(group) } } } return code_to_group[string(sicCRSP)]$INT } def am(at, mve_c){ //Total assets to market return at \ mve_c } def accruals(txp, act, che, lct, dlc, dp, at){ //Accruals tempTXP = iif(isValid(txp),txp,0) Accruals = ((act-move(act,12)) - (che-move(che,12)) - ((lct-move(lct,12))-(dlc-move(dlc,12)) - (tempTXP - move(tempTXP,12))) - dp) \ ((at+move(at,12))\2).nullFill(0) return Accruals } def accrualsBM(permno,mve_c,time_avail_m,ceq,act,che,lct,dlc,txp,at){ //Accruals and BM BM = log(ceq\mve_c) tempacc = ((act-move(act,12))-(che-move(che,12))-((lct-move(lct,12)) - (dlc-move(dlc,12)) - (txp-move(txp,12))))\((at+move(at,12))\2) temp= table(permno,time_avail_m,BM,tempacc) temp = select *, asof(quantileSeries(BM,[0,0.2,0.4,0.6,0.8],interpolation='midpoint'),BM) as tempBM,asof(quantileSeries(tempacc,[0,0.2,0.4,0.6,0.8],interpolation='midpoint'),tempacc) as temptempacc from temp context by time_avail_m order by permno, time_avail_m update temp set tempBM = tempBM+1 update temp set temptempacc = temptempacc+1 temp = select *, iif(ceq < 0, NULL, iif(tempBM == 5 and temptempacc == 1, 1, iif(tempBM==1 and temptempacc==5, 0, NULL))) as AccrualsBM from temp return permno,time_avail_m,temp.AccrualsBM } def adExp(xad, mve_c){ // Advertising Expenses return iif(xad<=0,NULL,xad\mve_c) } def assetGrowth(time_avail_m,at){ //Asset Growth return (at - stataMoveM(time_avail_m,at, 12)) \ stataMoveM(time_avail_m,at, 12) } def bm(ceqt, me_datadate){ return log(ceqt \ me_datadate) } def bmDec(permno,time_avail_m,txditc,seq,ceq,at,lt,pstk,pstkrv,pstkl,prc,shrout){ //Book-to-market (December market equity) tempME = iif(monthOfYear(time_avail_m) == 12, abs(prc) * shrout, NULL) tempYear = year(time_avail_m) tempDecME = contextby(min, tempME, [tempYear,permno]) temptxditc = txditc.nullFill(0) //tempPS = iif(!isValid(pstk), pstkrv, pstk) //tempPS = iif(!isValid(tempPS), pstkl, tempPS) tempPS = iif(!isValid(pstk), iif(!isValid(pstkrv), pstkl, pstkrv), pstk) // tempSE = iif(!isValid(seq), ceq + tempPS, seq) // tempSE = iif(!isValid(tempSE), at - lt, tempSE) tempSE = iif(!isValid(seq), iif(!isValid(ceq + tempPS), at - lt, ceq + tempPS), seq) tempBE = tempSE + temptxditc - tempPS BMdec = iif(monthOfYear(time_avail_m)>=6,tempBE\(stataMoveM(time_avail_m,tempDecME,12)),tempBE\(stataMoveM(time_avail_m,tempDecME,17))) return BMdec } defg olsAgg1(Y, X1) { return ols(Y,X1)[1] } def Beta(ret,ewretd,rf){ //CAPM Beta retrf = ret - rf ewmktrf = ewretd - rf //return moving( olsAgg1, (retrf, ewmktrf), 60, 20) return mbeta(retrf, ewmktrf, 60, 20) } defg olsAgg4(Y, X1,X2,X3,X4) { return ols(Y,(X1,X2,X3,X4))[1] } def betaLiquidityPS(ret, ps_innov,mktrf,hml,smb, rf){ //Pastor-Stambaugh liquidity beta retrf = ret - rf BetaLiquidityPS = moving(olsAgg4,(retrf,ps_innov,mktrf,hml,smb), 60, 36) return BetaLiquidityPS } /* def betaLiquidityPS(ret, ps_innov,mktrf,hml,smb, rf){ //Pastor-Stambaugh liquidity beta retrf = ret - rf BetaLiquidityPS = mbeta( retrf,matrix(ps_innov,mktrf,hml,smb), 60, 36)[0] return BetaLiquidityPS } */ def bookLeverage(at, lt, txditc, pstk, pstkrv, pstkl, seq, ceq){ //Book leverage (annual) temptxditc = txditc.nullFill(0) tempPS = pstk tempPS = iif(!isValid(tempPS), iif(!isValid(pstkrv), pstkl, pstkrv), tempPS) tempSE = seq tempSE = iif(!isValid(tempSE), iif(!isValid(ceq + tempPS), at - lt, ceq + tempPS), tempSE) return at \ (tempSE + temptxditc - tempPS) } def cf(ib, dp, mve_c){ //Cash-flow to market return (ib + dp) \ mve_c } def cash(cheq, atq){ //Cash to assets return cheq \ atq } //m_QCompustat.rdq def cashProd(mve_c, at, che){ //Cash productivity return (mve_c - at) \ che } def chAssetTurnover(time_avail_m,sale, rect, invt, aco, ppent, intan, ap, lco, lo){ //Change in Asset Turnover temp = (rect + invt + aco + ppent + intan - ap - lco - lo) AssetTurnover = sale \ ((temp + stataMoveM(time_avail_m,temp, 12)) \ 2) AssetTurnover = iif(AssetTurnover < 0, NULL, AssetTurnover) return AssetTurnover - stataMoveM(time_avail_m,AssetTurnover, 12) } def chEQ(time_avail_m,ceq){ //Sustainable Growth return iif(ceq > 0 && stataMoveM(time_avail_m,ceq, 12), ceq \ stataMoveM(time_avail_m,ceq, 12), NULL) } def chInv(invt, at){ //Change in inventory return (invt - move(invt, 12)) \ ((at + move(at, 12)) / 2) } def chNNCOA(at, act, ivao, lt, dlc, dltt){ //Change in Net Noncurrent Operating Assets temp = ((at - act - ivao) - (lt - dlc - dltt)) \ at return temp - move(temp, 12) } def chNWC(act, che, lct, dlc, at){ //Change in Net Working Capital temp = ((act - che) - (lct - dlc)) \ at return temp - move(temp, 12) } def chTax(time_avail_m,txtq, at){ //Change in taxes return (txtq - stataMoveM(time_avail_m,txtq, 12)) \ stataMoveM(time_avail_m,at, 12) } def compEquIss(time_avail_m,ret,mve_c){ //Composite Equity Issuance tempIdx = array(DOUBLE, ret.size()) tempIdx[0]=1 tempIdx[1:] = cumprod(1+ret[1:]) tempBH = (tempIdx - stataMoveM(time_avail_m,tempIdx, 60))\stataMoveM(time_avail_m,tempIdx, 60) compEquIss = log(mve_c \ stataMoveM(time_avail_m,mve_c, 60)) - tempBH return compEquIss } def compositeDebtIssuance(time_avail_m,dltt, dlc){ //Composite Debt Issuance tempBD = dltt + dlc return log(tempBD \ stataMoveM(time_avail_m,tempBD, 60)) } def delCOA(at, act, che){ //Change in current operating assets tempAvAT = 0.5 * (at + move(at, 12)) DelCOA = (act - che) - (move(act, 12) - move(che, 12)) return DelCOA \ tempAvAT } def delCOL(at, lct, dlc){ //Change in current operating liabilities tempAvAT = 0.5 * (at + move(at, 12)) DelCOL = (lct - dlc) - (move(lct, 12) - move(dlc, 12)) return DelCOL \ tempAvAT } def delDRC(drc, at, ceq, sale, sic){ //Deferred Revenue //sic type cast DelDRC = (drc - move(drc, 12)) \ (0.5 * (at + move(at, 12))) return iif(ceq <= 0 || (drc == 0 && DelDRC == 0) || sale < 5, NULL, DelDRC) } def delEqu(at, ceq){ //Change in common equity tempAvAT = 0.5 * (at + move(at, 12)) DelEqu = ceq - move(ceq, 12) return DelEqu \ tempAvAT } def delLTI(at, ivao){ //Change in long-term investment tempAvAT = 0.5 * (at + move(at, 12)) DelLTI = ivao - move(ivao, 12) return DelLTI \ tempAvAT } def delNetFin(at, pstk, ivst, ivao, dltt, dlc){ //Change in net financial assets tempAvAT = 0.5 * (at + move(at, 12)) tempPSTK = iif(isValid(pstk), pstk, 0) temp = (ivst + ivao) - (dltt + dlc + tempPSTK) return (temp - move(temp, 12)) \ tempAvAT } def divInit(time_avail_m,exchcd,shrcd,divamt){ //Dividend Initiation tempdivamt = nullFill(divamt, 0) divsum = msum(tempdivamt,24,1) temp = tempdivamt > 0 and stataMoveM(time_avail_m,divsum,1)==0 initsum = msum(temp,6,1) DivInit = initsum == 1 return DivInit } def divOmit(time_avail_m,exchcd,shrcd,divamt){ //Dividend Omission div = nullFill(divamt, 0) divind = div > 0 sum3_divind = msum(divind, 3) temppaid = sum3_divind==1 mean18_temppaid = mavg(temppaid, 18) temppayer = mean18_temppaid==1 omit_3 = (sum3_divind == 0) and (stataMoveM(time_avail_m,sum3_divind, 1) >0) and (stataMoveM(time_avail_m,temppayer,3)==1) sum6_divind = msum(divind, 6) temppaid = sum6_divind==1 mean18_temppaid = mavg(temppaid, 18) temppayer = mean18_temppaid==1 omit_6 = (sum6_divind == 0) and (stataMoveM(time_avail_m,sum6_divind, 1) >0) and (stataMoveM(time_avail_m,temppayer,6)==1) sum12_divind = msum(divind, 12) temppaid = sum12_divind==1 mean24_temppaid = mavg(temppaid, 24) temppayer = mean24_temppaid==1 omit_12 = (sum12_divind == 0) and (stataMoveM(time_avail_m,sum12_divind, 1) >0) and (stataMoveM(time_avail_m,temppayer,12)==1) omitnow = (omit_3==1) || (omit_6==1) || (omit_12==1) temp = msum(omitnow,2) DivOmit = temp == 1 return DivOmit } def dolVol(time_avail_m,vol, prc){ //Past trading volume return log(stataMoveM(time_avail_m,vol, 2) * abs(stataMoveM(time_avail_m,prc, 2))) } def ep(time_avail_m,ib, mve_c){ //Earnings-to-price ratio EP = ib \ stataMoveM(time_avail_m,mve_c, 6) return iif(EP < 0, NULL, EP) } def earningsConsistency(time_avail_m,epspx){ //Earnings Consistency temp = (epspx - stataMoveM(time_avail_m,epspx,12)) \ (0.5*(abs(stataMoveM(time_avail_m,epspx, 12)) + abs(stataMoveM(time_avail_m,epspx,24)))) temp_12 = stataMoveM(time_avail_m,temp,12) temp_24 = stataMoveM(time_avail_m,temp,24) temp_36 = stataMoveM(time_avail_m,temp,36) temp_48 = stataMoveM(time_avail_m,temp,48) temp = matrix(temp, temp_12, temp_24, temp_36, temp_48) EarningsConsistency = rowAvg(temp) EarningsConsistency = iif(rowMax(abs(stataMoveM(time_avail_m,epspx/epspx,12)) > 6 || (temp > 0 && temp_12 < 0 && isValid(temp))|| (temp < 0 && temp_12 > 0 && isValid(temp))), NULL, EarningsConsistency) return EarningsConsistency } def earningsSurprise(permno, gvkey, time_avail_m, epspxq){ GrTemp = epspxq - stataMoveM(time_avail_m,epspxq, 12) temp3 = stataMoveM(time_avail_m,GrTemp, 3) temp6 = stataMoveM(time_avail_m,GrTemp, 6) temp9 = stataMoveM(time_avail_m,GrTemp, 9) temp12 = stataMoveM(time_avail_m,GrTemp, 12) temp15 = stataMoveM(time_avail_m,GrTemp, 15) temp18 = stataMoveM(time_avail_m,GrTemp, 18) temp21 = stataMoveM(time_avail_m,GrTemp, 21) temp24 = stataMoveM(time_avail_m,GrTemp, 24) Drift = rowAvg(matrix(temp3, temp6, temp9, temp12, temp15, temp18, temp21, temp24)) EarningsSurprise = epspxq - stataMoveM(time_avail_m,epspxq, 12) - Drift temp3 = stataMoveM(time_avail_m,EarningsSurprise, 3) temp6 = stataMoveM(time_avail_m,EarningsSurprise, 6) temp9 = stataMoveM(time_avail_m,EarningsSurprise, 9) temp12 = stataMoveM(time_avail_m,EarningsSurprise, 12) temp15 = stataMoveM(time_avail_m,EarningsSurprise, 