Contact

• Jianxin Ma (jianxin.ma@warwick.ac.uk)

Version

• All in Python
• The SAS version is here EquityCharacteristicsSAS

Academic Background

For financial researches, we need equity characteristics. This repository is a toolkit to calculate asset characteristics in individual equity level and portfolio level.

Prerequisite

• Read the listed papers
• WRDS account with subscription to CRSP, Compustat and IBES.
• Python

Files

• Characteristics list

Main Files

• accounting_100_hxz.py -- most annual, quarterly and monthly frequency characteristics
• functions.py -- impute and rank functions
• merge_chars.py -- merge all the characteristics from different feather file into one feather file
• impute_rank_output_bchmk.py -- impute the missing values and standardize raw data
• iclink.py -- preparation for IBES

Single Characteristic Files

• beta.py -- 3 months rolling CAPM beta
• rvar_capm.py, rvar_ff3.py -- residual variance of CAPM and fama french 3 factors model, rolling window is 3 months
• rvar_mean.py -- variance of return, rolling window is 3 months
• abr.py -- cumulative abnormal returns around earnings announcement dates
• myre.py -- revisions in analysts’ earnings forecasts
• sue.py -- unexpected quarterly earnings
• ill.py -- illiquidity, rolling window is 3 months
• maxret_d.py -- maximum daily returns, rolling window is 3 months
• std_dolvol.py -- std of dollar trading volume, rolling window is 3 months
• std_turn.py -- std of share turnover, rolling window is 3 months
• bid_ask_spread.py -- bid-ask spread, rolling window is 3 months
• zerotrade.py -- number of zero-trading days, rolling window is 3 months

How to use

1. run accounting_100_hxz.py
2. run all the single characteristic files (you can run them in parallel)
3. run merge_chars.py
4. run impute_rank_output_bckmk.py

Outputs

Data

The date range is 1950 to 2024. The stock universe is top 3 exchanges (NYSE/AMEX/NASDAQ) in US.

The currant time subscript of data is $ret_t \sim chars_{t-1}$

1. chars_raw_no_impute.feather (all data with original missing value)
2. chars_raw_imputed.feather (impute missing value with industry median/mean value)
3. chars_rank_no_imputed.feather (standardize chars_raw_no_impute.feather)
4. chars_rank_imputed.feather (standardize chars_raw_imputed.feather, and further impute missing values with 0)

Information Variables:

• stock indicator: gvkey, permno
• time: datadate, date, year ('datadate' is the available time for data and 'date' is the date of return)
• industry: sic, ffi49
• exchange info: exchcd, shrcd
• return: ret (we also provide original return and return without dividend, you can keep them by modifing impute_rank_output_bchmk.py)
• market equity: lag_me

Method

Equity Characteristics

This topic is summaried by Green Hand Zhang and Hou Xue Zhang.

Portfolio Characteristics

Portfolio charactaristics is the equal-weighted / value-weighted averge of the characteristics for all equities in the portfolio.

The portfolios includes and not limited to:

• Characteristics-sorted Portfolio, see the listed papers and also Deep Learning in Characteristics-Sorted Factor Models
• DGTW Benchmark, see DGTW 1997 JF
• Industry portfolio

Reference

Papers

Many papers contribute a lot to this repository. I am very sorry for only listing the following papers.

• Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks by DANIEL, GRINBLATT, TITMAN, WERMERS 1997 JF

• Benchmarks on Wermer's website

• Dissecting Anomalies with a Five-Factor Model by Fama and French 2015 RFS

  • Define the characteristics of a portfolio as the value-weight averages (market-cap weights) of the variables for the firms in the portfolio
  • French's Data Library

• The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns by Green Hand Zhang 2017 RFS

  • sas code from Green's website

• Replicating Anormalies by Hou Xue Zhang 2018 RFS

  • Anormaly Portfolios by Zhang's website

Codes

• Calculate equity characteristics with SAS code, mainly refering to SAS code by Green Hand Zhang.
• Portfolio characteristics, mainly refering to WRDS Financial Ratios Suite and Variable Definition
• DGTW code refers to this python code or this SAS code

All comments are welcome.