15) temp18 = stataMoveM(time_avail_m,EarningsSurprise, 18) temp21 = stataMoveM(time_avail_m,EarningsSurprise, 21) temp24 = stataMoveM(time_avail_m,EarningsSurprise, 24) SD = rowStd(matrix(temp3, temp6, temp9, temp12, temp15, temp18, temp21, temp24)) EarningsSurprise = EarningsSurprise/SD return EarningsSurprise } def earnSupBig(permno, time_avail_m, mve_c, EarningsSurprise, tempFF48){ //Industry Earnings surprise big companies data1 = table(permno, time_avail_m, mve_c, EarningsSurprise, tempFF48) data1 = select *, rank(mve_c, percent = true) as tempRK from data1 context by tempFF48, time_avail_m order by tempFF48, time_avail_m data2 = select * from data1 where tempRK > 0.7 and tempRK is not null data2 = select *, mean(EarningsSurprise) as EarnSupBig from data2 context by tempFF48, time_avail_m limit 1 data3 = select * from data1 left join data2 on data1.tempFF48 = data2.tempFF48 and data1.time_avail_m = data2.time_avail_m result = select permno, time_avail_m, iif(tempRK > 0.7, NULL, EarnSupBig) as EarnSupBig from data3 return result } def equityDuration(gvkey, time_avail_m, fyear, datadate, ceq, ib, sale, prcc_f, csho){ //Equity Duration tempRoE = ib \ move(ceq, 1) temp_g_eq = (sale \ move(sale, 1))-1 tempCD = move(ceq, 1) * (tempRoE - temp_g_eq) tempRoE1 = 0.57 * tempRoE + 0.12 * (1 - 0.57) temp_g_eq1 = 0.24 * temp_g_eq + 0.06 * (1 - 0.24) tempBV1 = ceq * (1 + temp_g_eq1) tempCD1 = ceq - tempBV1 + ceq * tempRoE1 tempROE2 = 0.57 * tempRoE1 + 0.12 * (1 - 0.57) temp_g_eq2 = 0.24 * temp_g_eq1 + 0.06 * (1 - 0.24) tempBV2 = tempBV1 * (1 + temp_g_eq2) tempCD2 = tempBV1 - tempBV2 + tempBV1 * tempROE2 tempROE3 = 0.57 * tempROE2 + 0.12 * (1 - 0.57) temp_g_eq3 = 0.24 * temp_g_eq2 + 0.06 * (1 - 0.24) tempBV3 = tempBV2 * (1 + temp_g_eq3) tempCD3 = tempBV2 - tempBV3 + tempBV2 * tempROE3 tempROE4 = 0.57 * tempROE3 + 0.12 * (1 - 0.57) temp_g_eq4 = 0.24 * temp_g_eq3 + 0.06 * (1 - 0.24) tempBV4 = tempBV3 * (1 + temp_g_eq4) tempCD4 = tempBV3 - tempBV4 + tempBV3 * tempROE4 tempROE5 = 0.57 * tempROE4 + 0.12 * (1 - 0.57) temp_g_eq5 = 0.24 * temp_g_eq4 + 0.06 * (1 - 0.24) tempBV5 = tempBV4 * (1 + temp_g_eq5) tempCD5 = tempBV4 - tempBV5 + tempBV4 * tempROE5 tempROE6 = 0.57 * tempROE5 + 0.12 * (1 - 0.57) temp_g_eq6 = 0.24 * temp_g_eq5 + 0.06 * (1 - 0.24) tempBV6 = tempBV5 * (1 + temp_g_eq6) tempCD6 = tempBV5 - tempBV6 + tempBV5 * tempROE6 tempROE7 = 0.57 * tempROE6 + 0.12 * (1 - 0.57) temp_g_eq7 = 0.24 * temp_g_eq6 + 0.06 * (1 - 0.24) tempBV7 = tempBV6 * (1 + temp_g_eq7) tempCD7 = tempBV6 - tempBV7 + tempBV6 * tempROE7 tempROE8 = 0.57 * tempROE7 + 0.12 * (1 - 0.57) temp_g_eq8 = 0.24 * temp_g_eq7 + 0.06 * (1 - 0.24) tempBV8 = tempBV7 * (1 + temp_g_eq8) tempCD8 = tempBV7 - tempBV8 + tempBV7 * tempROE8 tempROE9 = 0.57 * tempROE8 + 0.12 * (1 - 0.57) temp_g_eq9 = 0.24 * temp_g_eq8 + 0.06 * (1 - 0.24) tempBV9 = tempBV8 * (1 + temp_g_eq9) tempCD9 = tempBV8 - tempBV9 + tempBV8 * tempROE9 tempROE10 = 0.57 * tempROE9 + 0.12 * (1 - 0.57) temp_g_eq10 = 0.24 * temp_g_eq9 + 0.06 * (1 - 0.24) tempBV10 = tempBV9 * (1 + temp_g_eq10) tempCD10 = tempBV9 - tempBV10 + tempBV9 * tempROE10 MD_Part1 = 1*tempCD1\(1+0.12) + 2*tempCD2\pow(1+0.12,2) + 3*tempCD3\pow(1+0.12,3)+(4*tempCD4)\pow(1+0.12,4)+(5*tempCD5)\pow(1+0.12,5)+(6*tempCD6)\pow(1+0.12,6)+(7*tempCD7)\pow(1+0.12,7)+(8*tempCD8)\pow(1+0.12,8)+(9*tempCD9)\pow(1+0.12,9)+(10*tempCD10)\pow(1+0.12,10) PV_Part1 = tempCD1\(1+0.12) + tempCD2\pow(1+0.12,2) + (tempCD3)\pow(1+0.12,3)+(tempCD4)\pow(1+0.12,4)+(tempCD5)\pow(1+0.12,5)+(tempCD6)\pow(1+0.12,6)+(tempCD7)\pow(1+0.12,7)+(tempCD8)\pow(1+0.12,8)+(tempCD9)\pow(1+0.12,9)+(tempCD10)\pow(1+0.12,10) tempME = prcc_f*csho tempED = MD_Part1 \ tempME + (10 + (1+0.12)\0.12)*(1-PV_Part1\tempME) return tempED } def exchSwitch(exchcd){ //Exchange Switch ExchSwitch = ((exchcd == 1 && (move(exchcd, 1) == 2 || move(exchcd, 2) == 2 || move(exchcd, 3) == 2 || move(exchcd, 4) == 2 || move(exchcd, 5) == 2 || move(exchcd, 6) == 2 || move(exchcd, 7) == 2 || move(exchcd, 8) == 2 || move(exchcd, 9) == 2 || move(exchcd, 10) == 2 || move(exchcd, 11) == 2 || move(exchcd, 12) == 2 || move(exchcd, 1) == 3 || move(exchcd, 2) == 3 || move(exchcd, 3) == 3 || move(exchcd, 4) == 3 || move(exchcd, 5) == 3 || move(exchcd, 6) == 3 || move(exchcd, 7) == 3 || move(exchcd, 8) == 3 || move(exchcd, 9) == 3 || move(exchcd, 10) == 3 || move(exchcd, 11) == 3 || move(exchcd, 12) == 3)) || (exchcd == 2 && (move(exchcd, 1) == 3 || move(exchcd, 2) == 3 || move(exchcd, 3) == 3 || move(exchcd, 4) == 3 || move(exchcd, 5) == 3 || move(exchcd, 6) == 3 || move(exchcd, 7) == 3 || move(exchcd, 8) == 3 || move(exchcd, 9) == 3 || move(exchcd, 10) == 3 || move(exchcd, 11) == 3 || move(exchcd, 12) == 3))) return ExchSwitch } def firmAge(gvkey, permno, time_avail_m, exchcd){ //Firm Age tmp = table(gvkey, permno, time_avail_m, exchcd) tmp = select *, rowNo(exchcd)+1 as FirmAge from tmp context by permno base_date = date(1926.07.01) tmp['tempcrsptime'] = date(time_avail_m) - base_date+1 FirmAge = iif(tmp['FirmAge']==tmp['tempcrsptime'], NULL, tmp['FirmAge']) return FirmAge } def firmAgeMom(permno, time_avail_m, ret, prc){ //Firm Age - Momentum FirmAgeMom = ((1+move(ret,1))*(1+move(ret,2))*(1+move(ret,3))*(1+move(ret,4))*(1+move(ret,5))) - 1 FirmAgeMom = iif(abs(prc) < 5, NULL, FirmAgeMom) tempage = contextby(rowNo, FirmAgeMom, [permno,time_avail_m]) tmp = table(tempage, time_avail_m) temp = exec rank(tempage, groupNum=5)+1 from tmp context by time_avail_m FirmAgeMom = iif(temp>1&&isValid(temp), NULL, FirmAgeMom) return FirmAgeMom } def gp(revt, cogs, at){ //Gross profitability return (revt - cogs) \ at } def grLTNOA(time_avail_m,rect, invt, ppent, aco, intan, ao, ap, lco, lo, at, dp){ //Growth in long term net operating assets GrLTNOA = (rect + invt + ppent + aco + intan + ao - ap - lco - lo) \ at - (stataMoveM(time_avail_m,rect, 12) + stataMoveM(time_avail_m,invt, 12) + stataMoveM(time_avail_m,ppent, 12) + stataMoveM(time_avail_m,aco, 12) + stataMoveM(time_avail_m,intan, 12) + stataMoveM(time_avail_m,ao, 12) - stataMoveM(time_avail_m,ap, 12) - stataMoveM(time_avail_m,lco, 12) - stataMoveM(time_avail_m,lo, 12)) \ stataMoveM(time_avail_m,at, 12) - (rect - stataMoveM(time_avail_m,rect, 12) + invt - stataMoveM(time_avail_m,invt, 12) + aco - stataMoveM(time_avail_m,aco, 12) - (ap - stataMoveM(time_avail_m,ap, 12) + lco - stataMoveM(time_avail_m,lco, 12)) - dp) \ ((at + stataMoveM(time_avail_m,at, 12)) \ 2) return GrLTNOA } def grSaleToGrInv(time_avail_m,sale, invt){ //Sales growth over inventory growth GrSaleToGrInv = ((sale - (0.5 * (stataMoveM(time_avail_m,sale, 12) + stataMoveM(time_avail_m,sale, 24)))) \ (0.5 * (stataMoveM(time_avail_m,sale, 12) + stataMoveM(time_avail_m,sale, 24)))) - ((invt - (0.5 * (stataMoveM(time_avail_m,invt, 12) + stataMoveM(time_avail_m,invt, 24)))) \ (0.5 * (stataMoveM(time_avail_m,invt, 12) + stataMoveM(time_avail_m,invt, 24)))) return iif(isValid(GrSaleToGrInv), GrSaleToGrInv, ((sale - stataMoveM(time_avail_m,sale, 12)) \ stataMoveM(time_avail_m,sale, 12)) - ((invt - stataMoveM(time_avail_m,invt, 12)) \ stataMoveM(time_avail_m,invt, 12))) } def grSaleToGrOverhead(time_avail_m,sale, xsga){ //Sales growth over overhead growth GrSaleToGrOverhead = ((sale - (0.5 * (stataMoveM(time_avail_m,sale, 12) + stataMoveM(time_avail_m,sale, 24)))) \ (0.5 * (stataMoveM(time_avail_m,sale, 12) + stataMoveM(time_avail_m,sale, 24)))) - ((xsga - (0.5 * (stataMoveM(time_avail_m,xsga, 12) + stataMoveM(time_avail_m,xsga, 24)))) \ (0.5 * (stataMoveM(time_avail_m,xsga, 12) + stataMoveM(time_avail_m,xsga, 24)))) return iif(isValid(GrSaleToGrOverhead), GrSaleToGrOverhead, ((sale - stataMoveM(time_avail_m,sale, 12)) \ stataMoveM(time_avail_m,sale, 12)) - ((xsga - stataMoveM(time_avail_m,xsga, 12)) \ stataMoveM(time_avail_m,xsga, 12))) } def intMom(time_avail_m,ret){ //Intermediate Momentum return ((1 + stataMoveM(time_avail_m,ret, 7)) * (1 + stataMoveM(time_avail_m,ret, 8)) * (1 + stataMoveM(time_avail_m,ret, 9)) * (1 + stataMoveM(time_avail_m,ret, 10)) * (1 + stataMoveM(time_avail_m,ret, 11)) * (1 + stataMoveM(time_avail_m,ret, 12))) - 1 } def investPPEInv(time_avail_m,at, ppegt, invt){ //PPE and inventory changes to assets tempPPE = ppegt - stataMoveM(time_avail_m,ppegt, 12) tempInv = invt - stataMoveM(time_avail_m,invt, 12) return (tempPPE + tempInv) \ stataMoveM(time_avail_m,at, 12) } def investment(permno, revt, capx){ //Investment Investment = capx/revt temp = table(permno, Investment) tempMean = exec mavg(Investment, window = 36, minPeriods = 24) from temp context by permno Investment = Investment\tempMean Investment = iif(revt<10, NULL, Investment) return Investment } def lRreversal(time_avail_m,ret){ //Long-run reversal return ((1 + stataMoveM(time_avail_m,ret, 13)) * (1 + stataMoveM(time_avail_m,ret, 14)) * (1 + stataMoveM(time_avail_m,ret, 15)) * (1 + stataMoveM(time_avail_m,ret, 16)) * (1 + stataMoveM(time_avail_m,ret, 17)) * (1 + stataMoveM(time_avail_m,ret, 18)) * (1 + stataMoveM(time_avail_m,ret, 19)) * (1 + stataMoveM(time_avail_m,ret, 20)) * (1 + stataMoveM(time_avail_m,ret, 21)) * (1 + stataMoveM(time_avail_m,ret, 22)) * (1 + stataMoveM(time_avail_m,ret, 23)) * (1 + stataMoveM(time_avail_m,ret, 24)) * (1 + stataMoveM(time_avail_m,ret, 25)) * (1 + stataMoveM(time_avail_m,ret, 26)) * (1 + stataMoveM(time_avail_m,ret, 27)) * (1 + stataMoveM(time_avail_m,ret, 28)) * (1 + stataMoveM(time_avail_m,ret, 29)) * (1 + stataMoveM(time_avail_m,ret, 30)) * (1 + stataMoveM(time_avail_m,ret, 31)) * (1 + stataMoveM(time_avail_m,ret, 32)) * (1 + stataMoveM(time_avail_m,ret, 33)) * (1 + stataMoveM(time_avail_m,ret, 34)) * (1 + stataMoveM(time_avail_m,ret, 35)) * (1 + stataMoveM(time_avail_m,ret, 36))) - 1 } def leverage(lt, mve_c){ //Market Leverage return lt \ mve_c } def mRreversal(time_avail_m,ret){ //Momentum-Reversal ret0= nullFill(ret,0) return ((1 + stataMoveM(time_avail_m,ret0, 13)) * (1 + stataMoveM(time_avail_m,ret0, 14)) * (1 + stataMoveM(time_avail_m,ret0, 15)) * (1 + stataMoveM(time_avail_m,ret0, 16)) * (1 + stataMoveM(time_avail_m,ret0, 17)) * (1 + stataMoveM(time_avail_m,ret0, 18))) - 1 } def meanRankRevGrowth1(revt){ //Average Revenue Growth temp = log(revt) - log(move(revt, 12)) return temp } def meanRankRevGrowth2(tempRank){ //Average Revenue Growth MeanRankRevGrowth = (5*tempRank.move(12) + 4*tempRank.move(24)+ 3*tempRank.move(36) + 2*tempRank.move(48) + tempRank.move(60))\15 return MeanRankRevGrowth } def mom12m(ret){ //Twelve month momentum return ((1 + move(ret, 1)) * (1 + move(ret, 2)) * (1 + move(ret, 3)) * (1 + move(ret, 4)) * (1 + move(ret, 5)) * (1 + move(ret, 6)) * (1 + move(ret, 7)) * (1 + move(ret, 8)) * (1 + move(ret, 9)) * (1 + move(ret, 10)) * (1 + move(ret, 11))) - 1 } def mom12mOffSeason(time_avail_m, permno, ret){ //Momentum without Seasonal Part ret0 = iif(isValid(ret), ret, 0) Mom12 = mavg(ret0, window = 9, minPeriods = 6) Mom12mOffSeason = prev(Mom12) return Mom12mOffSeason } def mom6m(time_avail_m,ret){ //Six month momentum return ((1 + stataMoveM(time_avail_m,ret, 1)) * (1 + stataMoveM(time_avail_m,ret, 2)) * (1 + stataMoveM(time_avail_m,ret, 3)) * (1 + stataMoveM(time_avail_m,ret, 4)) * (1 + stataMoveM(time_avail_m,ret, 5))) - 1 } def momOffSeason(time_avail_m,ret){ //Off-season long-term reversal //ret = SignalMasterTable.ret //permno = SignalMasterTable.permno ret0 = ret.nullFill(0) temp23 =stataMoveM(time_avail_m,ret0,23) temp35 =stataMoveM(time_avail_m,ret0,35) temp47 =stataMoveM(time_avail_m,ret0,47) temp59 =stataMoveM(time_avail_m,ret0,59) // Generate lagged return variables and calculate row total and non-missing count retTemp1 = rowSum(temp23, temp35, temp47, temp59) retTemp2 = 4-(isNull(temp23)+ isNull(temp35) + isNull(temp47) + isNull(temp59)) retLagTemp =stataMoveM(time_avail_m,ret0,12) retLagTemp_sum48 = msum(retLagTemp, 48) retLagTemp_count48 = mcount(retLagTemp, 48) MomOffSeason = (retLagTemp_sum48 - retTemp1)\(retLagTemp_count48 - retTemp2) return MomOffSeason } def momOffSeason06YrPlus(time_avail_m,ret){ //Off-season reversal years 6 to 10 ret0 = nullFill(ret,0) temp71 = stataMoveM(time_avail_m,ret0,71) temp83 = stataMoveM(time_avail_m,ret0,83) temp95 = stataMoveM(time_avail_m,ret0,95) temp107 = stataMoveM(time_avail_m,ret0,107) temp119 = stataMoveM(time_avail_m,ret0,119) retTemp1 = rowSum(temp71, temp83, temp95, temp107, temp119) retTemp2 = 5-(isNull(temp71) + isNull(temp83) + isNull(temp95) + isNull(temp107) + isNull(temp119)) retLagTemp = stataMoveM(time_avail_m,ret0,60) retLagTemp_sum60 = msum(retLagTemp, window = 60) retLagTemp_count60 = mcount(retLagTemp, window = 60) MomOffSeason06YrPlus = (retLagTemp_sum60 - retTemp1)\(retLagTemp_count60 - retTemp2) return MomOffSeason06YrPlus } def momOffSeason11YrPlus(time_avail_m,ret){ //Off season reversal years 11 to 15 ret0 = nullFill(ret, 0) temp131 = stataMoveM(time_avail_m,ret0,131) temp143 = stataMoveM(time_avail_m,ret0,143) temp155 = stataMoveM(time_avail_m,ret0,155) temp167 = stataMoveM(time_avail_m,ret0,167) temp179 = stataMoveM(time_avail_m,ret0,179) retTemp1 = rowSum(temp131, temp143, temp155, temp167, temp179) retTemp2 = 5-(isNull(temp131) + isNull(temp143) + isNull(temp155) + isNull(temp167) + isNull(temp179)) retLagTemp = stataMoveM(time_avail_m,ret0,120) retLagTemp_sum60 = msum(retLagTemp, window = 60) retLagTemp_count60 = mcount(retLagTemp, window = 60) MomOffSeason11YrPlus = (retLagTemp_sum60 - retTemp1)\(retLagTemp_count60 - retTemp2) return MomOffSeason11YrPlus } def momOffSeason16YrPlus(time_avail_m,ret){ //Off season reversal years 16 to 20 ret0 = nullFill(ret, 0) temp191 = stataMoveM(time_avail_m,ret0,191) temp203 = stataMoveM(time_avail_m,ret0,203) temp215 = stataMoveM(time_avail_m,ret0,215) temp227 = stataMoveM(time_avail_m,ret0,227) temp239 = stataMoveM(time_avail_m,ret0,239) retTemp1 = rowSum(temp191, temp203, temp215, temp227, temp239) retTemp2 = 5-(isNull(temp191) + isNull(temp203) + isNull(temp215) + isNull(temp227) + isNull(temp239)) retLagTemp = stataMoveM(time_avail_m,ret0,180) retLagTemp_sum60 = msum(retLagTemp, window = 60) retLagTemp_count60 = mcount(retLagTemp, window = 60) MomOffSeason16YrPlus = (retLagTemp_sum60 - retTemp1)\(retLagTemp_count60 - retTemp2) return MomOffSeason16YrPlus } //group by time, 对于permno 分成5组 按照mom6m def momRev(ret, time_avail_m, permno){ temp= table(permno, time_avail_m, ret) temp= select *, ret0 = nullFill(ret, 0) from temp temp= select *, Mom6m = ((1 + tmove(time_avail_m,ret0, 1M)) * (1 + tmove(time_avail_m,ret0, 2M)) * (1 + tmove(time_avail_m,ret0, 3M)) * (1 + tmove(time_avail_m,ret0, 4M)) * (1 + tmove(time_avail_m,ret0, 5M))) - 1, Mom36m = ((1 + tmove(time_avail_m, ret0, 13M)) * (1 + tmove(time_avail_m, ret0, 14M)) * (1 + tmove(time_avail_m, ret0, 15M)) * (1 + tmove(time_avail_m, ret0, 16M)) * (1 + tmove(time_avail_m, ret0, 17M)) * (1 + tmove(time_avail_m, ret0, 18M)) * (1 + tmove(time_avail_m, ret0, 19M)) * (1 + tmove(time_avail_m, ret0, 20M)) * (1 + tmove(time_avail_m, ret0, 21M)) * (1 + tmove(time_avail_m, ret0, 22M)) * (1 + tmove(time_avail_m, ret0, 23M)) * (1 + tmove(time_avail_m, ret0, 24M)) * (1 + tmove(time_avail_m, ret0, 25M)) * (1 + tmove(time_avail_m, ret0, 26M)) * (1 + tmove(time_avail_m, ret0, 27M)) * (1 + tmove(time_avail_m, ret0, 28M)) * (1 + tmove(time_avail_m, ret0, 29M)) * (1 + tmove(time_avail_m, ret0, 30M)) * (1 + tmove(time_avail_m, ret0, 31M)) * (1 + tmove(time_avail_m, ret0, 32M)) * (1 + tmove(time_avail_m, ret0, 33M)) * (1 + tmove(time_avail_m, ret0, 34M)) * (1 + tmove(time_avail_m, ret0, 35M)) * (1 + tmove(time_avail_m, ret0, 36M))) - 1 from temp context by permno temp = select *, asof(quantileSeries(Mom6m,[0,0.2,0.4,0.6,0.8],interpolation='midpoint'),Mom6m) as tempMom6 from temp where Mom6m is not null context by time_avail_m order by permno, time_avail_m update temp set tempMom6 = tempMom6+1 temp = select *, asof(quantileSeries(Mom36m,[0,0.2,0.4,0.6,0.8],interpolation='midpoint') ,Mom36m) as tempMom36 from temp where Mom36m is not null context by time_avail_m order by permno, time_avail_m update temp set tempMom36 = tempMom36+1 temp = select permno,time_avail_m, iif(temp.tempMom6==5 && temp.tempMom36==1, 1, iif(temp.tempMom6==1 && temp.tempMom36==5, 0, NULL)) as MomRev from temp order by permno, time_avail_m return (temp.permno,temp.time_avail_m,temp.MomRev) } def momSeason(time_avail_m,ret){ //Return Seasonality (years 2 to 5) ret0 = nullFill(ret,0) temp23 = stataMoveM(time_avail_m,ret0,23) temp35 = stataMoveM(time_avail_m,ret0,35) temp47 = stataMoveM(time_avail_m,ret0,47) temp59 = stataMoveM(time_avail_m,ret0,59) retTemp1 = rowSum(temp23, temp35, temp47, temp59) retTemp2 = 4-(isNull(temp23) + isNull(temp35) + isNull(temp47) + isNull(temp59)) MomSeason = retTemp1\retTemp2 return MomSeason } def momSeason06YrPlus(time_avail_m,ret){ //Off-season reversal years 6 to 10 ret0 = nullFill(ret,0) temp71 = stataMoveM(time_avail_m,ret0,71) temp83 = stataMoveM(time_avail_m,ret0,83) temp95 = stataMoveM(time_avail_m,ret0,95) temp107 = stataMoveM(time_avail_m,ret0,107) temp119 = stataMoveM(time_avail_m,ret0,119) retTemp1 = rowSum(temp71, temp83, temp95, temp107, temp119) retTemp2 = 5-(isNull(temp71) + isNull(temp83) + isNull(temp95) + isNull(temp107) + isNull(temp119)) MomSeason06YrPlus = retTemp1\retTemp2 return MomSeason06YrPlus } def momSeason11YrPlus(time_avail_m,ret){ //Return Seasonality (11-15) ret0 = nullFill(ret,0) temp131 = stataMoveM(time_avail_m,ret0,131) temp143 = stataMoveM(time_avail_m,ret0,143) temp155 = stataMoveM(time_avail_m,ret0,155) temp167 = stataMoveM(time_avail_m,ret0,167) temp179 = stataMoveM(time_avail_m,ret0,179) retTemp1 = rowSum(temp131, temp143, temp155, temp167, temp179) retTemp2 = 5-(isNull(temp131) + isNull(temp143) + isNull(temp155) + isNull(temp167) + isNull(temp179)) MomSeason11YrPlus = retTemp1\retTemp2 return MomSeason11YrPlus } def momSeason16YrPlus(time_avail_m,ret){ //Return Seasonality (16-20) ret0 = nullFill(ret, 0) temp191 = stataMoveM(time_avail_m,ret0,191) temp203 = stataMoveM(time_avail_m,ret0,203) temp215 = stataMoveM(time_avail_m,ret0,215) temp227 = stataMoveM(time_avail_m,ret0,227) temp239 = stataMoveM(time_avail_m,ret0,239) retTemp1 = rowSum(temp191, temp203, temp215, temp227, temp239) retTemp2 = 5-(isNull(temp191) + isNull(temp203) + isNull(temp215) + isNull(temp227) + isNull(temp239)) MomSeason16YrPlus = retTemp1\retTemp2 return MomSeason16YrPlus } def momSeasonShort(time_avail_m,ret){ //Return seasonality last year return stataMoveM(time_avail_m,ret, 11) } def momVol1(vol, ret, time_avail_m,permno){ //Momentum among high volume stocks vol0 = iif(vol < 0, NULL, vol) Mom6m =((1 + stataMoveM(time_avail_m,ret, 1)) * (1 + stataMoveM(time_avail_m,ret, 2)) * (1 + stataMoveM(time_avail_m,ret, 3)) * (1 + stataMoveM(time_avail_m,ret, 4)) * (1 + stataMoveM(time_avail_m,ret, 5))) - 1 return vol0,Mom6m } def momVol2(vol0,Mom6m){ //Momentum among high volume stocks catMom= asof(quantileSeries(Mom6m,[0, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 1.0],interpolation='midpoint'),Mom6m)+1 catMom= iif(catMom==11,NULL,catMom) return catMom } def momVol3(temp){ //Momentum among high volume stocks catVol=asof(quantileSeries(temp, [0, 1/3,2/3],interpolation='midpoint'),temp)+1 catVol= iif(catVol==3,NULL,catVol) return catVol } def netDebtFinance(time_avail_m,dlcch, dltis, dltr, at){ //Net Debt Finance dlcch0 = nullFill(dlcch, 0) NetDebtFinance = (dltis - dltr + dlcch0) \ (0.5 * (at + stataMoveM(time_avail_m,at, 12))) return iif(abs(NetDebtFinance) > 1, NULL, NetDebtFinance) } def netDebtPrice(at, dltt, dlc, pstk, dvpa, tstkp, che, sic, ib, csho, ceq, prcc_f, mve_c, time_avail_m,permno){ //Net debt to price ratio tmp = table(dltt, dlc, pstk, dvpa, tstkp, che, mve_c, at, ib, csho, ceq, prcc_f, time_avail_m,permno) tmp= select *,NetDebtPrice = ((dltt + dlc + pstk + dvpa - tstkp) - che) \ mve_c from tmp tmp= select *, NetDebtPrice1 = iif(!isValid(at) || !isValid(ib) || !isValid(csho) || !isValid(ceq) || !isValid(prcc_f) || (sic >= 6000 && sic <= 6999), NULL, NetDebtPrice),BM = log(ceq \ mve_c) from tmp tmp= select *, tempsort = iif(asof(quantileSeries(BM,[0,0.2,0.4,0.6,0.8],interpolation='midpoint'),BM)+1==6,NULL,asof(quantileSeries(BM,[0,0.2,0.4,0.6,0.8],interpolation='midpoint'),BM)+1) from tmp context by time_avail_m tmp= select permno,time_avail_m ,iif(tempsort<=2, NULL , NetDebtPrice1) as NetDebtPrice2 from tmp return (tmp.permno,tmp.time_avail_m,tmp.NetDebtPrice2) } def netEquityFinance(time_avail_m,sstk, prstkc, at,dv){ //Net Equity Finance NetEquityFinance = (sstk - prstkc-dv) \ (0.5 * (at + stataMoveM(time_avail_m,at, 12))) return iif(abs(NetEquityFinance) > 1, NULL, NetEquityFinance) } def netPayoutYield(time_avail_m,dvc, prstkc, sstk, mve_c, sic, ceq){ //Net Payout Yield NetPayoutYield = (dvc + prstkc - sstk) \ stataMoveM(time_avail_m,mve_c, 6) // dropna NetPayoutYield = iif(NetPayoutYield==0, NULL, NetPayoutYield) NetPayoutYield = iif((int(sic) < 6000 || int(sic) >= 7000) && ceq > 0, NetPayoutYield, NULL) return NetPayoutYield } def numEarnIncrease(time_avail_m,ibq){ //Number of consecutive earnings increases chearn = ibq - stataMoveM(time_avail_m,ibq,12) nincr = take(0,rows(ibq)) con=each(stataBigger,chearn,0) con3=each(stataBigger,stataMoveM(time_avail_m,chearn, 3),0) con6=each(stataBigger,stataMoveM(time_avail_m,chearn, 6),0) con9=each(stataBigger,stataMoveM(time_avail_m,chearn, 9),0) con12=each(stataBigger,stataMoveM(time_avail_m,chearn, 12),0) con15=each(stataBigger,stataMoveM(time_avail_m,chearn, 15),0) con18=each(stataBigger,stataMoveM(time_avail_m,chearn, 18),0) con21=each(stataBigger,stataMoveM(time_avail_m,chearn, 21),0) nincr = iif(con && each(stataEbigger,0,stataMoveM(time_avail_m,chearn, 3)), 1, nincr) nincr = iif(con && con3 && each(stataEbigger,0,stataMoveM(time_avail_m,chearn, 6)), 2, nincr) nincr = iif(con && con3 && con6 && each(stataEbigger,0,stataMoveM(time_avail_m,chearn, 9)), 3, nincr) nincr = iif(con && con3 && con6 && con9 && each(stataEbigger,0,stataMoveM(time_avail_m,chearn, 12)), 4, nincr) nincr = iif(con && con3 && con6 && con9 && con12 && each(stataEbigger,0,stataMoveM(time_avail_m,chearn, 15)), 5, nincr) nincr = iif(con && con3 && con6 && con9 && con12 && con15 && each(stataEbigger,0,stataMoveM(time_avail_m,chearn, 18)), 6, nincr) nincr = iif(con && con3 && con6 && con9 && con12 && con15 && con18 && each(stataEbigger,0,stataMoveM(time_avail_m,chearn, 21)), 7, nincr) nincr = iif(con && con3 && con6 && con9 && con12 && con15 && con18 && con21 && each(stataEbigger,0,stataMoveM(time_avail_m,chearn, 24)), 8, nincr) return nincr } def opLeverage(xsga, cogs, at){ //Operating Leverage tempxsga = iif(isValid(xsga), xsga, 0) return (tempxsga + cogs) \ at } def operProf(revt, cogs, xsga, xint, ceq, mve_c, time_avail_m){ //Operating Profitability t = table(revt, cogs, xsga, xint, ceq, mve_c, time_avail_m) t= select tempprof = (revt - cogs - xsga - xint) \ ceq, mve_c from t t= select *,tempsizeq = asof(quantileSeries(mve_c, [0,1\3,2\3]),mve_c) from t context by time_avail_m OperProf = exec iif(tempsizeq==1,NULL,tempprof) from t return OperProf } def orderBacklog(at, ob){ //Order Backlog return iif(ob == 0, NULL, ob \ (0.5 * (at + move(at, 12)))) } def orderBacklogChg(at, ob){ //Change in Order Backlog to Assets OrderBacklog = iif(ob == 0, NULL, ob \ (0.5 * (at + move(at, 12)))) return OrderBacklog - move(OrderBacklog, 12) } def pSQ1(foptyq,oancfyq,ibq,atq,dlttq,actq,lctq,txtq,xintq,saleq,ceqq,shrout,mve_c,time_avail_m){ //Piotroski F-score (quarterly) tmpfoptyq = foptyq.nullFill(oancfyq) p1 = iif(ibq>0||isValid(ibq),1,0) p2 = iif((oancfyq>0 && isValid(oancfyq))|| (!isValid(oancfyq)&&isValid(tmpfoptyq)&&tmpfoptyq>0),1,0) p3 = iif(each(stataBigger,ibq\atq-stataMoveM(time_avail_m,ibq,12)\stataMoveM(time_avail_m,atq,12),0),1,0) p4 = iif(each(stataBigger,oancfyq-ibq,0),1,0) p5 = iif(each(stataBigger,0,dlttq\atq-stataMoveM(time_avail_m,dlttq,12)\stataMoveM(time_avail_m,atq,12)), 1, 0) p6 = iif(each(stataBigger,actq\lctq-stataMoveM(time_avail_m,actq,12)\stataMoveM(time_avail_m,lctq,12),0),1,0) tempebit = ibq+xintq+txtq p7 = iif(each(stataBigger,tempebit\saleq - tempebit\stataMoveM(time_avail_m,saleq,12),0),1,0) p8 = iif(each(stataBigger,saleq\atq - stataMoveM(time_avail_m,saleq,12)\stataMoveM(time_avail_m,atq,12),0),1,0) p9 = iif(each(stataEbigger,stataMoveM(time_avail_m,shrout,12),shrout),1,0) PS_q = iif(tmpfoptyq.isNull()||ibq.isNull()||atq.isNull()||dlttq.isNull()||saleq.isNull()||actq.isNull()||tempebit.isNull()||shrout.isNull(),NULL, p1+p2+p3+p4+p5+p6+p7+p8+p9) BM = log(ceqq\mve_c) return PS_q,BM } def pSQ2(PS_q,BM){ temp = asof(quantileSeries(BM,[0,0.2,0.4,0.6,0.8],interpolation='midpoint'),BM)+1 PS_q2 = iif(temp<5, NULL, PS_q) return PS_q2 } def ps1(time_avail_m, mve_c, sale, at, dltt, act, lct, txt, xint, ib, ceq, shrout, oancf, fopt){ //Piotroski F-score fopt0 = fopt.nullFill(oancf) p1 = iif(ib>0, 1, 0) p2 = iif(fopt0>0,1,0) p3 = iif(each(stataBigger,ib\at-stataMoveM(time_avail_m,ib,12)\stataMoveM(time_avail_m,at,12),0),1,0) p4 = iif(each(stataBigger,fopt0,ib),1,0) p5 = iif(each(stataBigger,0,dltt\at-stataMoveM(time_avail_m,dltt,12)\stataMoveM(time_avail_m,at,12)),1,0) p6 = iif(each(stataBigger,act\lct - stataMoveM(time_avail_m,act,12)\stataMoveM(time_avail_m,lct,12),0),1,0) tempebit = ib + txt + xint p7 = iif(each(stataBigger,tempebit\sale - tempebit\stataMoveM(time_avail_m,sale,12),0),1,0) p8 = iif(each(stataBigger,sale\at - stataMoveM(time_avail_m,sale,12)\stataMoveM(time_avail_m,at,12),0),1,0) p9 = iif(each(stataEbigger,stataMoveM(time_avail_m,shrout,12),shrout),1,0) PS = p1+p2+p3+p4+p5+p6+p7+p8+p9 PS = iif(isNull(fopt0)||isNull(ib)||isNull(at)||isNull(dltt)||isNull(act)||isNull(sale)||isNull(shrout)||isNull(tempebit),NULL,PS) BM = log(ceq\mve_c) return PS,BM } def ps2(PS,BM){ temp=asof(quantileSeries(BM,[0,0.2,0.4,0.6,0.8],interpolation='midpoint'),BM)+1 PS2 = iif(temp<5, NULL, PS) return PS2 } def payoutYield(time_avail_m,dvc, prstkc, pstkrv, mve_c){ //Payout Yield PayoutYield = (dvc + prstkc + pstkrv) \ stataMoveM(time_avail_m,mve_c, 6) return iif(PayoutYield <= 0, NULL, PayoutYield) } def payoutYieldQ(time_avail_m,mve_c, dvpsxq, cshoq, ajexq, prstkcyq, pstkq){ //Payout Yield (quarterly) tempDiv = dvpsxq * cshoq * ajexq tempTotalPayout = tempDiv + prstkcyq + (pstkq - stataMoveM(time_avail_m,pstkq, 3)) PayoutYield_q = tempTotalPayout \ stataMoveM(time_avail_m,mve_c, 6) return iif(PayoutYield_q <= 0, NULL, PayoutYield_q) } def pctAcc(ib, oancf, act, che, lct, dlc, txp, dp){ //Percent Operating PctAcc PctAcc = (ib - oancf) \ abs(ib) PctAcc = iif(ib == 0, (ib - oancf) \ 0.01, PctAcc) PctAcc = iif(isNull(oancf), ((act - move(act, 12)) - (che - move(che, 12)) -((lct - move(lct, 12)) - (dlc - move(dlc, 12)) - (txp - move(txp, 12)) - dp))\ abs(ib), PctAcc) PctAcc = iif(isNull(oancf) && ib == 0, ((act - move(act, 12)) - (che - move(che, 12)) - ((lct - move(lct, 12)) - (dlc - move(dlc, 12)) - (txp - move(txp, 12)) - dp))\ 0.01, PctAcc) return PctAcc } def pctTotAcc(ni, prstkcc, sstk, dvt, oancf, fincf, ivncf){ //Percent Total PctTotAcc return (ni - (prstkcc - sstk + dvt + oancf + fincf + ivncf)) \ abs(ni) } def price(prc){ //Price return log(abs(prc)) } def rd(xrd, mve_c){ //R&D-to-market cap return xrd \ mve_c } defg rdAbilityRollingRegression(x,y){ return ols(y,x)[1] } def movingRDAbilityRegression(x,y,window,minPeriods) { return moving(rdAbilityRollingRegression, (x,y), window, minPeriods) } def rdAbility1(xrd, sale, fyear){ tempXRD = iif(xrd<0, NULL, xrd) tempSale = iif(sale<0, NULL, sale) tempY = log(tempSale\tmove(fyear,tempSale,1)) tempX = log(1 + tempXRD\tempSale) tempXLag = tmove(fyear,tempX, 1) gammaAbility_1 = movingRDAbilityRegression(tempXLag,tempY,8,6) tempNonZero = tempXLag > 0 && isValid(tempXLag) tempMean = mavg(tempNonZero,8,6) gammaAbility_1 = iif(tempMean < 0.5 && isValid(tempMean), NULL, gammaAbility_1) tempXLag = move(tempX, 2) gammaAbility_2 = movingRDAbilityRegression(tempXLag,tempY,8,6) tempNonZero = tempXLag > 0 && isValid(tempXLag) tempMean = mavg(tempNonZero,8,6) gammaAbility_2 = iif(tempMean < 0.5 && isValid(tempMean), NULL, gammaAbility_2) tempXLag = move(tempX, 3) gammaAbility_3 = movingRDAbilityRegression(tempXLag,tempY,8,6) tempNonZero = tempXLag > 0 && isValid(tempXLag) tempMean = mavg(tempNonZero,8,6) gammaAbility_3 = iif(tempMean < 0.5 && isValid(tempMean), NULL, gammaAbility_3) tempXLag = move(tempX, 4) gammaAbility_4 = movingRDAbilityRegression(tempXLag,tempY,8,6) tempNonZero = tempXLag > 0 && isValid(tempXLag) tempMean = mavg(tempNonZero,8,6) gammaAbility_4 = iif(tempMean < 0.5 && isValid(tempMean), NULL, gammaAbility_4) tempXLag = move(tempX, 5) gammaAbility_5 = movingRDAbilityRegression(tempXLag,tempY,8,6) tempNonZero = tempXLag > 0 && isValid(tempXLag) tempMean = mavg(tempNonZero,8,6) gammaAbility_5 = iif(tempMean < 0.5 && isValid(tempMean), NULL, gammaAbility_5) RDAbility = rowAvg(gammaAbility_1, gammaAbility_2, gammaAbility_3, gammaAbility_4, gammaAbility_5) tempRD = iif(xrd<=0, NULL, xrd \ sale) return RDAbility,tempRD } def rdAbility2(xrd,tempRD,RDAbility){ tempRDQuant = asof(quantileSeries(tempRD,[0,1\3,2\3,1],interpolation='midpoint'),tempRD)+1 RDAbility1 = iif(tempRDQuant<3 || xrd<=0, NULL, RDAbility) return RDAbility1 } def rDS(time_avail_m,recta, ceq, ni, dvp, dvc, prcc_f, csho, msa, pcupsu, paddml){ //Real dirty surplus recta1 = recta.nullFill(0) c1= iif(isNull(pcupsu - paddml),0,pcupsu - paddml) c2= iif(isNull(stataMoveM(time_avail_m,pcupsu, 12) - stataMoveM(time_avail_m,paddml, 12)),0,stataMoveM(time_avail_m,pcupsu, 12) - stataMoveM(time_avail_m,paddml, 12)) DS = (msa - stataMoveM(time_avail_m,msa, 12)) + (recta1 - stataMoveM(time_avail_m,recta, 12)) + 0.65 * (min(c1, 0)- min(c2, 0)) RDS = (ceq - stataMoveM(time_avail_m,ceq, 12)) - DS - (ni - dvp) + dvc - prcc_f * (csho - stataMoveM(time_avail_m,csho, 12)) return RDS } def rDcap(time_avail_m, xrd, mve_c, at){ //R&D capital to assets (for constrained only) //xrd = m_aCompustat.xrd //mve_c = SignalMasterTable.mve_c //time_avail_m = SignalMasterTable.time_avail_m year1 = year(time_avail_m) tempXRD = xrd tempXRD = iif(!isValid(tempXRD), 0, tempXRD) RDcap = (tempXRD + 0.8*move(tempXRD,12) + 0.6*move(tempXRD,24) + 0.4*move(tempXRD,36) + 0.2*move(tempXRD,48))\at RDcap = iif(year1<1980, NULL, RDcap) temp = table(mve_c, time_avail_m) tempsizeq = exec rank(mve_c, groupNum=5)+1 from temp context by time_avail_m RDcap = iif(tempsizeq>=2, NULL, RDcap) return RDcap } def revenueSurprise1(time_avail_m,revtq, cshprq, gvkey){ //Revenue Surprise revps = revtq\cshprq revps12 = stataMoveM(time_avail_m,revps, 12) GrTemp = (revps - stataMoveM(time_avail_m,revps, 12)) temp3 = stataMoveM(time_avail_m,GrTemp, 3) temp6 = stataMoveM(time_avail_m,GrTemp, 6) temp9 = stataMoveM(time_avail_m,GrTemp, 9) temp12 = stataMoveM(time_avail_m,GrTemp, 12) temp15 = stataMoveM(time_avail_m,GrTemp, 15) temp18 = stataMoveM(time_avail_m,GrTemp, 18) temp21 = stataMoveM(time_avail_m,GrTemp, 21) temp24 = stataMoveM(time_avail_m,GrTemp, 24) return GrTemp,temp3, temp6, temp9, temp12, temp15, temp18, temp21, temp24 } def revenueSurprise2(time_avail_m,RevenueSurprise){ temp3 = stataMoveM(time_avail_m,RevenueSurprise, 3) temp6 = stataMoveM(time_avail_m,RevenueSurprise, 6) temp9 = stataMoveM(time_avail_m,RevenueSurprise, 9) temp12 = stataMoveM(time_avail_m,RevenueSurprise, 12) temp15 = stataMoveM(time_avail_m,RevenueSurprise, 15) temp18 = stataMoveM(time_avail_m,RevenueSurprise, 18) temp21 = stataMoveM(time_avail_m,RevenueSurprise, 21) temp24 = stataMoveM(time_avail_m,RevenueSurprise, 24) return temp3, temp6, temp9, temp12, temp15, temp18, temp21, temp24 } def roe(ni, ceq){ //Return on Equity return ni \ ceq } def sp(sale, mve_c){ //Sales-to-price ratio return sale \ mve_c } def sTreversal(ret){ //Short-term reversal return ret.nullFill(0) } def shareIss1Y(time_avail_m,shrout, cfacshr){ //Share Issuance (1 year) temp = shrout * cfacshr return (stataMoveM(time_avail_m,temp, 6) - stataMoveM(time_avail_m,temp, 18)) \ stataMoveM(time_avail_m,temp, 18) } def shareIss5Y(time_avail_m,shrout, cfacshr){ //Share Issuance (5 year) temp = shrout * cfacshr return (stataMoveM(time_avail_m,temp, 5) - stataMoveM(time_avail_m,temp, 65)) \ stataMoveM(time_avail_m,temp, 65) } def shareRepurchase(prstkc){ //Share Repurchase ShareRepurchase = (prstkc > 0 && isValid(prstkc)) return iif(isValid(prstkc), ShareRepurchase, NULL) } def shareVol(vol, shrout){ //Share Volume tempShareVol = (vol + move(vol,1) + move(vol,2))\(3*shrout) * 100 dshrout = shrout!=move(shrout, 1) dshrout[0]=0 dropObs = iif((dshrout + move(dshrout, 1) + move(dshrout, 2)) > 0, 1, 0) dropObs[0]=0 // drop if dropObs == 1 ShareVol = iif(dropObs == 1, NULL, iif(tempShareVol==NULL,1,iif(tempShareVol>10, 1, iif(tempShareVol<5, 0, NULL)))) return (ShareVol,tempShareVol) } def Size(mve_c){ //Size return log(mve_c) } def surpriseRD(time_avail_m, xrd, revt, at){ //Unexpected R&D increase SurpriseRD = iif(each(stataBigger,xrd \ revt,0) && each(stataBigger,xrd \ at , 0) && each(stataBigger,xrd \ stataMoveM(time_avail_m,xrd, 12) ,1.05) && each(stataBigger,(xrd \ at) \ (stataMoveM(time_avail_m,xrd, 12) \ stataMoveM(time_avail_m,at, 12)) , 1.05) && isValid(xrd) && isValid(stataMoveM(time_avail_m,xrd, 12)), 1, NULL) return iif(!isValid(SurpriseRD) && (isValid(xrd) && isValid(stataMoveM(time_avail_m,xrd, 12))), 0, SurpriseRD) } def tax(time_avail_m, txfo, txfed, txt, txdi, ib){ //Taxable income to income year1 = year(time_avail_m) tr = iif(year1 >= 1979 && year1 <= 1986, 0.46, iif(year1 == 1987,0.4, iif(year1 >= 1988 && year1 <= 1992,0.34, iif(year1 >= 1993,0.35, 0.48)))) Tax = ((txfo + txfed) \ tr) \ ib Tax = iif(isNull(txfo) || isNull(txfed), ((txt - txdi) \ tr) \ ib, Tax) Tax = iif((each (stataBigger, txfo + txfed , 0) || (each (stataBigger,txt-txdi,0) && each (stataBigger,0,txdi-txt))) && each(stataEbigger,0,ib), 1, Tax) return Tax } def totalAccruals(ivao, ivst, dlc, pstk, dv, act, che, lct, at, dltt, lt, sstk, ni, oancf, ivncf, fincf, prstkc, time_avail_m){ //Total Accruals // the columns should not include any missing value ivao.nullFill(0) ivst.nullFill(0) dltt.nullFill(0) dlc.nullFill(0) pstk.nullFill(0) sstk.nullFill(0) prstkc.nullFill(0) dv.nullFill(0) tempWC = (act - che) - (lct - dlc) tempNc = (at - act - ivao) - (lt - dlc - dltt) tempFi = (ivst + ivao) - (dltt + dlc + pstk) year1 = year(time_avail_m) TotalAccruals = iif(year1<=1889, (tempWC - move(tempWC, 12)) - (tempNc - move(tempNc, 12)) - (tempFi - move(tempFi, 12)), ni - (oancf + ivncf + fincf) + (sstk - prstkc - dv)) TotalAccruals = TotalAccruals \ move(at, 12) return TotalAccruals } def varCF(ib, dp, mve_c, time_avail_m, permno){ //Cash-flow variance tempCF = (ib + dp) \ mve_c temp = table(tempCF, time_avail_m, permno) sigma = exec mstd(tempCF, window = 60, minPeriods = 24) from temp context by permno return pow(sigma, 2) } def volMkt(shrout, prc, vol, mve_c, permno){ //Volume to market equity mve_cTmp = (shrout * abs(prc)) temp = vol * abs(prc) temp = table(temp, permno) tempMean = exec mavg(temp, window = 12, minPeriods = 10) from temp context by permno VolMkt = tempMean \ mve_cTmp return VolMkt } def volSD(vol){ //Volume variance VolSD = mstd(vol, window = 36, minPeriods = 24) return VolSD } def volumeTrend(time_avail_m, vol){ betaVolTrend = mbeta(vol, int(time_avail_m), 60,30) meanX = mavg(vol,60,30) VolumeTrend = betaVolTrend \ meanX return VolumeTrend } def xFin(sstk, dv, prstkc, dltis, dltr, dlcch,at){ //Net External Financing return (sstk - dv - prstkc + dltis - dltr+ dlcch) \ at } def zz1frfr(time_avail_m, mve_c, at, pbnaa, pplao, pplau, pbnvv, pbpro, pbpru, shrcd, year){ //Pension Funding Status //Pension Funding Status (scaled by book assets) FVPA = iif(year >= 1980 && year <= 1986, pbnaa, iif(year >= 1987 && year <= 1997, pplao + pplau, iif(year >= 1998, pplao, NULL))) PBO = iif(year >= 1980 && year <= 1986, pbnvv, iif(year >= 1987 && year <= 1997, pbpro + pbpru, iif(year >= 1998, pbpro, NULL))) FR = iif(shrcd > 11, NULL, (FVPA - PBO) \ mve_c) //FRbook = iif(shrcd > 11, NULL, (FVPA - PBO) \ at) return FR } def zz1frfrBook(time_avail_m, mve_c, at, pbnaa, pplao, pplau, pbnvv, pbpro, pbpru, shrcd, year){ //Pension Funding Status //Pension Funding Status (scaled by book assets) FVPA = iif(year >= 1980 && year <= 1986, pbnaa, iif(year >= 1987 && year <= 1997, pplao + pplau, iif(year >= 1998, pplao, NULL))) PBO = iif(year >= 1980 && year <= 1986, pbnvv, iif(year >= 1987 && year <= 1997, pbpro + pbpru, iif(year >= 1998, pbpro, NULL))) //FR = iif(shrcd > 11, NULL, (FVPA - PBO) \ mve_c) FRbook = iif(shrcd > 11, NULL, (FVPA - PBO) \ at) return FRbook } //quantile是1，99，lag是60 def DatagenInstan1(time_avail_m,ceq, mve_c, sale, ib, dp, ni, ret){ tempAccBM = log(ceq\mve_c) tempAccSP = sale \ mve_c tempAccCFP = (ib + dp) \ mve_c tempAccEP = ni \ mve_c ret0 = nullFill(ret,0) tempCumRet = exp(cumsum(log(1+ret0))) l60 = stataMoveM(time_avail_m,tempCumRet,6) tempRet60 = (tempCumRet - l60) \ l60 return tempAccBM, tempAccSP, tempAccCFP, tempAccEP, tempRet60 } def DatagenInstan2(time_avail_m,tempAccBM, tempAccSP, tempAccCFP, tempAccEP, tempRet60){ tempRet601 =iif(isNull(tempRet60),NULL,iif(tempRet60>quantile(tempRet60, 0.55,'lower'),quantile(tempRet60, 0.55, 'lower'),iif(tempRet60=4, NULL, std_turn1) return std_turn } def tang( time_avail_m, che, rect, invt, ppegt, at){ //Tangibility tmptable = table(time_avail_m, che, rect, invt, ppegt, at) tempFC = exec rank(at, groupNum=10)+1 from tmptable context by time_avail_m FC = iif(tempFC <= 3, 1, iif(tempFC >= 8 && isValid(tempFC), 0, NULL)) tang = (tmptable.che + 0.715 * tmptable.rect + 0.547 * tmptable.invt + 0.535 * tmptable.ppegt) \ tmptable.at return tang } //Placebos def aMq(atq, mve_c){ //Total assets to market (quarterly) return atq \ mve_c } def assetGrowthQ(time_avail_m,atq){ //Asset Growth (quarterly) return (atq - stataMoveM(time_avail_m,atq, 12)) \ stataMoveM(time_avail_m,atq, 12) } def assetLiquidityBook(che, act, at, gdwl, intan){ //Asset liquidity (scaled by book value of assets) return (che + 0.75 * (act - che) + 0.5 * (at - act - gdwl - intan)) \ move(at, 1) } def assetLiquidityBookQuart(time_avail_m,gdwlq, intanq, cheq, actq, atq){ //Quarterly Asset liquidity (scaled by book value of assets) return (cheq + 0.75 * (actq - cheq) + 0.5 * (atq - actq - gdwlq - intanq)) \ stataMoveM(time_avail_m,atq, 1) } def assetLiquidityMarket(time_avail_m,che, act, at, gdwl, intan, prcc_f, csho, ceq){ //Asset liquidity (scaled by market value of assets) return (che + 0.75 * (act - che) + 0.5 * (at - act - gdwl - intan)) \ (stataMoveM(time_avail_m,at, 1) + stataMoveM(time_avail_m,prcc_f, 1) * stataMoveM(time_avail_m,csho, 1) - stataMoveM(time_avail_m,ceq, 1)) } def assetLiquidityMarketQuart(time_avail_m,gdwlq, intanq, cheq, actq, atq, prccq, cshoq, ceqq){ //Asset liquidity (scaled by market value of assets) return (cheq + 0.75 * (actq - cheq) + 0.5 * (atq - actq - gdwlq - intanq)) \ (stataMoveM(time_avail_m,atq, 1) + stataMoveM(time_avail_m,prccq, 1) * stataMoveM(time_avail_m,cshoq, 1) - stataMoveM(time_avail_m,ceqq, 1)) } def assetTurnover(time_avail_m,rect, invt, aco, ppent, intan, ap, lco, lo, sale){ //Asset Turnover temp = (rect + invt + aco + ppent + intan - ap - lco - lo) AssetTurnover = sale \ ((temp + stataMoveM(time_avail_m,temp, 12)) \ 2) return iif(AssetTurnover < 0, NULL, AssetTurnover) } def assetTurnoverQ(time_avail_m,rectq, invtq, acoq, ppentq, intanq, apq, lcoq, loq, saleq){ //Asset Turnover (quarterly) temp = (rectq + invtq + acoq + ppentq + intanq - apq - lcoq - loq) AssetTurnover_q = saleq \ ((temp + stataMoveM(time_avail_m,temp, 12)) \ 2) return iif(AssetTurnover_q < 0, NULL, AssetTurnover_q) } def bMq(ceqq, mve_c){ //Book-to-market quarterly return log(ceqq \ mve_c) } def betaSquared(ret, rf, ewretd){ //Beta squared retrf = ret - rf ewmktrf = ewretd- rf return pow(mbeta(retrf, ewmktrf,60,20), 2) } def bookLeverageQuarterly(txditcq, seqq, ceqq, pstkq, atq, ltq){ //Book leverage (quarterly) tempSE = seqq tempSE = iif(isValid(tempSE), tempSE, ceqq + pstkq) tempSE = iif(isValid(tempSE), tempSE, atq - ltq) return atq \ (tempSE + txditcq - pstkq) } def addbrandCapital(x,y){ return 0.5*x+y } def brandCapital(fyear,datadate,xad,at,gvkey){ //Brand Capital OK = xad.isValid() BrandCapital = iif(OK==1 && rowNo(gvkey)==0,xad/(0.5+0.1),0) tempYear = iif(OK==1 && rowNo(gvkey)==0,fyear,NULL) FirstNMyear = min(tempYear) tempxad = nullFill(xad,0) BrandCapital2 =BrandCapital BrandCapital2[1:] =accumulate(addbrandCapital,tempxad[1:],BrandCapital[0]) BrandCapital3 = iif(!isValid(FirstNMyear)||fyear 11 || !isValid(mve_c) || !isValid(BM) || !isValid(atq), NULL, CBOperProfLagAT_q) } def cFq(ibq, dpq, mve_c){ //Cash-flow to market (quarterly) return (ibq + dpq) \ mve_c } def capTurnover(time_avail_m,sale, at){ //Capital turnover return stataMoveM(time_avail_m,sale, 12) \ stataMoveM(time_avail_m,at, 24) } def capTurnoverQ(time_avail_m,saleq, atq){ //Capital turnover (quarterly) return saleq \ stataMoveM(time_avail_m,atq, 3) } def chNCOA(at, act, ivao){ //Change in Noncurrent Operating Assets temp = at - act - ivao temp = iif(isValid(ivao), temp, at - act) return (temp - move(temp, 12)) \ move(at, 12) } def chNCOL(lt, dlc, dltt, at){ //Change in Noncurrent Operating Liabilities temp = lt - dlc - dltt temp = iif(isValid(dltt), temp, lt - dlc) return (temp - move(temp, 12)) \ move(at, 12) } def changeRoA(time_avail_m,atq, ibq){ //Change in return on assets tempRoa = ibq \ atq return tempRoa - stataMoveM(time_avail_m,tempRoa, 12) } def changeRoE(time_avail_m,ibq, ceqq){ //Change in return on equity tempRoe = ibq \ ceqq return tempRoe - stataMoveM(time_avail_m,tempRoe, 12) } def delSTI(at, ivst){ //Change in short-term investment tempAvAT = 0.5 * (at + move(at, 12)) DelSTI = ivst - move(ivst, 12) return DelSTI \ tempAvAT } def divYield1(divamt, prc, time_avail_m, mve_c){ //Dividend Yield (Current) temp = iif(isValid(divamt), divamt, 0) tempdy = 4 * max(temp, max(stataMoveM(time_avail_m,temp, 1), stataMoveM(time_avail_m,temp, 2))) \ abs(prc) tempdypos = tempdy tempdypos = iif(each(stataEbigger,0,temp) && each(stataEbigger,0,stataMoveM(time_avail_m,temp, 1) ) && each(stataEbigger,0,stataMoveM(time_avail_m,temp, 2) ) || (each(stataEbigger,0,stataMoveM(time_avail_m,temp, 3) ) && each(stataEbigger,0,stataMoveM(time_avail_m,temp, 4) ) && each(stataEbigger,0,stataMoveM(time_avail_m,temp, 5) )) || (each(stataEbigger,0,stataMoveM(time_avail_m,temp, 6) ) && each(stataEbigger,0,stataMoveM(time_avail_m,temp, 7) ) && each(stataEbigger,0,stataMoveM(time_avail_m,temp, 8) )) || (each(stataEbigger,0,stataMoveM(time_avail_m,temp, 9) ) && each(stataEbigger,0,stataMoveM(time_avail_m,temp, 10)) && each(stataEbigger,0,stataMoveM(time_avail_m,temp, 11) )), NULL, tempdypos) DivYield = tempdypos return temp,tempdypos,DivYield } def divYield2(DivYield, mve_c){ tempsize = asof(quantileSeries(mve_c,[0,0.25,0.5,0.75],interpolation='midpoint'),mve_c)+1 return iif(tempsize >= 3, NULL, DivYield) } def divYieldAnn(prc, divamt){ //Dividend Yield (Past Year) tmpdivamt = divamt.nullFill(0) divann = tmpdivamt.msum(12,6) DivYieldAnn = divann\abs(prc) return DivYieldAnn } // data1 = select gvkey,permno,time_avail_m,che,dltt,dlc,dc,dvpa,tstkp,ceq from m_aCompustat context by permno, time_avail_m having rowNo(time_avail_m)==0 // merged_data = select data1.*, mve_c from data1 inner join SignalMasterTable on data1.permno = SignalMasterTable.permno and data1.time_avail_m = SignalMasterTable.time_avail_m // result = select permno, time_avail_m,eBM1(mve_c, cheq, dlttq, dlcq, pstkq, ceqq) as EBM_q from merged_data // def eBM1(mve_c, cheq, dlttq, dlcq, pstkq, ceqq){ // //Enterprise component of BM (quarterly) // temp = che - dlttq - dlcq - pstkq // return (ceqq + temp) \ (mve_c + temp) // } def eBMQ(mve_c, cheq, dlttq, dlcq, pstkq, ceqq){ //Enterprise component of BM (quarterly) temp = cheq - dlttq - dlcq - pstkq return (ceqq + temp) \ (mve_c + temp) } def ePq(time_avail_m,ibq,mve_c){ //Earnings-to-price ratio (quarterly) EPq = ibq \ stataMoveM(time_avail_m,mve_c, 6) return iif(EPq < 0, NULL, EPq) } def eTr(time_avail_m,am, txt, pi0, epspx, ajex, prcc_f){ //Effective Tax Rate am0 = nullFill(am,0) tempTaxOverEBT = txt \ (pi0 + am0) tempEarn = epspx \ ajex ETR= (tempTaxOverEBT - 1\3 * (stataMoveM(time_avail_m,tempTaxOverEBT, 12) + stataMoveM(time_avail_m,tempTaxOverEBT, 24) + stataMoveM(time_avail_m,tempTaxOverEBT, 36))) * ((tempEarn - stataMoveM(time_avail_m,tempEarn, 12)) \ stataMoveM(time_avail_m,prcc_f, 1)) return ETR } def earningsSmoothness(ib, at, act, lct, che, dlc, dp, gvkey){ tempEarnings = ib \ move(at, 1) tempCF = (ib - ((act - move(act, 1)) - (lct - move(lct, 1)) - (che - move(che, 1)) + (dlc - move(dlc, 1)) - dp)) \ move(at, 1) tmp = table(tempEarnings, tempCF, gvkey) sd10_tempEarnings = exec mstd(tempEarnings, 10, 10) from tmp context by gvkey sd10_tempCF = exec mstd(tempCF, 10, 10) from tmp context by gvkey EarningsSmoothness = sd10_tempEarnings \ sd10_tempCF return EarningsSmoothness } def entMultQ(mve_c, dlttq, dlcq, pstkq, cheq, oibdpq, ceqq){ //Enterprise Multiple (quarterly) EntMult_q = (mve_c + dlttq + dlcq + pstkq - cheq) \ oibdpq return iif(ceqq < 0 || oibdpq < 0, NULL, EntMult_q) } def gPlag(time_avail_m,sale, cogs, at){ //Gross profitability (lagged assets) return (sale - cogs) \ stataMoveM(time_avail_m,at, 12) } def gPlagQ(time_avail_m,revtq, cogsq, atq){ //Gross profitability (quarterly) return (revtq - cogsq) \ stataMoveM(time_avail_m,atq, 3) } def grGMToGrSales(time_avail_m,sale, cogs){ //Gross Margin growth over sales growth tempGM = sale - cogs GrGMToGrSales = ((tempGM - (0.5 * (stataMoveM(time_avail_m,tempGM, 12) + stataMoveM(time_avail_m,tempGM, 24)))) \ (0.5 * (stataMoveM(time_avail_m,tempGM, 12) + stataMoveM(time_avail_m,tempGM, 24)))) - ((sale - (0.5 * (stataMoveM(time_avail_m,sale, 12) + stataMoveM(time_avail_m,sale, 24)))) \ (0.5 * (stataMoveM(time_avail_m,sale, 12) + stataMoveM(time_avail_m,sale, 24)))) return iif(isValid(GrGMToGrSales), GrGMToGrSales, ((tempGM - stataMoveM(time_avail_m,tempGM, 12)) \ stataMoveM(time_avail_m,tempGM, 12)) - ((sale - stataMoveM(time_avail_m,sale, 12)) \ stataMoveM(time_avail_m,sale, 12))) } def grSaleToGrReceivables(time_avail_m,sale, rect){ //Sales growth over receivables growth GrSaleToGrReceivables = ((sale - (0.5 * (stataMoveM(time_avail_m,sale, 12) + stataMoveM(time_avail_m,sale, 24)))) \ (0.5 * (stataMoveM(time_avail_m,sale, 12) + stataMoveM(time_avail_m,sale, 24)))) - ((rect - (0.5 * (stataMoveM(time_avail_m,rect, 12) + stataMoveM(time_avail_m,rect, 24)))) \ (0.5 * (stataMoveM(time_avail_m,rect, 12) + stataMoveM(time_avail_m,rect, 24)))) return iif(isValid(GrSaleToGrReceivables), GrSaleToGrReceivables, ((sale - stataMoveM(time_avail_m,sale, 12)) \ stataMoveM(time_avail_m,sale, 12)) - ((rect - stataMoveM(time_avail_m,rect, 12)) \ stataMoveM(time_avail_m,rect, 12))) } def kz(mve_c, ib, dp, at, ceq, txdb, dlc, dltt, seq, dvc, dvp, che, ppent){ //Kaplan-Zingales index return -1.002 * (ib + dp) \ ppent + 0.283 * (at + mve_c - ceq - txdb) \ at + 3.319 * (dlc + dltt) \ (dlc + dltt + seq) - 39.368 * ((dvc + dvp) \ ppent) - 1.315 * (che \ ppent) } def kZQ(mve_c, txdiq, ibq, dpq, atq, ceqq, dlcq, dlttq, cheq, dvy,ppentq){ //Kaplan-Zingales index (quarterly) tempTX = iif(isValid(txdiq), txdiq, 0) return -1.002 * (ibq + dpq) \ ppentq + 0.283 * (atq + mve_c - ceqq - tempTX) \ atq + 3.319 * (dlcq + dlttq) \ (dlcq + dlttq + ceqq) - 39.368 * (dvy \ ppentq) - 1.315 * (cheq \ ppentq) } def laborforceEfficiency(sale, emp){ //Laborforce Efficiency temp = sale \ emp return (temp - move(temp, 12)) \ move(temp, 12) } def leverageQ(ltq, mve_c){ //Market leverage (quarterly) return ltq \ mve_c } def netDebtPriceQ(sic, dlttq, dlcq, pstkq, cheq, mve_c, atq, ibq, csho, ceqq, prcc_f,ceq,time_avail_m,permno){ //Net debt to price ratio (quarterly) tmp = table(sic, dlttq, dlcq, pstkq, cheq, mve_c, atq, ibq, csho, ceqq, prcc_f,ceq,time_avail_m,permno) tmp= select *, NetDebtPrice_q = ((dlttq + dlcq + pstkq) - cheq) \ mve_c from tmp tmp= select *, NetDebtPrice_q1 = iif(!isValid(atq) || !isValid(ibq) || !isValid(csho) || !isValid(ceqq) ||!isValid(prcc_f) || (sic>=6000 && sic<=6999), NULL, NetDebtPrice_q), BM = log(ceq \ mve_c) from tmp tmp= select *, tempsort = iif(asof(quantileSeries(BM,[0,0.2,0.4,0.6,0.8],interpolation='midpoint'),BM)+1==6,NULL,asof(quantileSeries(BM,[0,0.2,0.4,0.6,0.8],interpolation='midpoint'),BM)+1) from tmp context by time_avail_m update tmp set tempsort=tempsort+1 tmp= select permno,time_avail_m ,iif(tempsort<=2, NULL , NetDebtPrice_q1) as NetDebtPrice_q2 from tmp return (tmp.permno,tmp.time_avail_m,tmp.NetDebtPrice_q2) } def netPayoutYieldQ(time_avail_m,mve_c, dvpsxq, cshoq, ajexq, prstkcyq, pstkq, sstkyq){ //Net Payout Yield (quarterly) tempDiv = dvpsxq * cshoq * ajexq tempTotalPayout = tempDiv + prstkcyq + (pstkq - stataMoveM(time_avail_m,pstkq, 3)) return (tempTotalPayout - sstkyq - (pstkq - stataMoveM(time_avail_m,pstkq, 3))) \ mve_c } def opLeverageQ(xsgaq, cogsq, atq){ //Operating Leverage (quarterly) tempxsga = iif(isValid(xsgaq), xsgaq, 0) return (tempxsga + cogsq) \ atq } def operProfLag(revt,cogs,xsga,xint,ceq,mve_c,time_avail_m){ //Operating Profits to lagged equity t = table(revt, cogs, xsga, xint, ceq, mve_c, time_avail_m) t= select tempprof = (revt - cogs - xsga - xint) \stataMoveM(time_avail_m,ceq,12), mve_c from t t= select *,tempsizeq = iif(asof(quantileSeries(mve_c, [0,1\3,2\3]),mve_c)+1==4,NULL,asof(quantileSeries(mve_c, [0,1\3,2\3]),mve_c)+1) from t context by time_avail_m OperProfLag = exec iif(tempsizeq==1,NULL,tempprof) from t return OperProfLag } def operProfLagQ(cogsq,xsgaq,xintq,revtq,seqq,ceqq,pstkq,atq,ltq,txditcq){ //Quarterly operating profits to lagged equity txditcq0= nullFill(txditcq,0) tmp = table(cogsq,xsgaq,xintq) for(v in `cogsq`xsgaq`xintq){ tmp[v] = iif(tmp[v].isNull(), 0, tmp[v]) } OperProfLag_q = revtq-tmp.cogsq-tmp.xsgaq-tmp.xintq OperProfLag_q = iif(!isValid(tmp.cogsq)&&!isValid(tmp.xsgaq)&&!isValid(tmp.xintq), NULL, OperProfLag_q) tempSE = seqq tempSE = iif(!isValid(tempSE), ceqq+pstkq, tempSE) tempSE = iif(!isValid(tempSE), atq-ltq, tempSE) OperProfLag_q = iif(!isValid(txditcq0), OperProfLag_q\(tempSE-pstkq),OperProfLag_q \ (tempSE+txditcq0-pstkq)) return OperProfLag_q } def operProfRDLagAT(time_avail_m,xrd,revt,cogs,xsga,at){ //Operating profits to lagged assets tempXRD = iif(isValid(xrd),xrd,0) OperProfRDLagAT = (revt-cogs-xsga+tempXRD)\stataMoveM(time_avail_m,at,12) return OperProfRDLagAT } def operProfRDLagATQ(time_avail_m,xrdq, revtq, cogsq, xsgaq, atq){ //Operating profits to lagged assets (quarterly) tempXRD = iif(isValid(xrdq), xrdq, 0) return (revtq- cogsq - xsgaq + tempXRD) \ stataMoveM(time_avail_m,atq, 3) } def pMQ(niq, revtq){ //Profit Margin (quarterly) return niq \ revtq } def rDQ(xrdq, mve_c){ //R&D-to-market cap (quarterly) return xrdq \ mve_c } def retNOA(time_avail_m,at, ceq, che, ivao, dlc, dltt, mib, pstk, oiadp){ //Return on Net Operating Assets tempOA = iif(isValid(ivao), at - che - ivao, at - che) tempdlc = dlc.nullFill(0) tempdltt = dltt.nullFill(0) tempmib = mib.nullFill(0) temppstk = pstk.nullFill(0) tempOL = at - tempdlc - tempdltt - tempmib - temppstk - ceq return stataMoveM(time_avail_m,oiadp, 12) / (stataMoveM(time_avail_m,tempOA, 24) - stataMoveM(time_avail_m,tempOL, 24)) } def retNOAQ(time_avail_m,atq, ceqq, cheq, ivaoq, dlcq, dlttq, mibq, pstkq, oiadpq){ //Return on Net Operating Assets (quarterly) tempOA = iif(isValid(ivaoq), atq - cheq - ivaoq, atq - cheq) tempdlcq = dlcq.nullFill(0) tempdlttq = dlttq.nullFill(0) tempmibq = mibq.nullFill(0) temppstkq = pstkq.nullFill(0) tempOL = atq - tempdlcq - tempdlttq - tempmibq - temppstkq - ceqq return oiadpq \ (stataMoveM(time_avail_m,tempOA, 3) - stataMoveM(time_avail_m,tempOL, 3)) } def sPQ(saleq, mve_c){ //Sales-to-price ratio (quarterly) return saleq \ mve_c } def taxQ(piq, niq){ //Taxable income to income return iif(piq > 0 && niq > 0, piq \ niq, NULL) } def zScore(act, lct, at, lt, re, ni, xint, txt, revt, mve_c){ //Altman Z-Score ZScore = 1.2 * (act - lct) \ at + 1.4 * (re \ at) + 3.3 * (ni + xint + txt) \ at + 0.6 * (mve_c \ lt) + revt \ at return ZScore } //需要修改年份为10 def zz1EarningsPersistence(epspx, ajex, time_avail_m){ temp = epspx \ ajex tempLag = move(temp, 1) EarningsPersistence = mslr(temp, tempLag, window = 3, minPeriods = 3)[1] rmse = pow(mmse(temp, tempLag, window = 3, minPeriods = 3)[1]*3,0.5) EarningsPredictability = pow(rmse,2) return EarningsPersistence,EarningsPredictability } // defg earningsValueRelevanceRegression(x1,x2,y){ // return ols(y, (x1,x2),,2).RegressionStat[0,1] // } // def movingEarningsValueRelevance(x1, x2, y, window, minPeriods){ // return moving(earningsValueRelevanceRegression, (x1, x2, y), window, minPeriods) // } // defg earningsConservatismRegression(x1,x2,x3,y){ // params = ols(y, (x1,x2),,0) // return (params[2] + params[3]) \ params[2] // } // def movingEarningsConservatism(x1, x2, x3, y, window, minPeriods){ // return moving(earningsConservatismRegression, (x1, x2, x3, y), window, minPeriods) // } // defg earningsTimelinessRegression(x1,x2,x3,y){ // return ols(y, (x1,x2,x3),,2).RegressionStat[0,1] // } // def movingEarningsTimeliness(x1, x2, x3, y, window, minPeriods){ // return moving(earningsTimelinessRegression, (x1, x2, x3, y), window, minPeriods) // } // def zZ1EarningsValueRelevance1(permno, time_avail_m, ret, prc, shrout){ // ret0 = nullFill(ret, 0) // tempMom15m = (1+move(ret0,-2))*(1+move(ret0,-1))*(1+ret0)*(1+stataMoveM(time_avail_m,ret0,1))*(1+stataMoveM(time_avail_m,ret0,2))*(1+stataMoveM(time_avail_m,ret0,3))*(1+stataMoveM(time_avail_m,ret0,4))*(1+stataMoveM(time_avail_m,ret0,5))*(1+stataMoveM(time_avail_m,ret0,6))*(1+stataMoveM(time_avail_m,ret0,7))*(1+stataMoveM(time_avail_m,ret0,8))*(1+stataMoveM(time_avail_m,ret0,9))*(1+stataMoveM(time_avail_m,ret0,10))*(1+stataMoveM(time_avail_m,ret0,11))-1 // tempmktcap = abs(prc) * shrout // return tempMom15m, tempmktcap // } // def zZ1EarningsValueRelevance(ib,tempMom15m, tempmktcap){ // tempEarn = ib\tempmktcap // tempDEarn = (ib - move(ib,12))\tempmktcap // // Regression for value relevance of earnings // EarningsValueRelevance = movingEarningsValueRelevance(tempMom15m, tempEarn, tempDEarn,10,10) // tempNeg = iif(isValid(tempMom15m), tempMom15m<0, NULL) // tempInter = tempNeg*tempMom15m // EarningsTimeliness = movingEarningsTimeliness(tempNeg,tempMom15m,tempInter,tempEarn,10,10) // EarningsConservatism = movingEarningsConservatism(tempNeg,tempMom15m,tempInter,tempEarn,10,10) // return EarningsValueRelevance // } // def zZ1EarningsTimeliness(ib,tempMom15m, tempmktcap){ // tempEarn = ib\tempmktcap // tempDEarn = (ib - move(ib,12))\tempmktcap // // Regression for value relevance of earnings // EarningsValueRelevance = movingEarningsValueRelevance(tempMom15m, tempEarn, tempDEarn,10,10) // tempNeg = iif(isValid(tempMom15m), tempMom15m<0, NULL) // tempInter = tempNeg*tempMom15m // EarningsTimeliness = movingEarningsTimeliness(tempNeg,tempMom15m,tempInter,tempEarn,10,10) // EarningsConservatism = movingEarningsConservatism(tempNeg,tempMom15m,tempInter,tempEarn,10,10) // return EarningsTimeliness // } // def zZ1EarningsConservatism(ib,tempMom15m, tempmktcap){ // tempEarn = ib\tempmktcap // tempDEarn = (ib - move(ib,12))\tempmktcap // // Regression for value relevance of earnings // EarningsValueRelevance = movingEarningsValueRelevance(tempMom15m, tempEarn, tempDEarn,10,10) // tempNeg = iif(isValid(tempMom15m), tempMom15m<0, NULL) // tempInter = tempNeg*tempMom15m // EarningsTimeliness = movingEarningsTimeliness(tempNeg,tempMom15m,tempInter,tempEarn,10,10) // EarningsConservatism = movingEarningsConservatism(tempNeg,tempMom15m,tempInter,tempEarn,10,10) // return EarningsConservatism // } def zz1PM(permno, time_avail_m,ni, revt){ //Profit Margin //Change in Profit Margin PM = ni \ revt return PM } def zz1ChPM(permno, time_avail_m,ni, revt){ //Profit Margin //Change in Profit Margin PM = ni \ revt ChPM = PM - move(PM, 12) return ChPM } def zz1Currat(act, che, rect, invt, lct, ap){ //Current Ratio //Change in current ratio act2 = iif(isNull(act), che + rect + invt, act) lct1 = iif(isNull(lct), ap,lct) currat = act2 \ lct1 return currat } def zz1Pchcurrat(time_avail_m,act, che, rect, invt, lct, ap){ //Current Ratio //Change in current ratio act2 = iif(isNull(act), che + rect + invt, act) lct1 = iif(isNull(lct), ap,lct) currat = act2 \ lct1 pchcurrat = (currat - stataMoveM(time_avail_m,currat, 12)) \ stataMoveM(time_avail_m,currat, 12) return pchcurrat.nullFill(0) } defg AccrualQualityResid(y, x1, x2, x3, x4, x5){ return ols(y, (x1, x2, x3, x4, x5), mode = 2).Residual } def zz2AccrualQuality(sic,gvkey, act, lct, che, dlc, dp, at, ppegt, sale, ib, fyear, permno, time_avail_m) { data = table(sic,gvkey, act, lct, che, dlc, dp, at, ppegt, sale, ib, fyear, permno, time_avail_m) update data set tempAccruals = ((act - stataMoveY(fyear,act, 1)) - (che - stataMoveY(fyear,che, 1)) -((lct - stataMoveY(fyear,lct, 1)) - (dlc - stataMoveY(fyear,dlc, 1))) - dp) \ ((at + stataMoveY(fyear,at, 1))\2) context by gvkey update data set tempCAcc = tempAccruals + dp\((at+stataMoveY(fyear,at, 1))\2) context by gvkey update data set tempRev = sale\((at+stataMoveY(fyear,at, 1))\2) context by gvkey update data set tempDelRev = tempRev - stataMoveY(fyear,tempRev, 1) context by gvkey update data set tempPPE = ppegt \ ((at+(stataMoveY(fyear,at, 1)))\2) context by gvkey update data set tempCFO = ib \ ((at+(stataMoveY(fyear,at, 1)))\2) - tempAccruals context by gvkey update data set FF48 = sicff(sic) delete from data where FF48 is null update data set tempCFO_lag = stataMoveY(fyear,tempCFO, 1) context by gvkey update data set tempCFO_for = stataMoveY(fyear,tempCFO, -1) context by gvkey nullValue = select *, double(null) as tempResid from data where tempAccruals is null or tempCAcc is null or tempRev is null or tempDelRev is null or tempPPE is null or tempCFO is null or tempCFO_lag is null or tempCFO_for is null or tempDelRev is null tmp = select * from data where tempAccruals is not null and tempCAcc is not null and tempRev is not null and tempDelRev is not null and tempPPE is not null and tempCFO is not null and tempCFO_lag is not null and tempCFO_for is not null and tempDelRev is not null tmp = select *, AccrualQualityResid(tempCAcc, tempCFO, tempCFO_lag, tempCFO_for, tempDelRev, tempPPE) as tempResid from tmp context by fyear, FF48 tmp.append!(nullValue) // filter at least 20 observations per year and FF48 update tmp set tempResid = double(NULL) where count(gvkey) < 20 context by fyear, FF48 tmp = select * from tmp order by gvkey, fyear // select * from tmp where gvkey = 2282 order by fyear // rolling sd update tmp set tempResid1 = tmove(fyear, tempResid, 1) context by gvkey update tmp set tempResid2 = tmove(fyear, tempResid, 2) context by gvkey update tmp set tempResid3 = tmove(fyear, tempResid, 3) context by gvkey update tmp set tempResid4 = tmove(fyear, tempResid, 4) context by gvkey update tmp set AQ = rowStd(tempResid, tempResid1, tempResid2, tempResid3, tempResid4) update tmp set tempN = 5 - rowCount(tempResid, tempResid1, tempResid2, tempResid3, tempResid4) context by gvkey tmp = select * from tmp order by gvkey, fyear result = select *, tmove(fyear, AQ, 1) as AccrualQuality from tmp context by gvkey result = select permno, time_avail_m,AccrualQuality from result return result } def zz2AccrualQualityJune(sic,gvkey, act, lct, che, dlc, dp, at, ppegt, sale, ib, fyear, permno, time_avail_m) { data = table(sic,gvkey, act, lct, che, dlc, dp, at, ppegt, sale, ib, fyear, permno, time_avail_m) update data set tempAccruals = ((act - stataMoveY(fyear,act, 1)) - (che - stataMoveY(fyear,che, 1)) -((lct - stataMoveY(fyear,lct, 1)) - (dlc - stataMoveY(fyear,dlc, 1))) - dp) \ ((at + stataMoveY(fyear,at, 1))\2) context by gvkey update data set tempCAcc = tempAccruals + dp\((at+stataMoveY(fyear,at, 1))\2) context by gvkey update data set tempRev = sale\((at+stataMoveY(fyear,at, 1))\2) context by gvkey update data set tempDelRev = tempRev - stataMoveY(fyear,tempRev, 1) context by gvkey update data set tempPPE = ppegt \ ((at+(stataMoveY(fyear,at, 1)))\2) context by gvkey update data set tempCFO = ib \ ((at+(stataMoveY(fyear,at, 1)))\2) - tempAccruals context by gvkey update data set FF48 = sicff(sic) delete from data where FF48 is null update data set tempCFO_lag = stataMoveY(fyear,tempCFO, 1) context by gvkey update data set tempCFO_for = stataMoveY(fyear,tempCFO, -1) context by gvkey nullValue = select *, double(null) as tempResid from data where tempAccruals is null or tempCAcc is null or tempRev is null or tempDelRev is null or tempPPE is null or tempCFO is null or tempCFO_lag is null or tempCFO_for is null or tempDelRev is null tmp = select * from data where tempAccruals is not null and tempCAcc is not null and tempRev is not null and tempDelRev is not null and tempPPE is not null and tempCFO is not null and tempCFO_lag is not null and tempCFO_for is not null and tempDelRev is not null tmp = select *, AccrualQualityResid(tempCAcc, tempCFO, tempCFO_lag, tempCFO_for, tempDelRev, tempPPE) as tempResid from tmp context by fyear, FF48 tmp.append!(nullValue) // filter at least 20 observations per year and FF48 update tmp set tempResid = double(NULL) where count(gvkey) < 20 context by fyear, FF48 tmp = select * from tmp order by gvkey, fyear // select * from tmp where gvkey = 2282 order by fyear // rolling sd update tmp set tempResid1 = tmove(fyear, tempResid, 1) context by gvkey update tmp set tempResid2 = tmove(fyear, tempResid, 2) context by gvkey update tmp set tempResid3 = tmove(fyear, tempResid, 3) context by gvkey update tmp set tempResid4 = tmove(fyear, tempResid, 4) context by gvkey update tmp set AQ = rowStd(tempResid, tempResid1, tempResid2, tempResid3, tempResid4) update tmp set tempN = 5 - rowCount(tempResid, tempResid1, tempResid2, tempResid3, tempResid4) context by gvkey tmp = select * from tmp order by gvkey, fyear result = select *, tmove(fyear, AQ, 1) as AccrualQuality from tmp context by gvkey result = stretch(result, 12*size(result)) // 把时间转换成月份1-12 // time_avail_m + rowNo update result set time_avail_m = time_avail_m +rowNo(permno) context by permno, time_avail_m result = select permno, time_avail_m, iif(monthOfYear(time_avail_m) == 6, AccrualQuality, double(NULL)) as AccrualQualityJune from result result = select permno, time_avail_m, AccrualQualityJune.ffill() as AccrualQualityJune from result context by permno return result } def cashDebt(time_avail_m,ib, dp, lt){ //Cash flow to debt return (ib + dp) \ ((lt + stataMoveM(time_avail_m,lt, 12)) \ 2) } def cfpq(time_avail_m,mve_c, actq, cheq, lctq, dlcq, txpq, dpq, ibq, oancfyq){ //Cash flow to price (quarterly) tempAccrual_level = (actq - stataMoveM(time_avail_m,actq, 12) - (cheq - stataMoveM(time_avail_m,cheq, 12))) - ((lctq - stataMoveM(time_avail_m,lctq, 12)) - (dlcq - stataMoveM(time_avail_m,dlcq, 12)) - (txpq - stataMoveM(time_avail_m,txpq, 12)) - dpq) cfpq = (ibq - tempAccrual_level) \ mve_c return iif(isValid(oancfyq), oancfyq \ mve_c, cfpq) } def depr(dp, ppent){ //Depreciation to PPE return dp \ ppent } def pchDepr(time_avail_m,dp, ppent){ //Change in depreciation to gross PPE return ((dp \ ppent) - (stataMoveM(time_avail_m,dp, 12) \ stataMoveM(time_avail_m,ppent, 12))) \ (stataMoveM(time_avail_m,dp, 12) \ stataMoveM(time_avail_m,ppent, 12)) } def pchgmPchSale(time_avail_m,sale, cogs){ //Margin growth over sales growth return (((sale - cogs) - (stataMoveM(time_avail_m,sale, 12) - stataMoveM(time_avail_m,cogs, 12))) \ (stataMoveM(time_avail_m,sale, 12) - stataMoveM(time_avail_m,cogs, 12))) - ((sale - stataMoveM(time_avail_m,sale, 12)) \ stataMoveM(time_avail_m,sale, 12)) } def pchQuick(time_avail_m,act, invt, lct){ //Change in quick ratio pchquick = ((act - invt) \ lct - (stataMoveM(time_avail_m,act, 12) - stataMoveM(time_avail_m,invt, 12)) \ stataMoveM(time_avail_m,lct, 12)) \ ((stataMoveM(time_avail_m,act, 12) - stataMoveM(time_avail_m,invt, 12)) \ stataMoveM(time_avail_m,lct, 12)) return iif(isNull(pchquick) && isNull(stataMoveM(time_avail_m,pchquick, 2)), 0, pchquick) } def pchSaleInv(time_avail_m,sale, invt){ //Change in sales to inventory return ((sale \ invt) - (stataMoveM(time_avail_m,sale, 12) \ stataMoveM(time_avail_m,invt, 12))) \ (stataMoveM(time_avail_m,sale, 12) \ stataMoveM(time_avail_m,invt, 12)) } def quick(act, invt, lct){ //Quick ratio return (act - invt) \ lct } def rdSale(time_avail_m,xrd, sale){ //R&D-to-sales ratio rd_sale = stataMoveM(time_avail_m,xrd, 12) \ stataMoveM(time_avail_m,sale, 12) return iif(rd_sale == 0, NULL, rd_sale) } def rdSaleQ(time_avail_m,xrdq, saleq){ //R&D-to-sales ratio (quarterly) rd_sale_q = stataMoveM(time_avail_m,xrdq, 12) \ stataMoveM(time_avail_m,saleq, 12) return iif(rd_sale_q == 0, NULL, rd_sale_q) } def roaVol(time_avail_m,ibq, atq){ //RoA volatility roaq = ibq \ stataMoveM(time_avail_m,atq,3) roavol = mstd(roaq, 48, 24) return roavol } def roIc(ebit, nopi, ceq, lt, che){ //Return on invested capital return (ebit - nopi) \ (ceq + lt - che) } def saleCash(sale, che){ //Sales to cash return sale \ che } def saleInv(sale, invt){ //Sales to inventory return sale \ invt } def saleRec(sale, rect){ //Sales to receivables return sale \ rect } def secured(dm, dltt, dlc){ //Secured debt over liabilities secured = dm \ (dltt + dlc) return iif(isNull(dltt) || dltt == 0 || isNull(dlc), 0, secured) } def securedInd(dm){ //Secured debt indicator return iif(isValid(dm) && dm != 0, 1, 0) } def sgr(time_avail_m,sale){ //Annual sales growth return (sale \ stataMoveM(time_avail_m,sale, 12)) - 1 } def sgrQ(time_avail_m,saleq){ //Quarterly sales growth return (saleq \ stataMoveM(time_avail_m,saleq, 12)) - 1 } def tangQ(cheq, rectq, invtq, ppegtq, atq){ //Tangibility (quarterly) return (cheq + 0.715 * rectq + 0.547 * invtq + 0.535 * ppegtq) \ atq }