Research
Papers are available at SSRNData and Code
Click here for data on CEO Promotion as developed in my 2020 "Strategic Disclosure and CEO Media visibility" paper with Elizabeth Blankespoor at Journal of Financial Reporting . The variable names and descriptions correspond to those in Appendix A of the published paper.
Click here for code to calculate Adjusted Intra-Period Timeliness (IPT_Adj) as developed in my 2018 "Robo-Journalism" RAST paper with Elizabeth Blankespoor and Christina Zhu. IPT is a measure of the speed of price reaction to a disclosure within a given window. Our adjustment modifies traditional IPT measures to penalize over-reactions and reversals. See Section 4.2.2 of the paper and related Internet Appendix for further details.
Click here to download code for SAS syntax coloring for use in BBEdit and TextWrangler. Version 1.1.
Here is Stata syntax coloring for use in BBEdit and TextWrangler. Thanks to J Gardner for writing the original version of this code. I've made just a few changes to add installation instructions as well as commands for newer ado files.
SAS macros to assign Fama French industry classification codes based on SIC number. Thank you to Kenneth French for providing the classification codes on his website. Excerpts of this code are taken from unknown authors.
- All macros are now available and maintained on GitHub. Or, here are direct links to each:
- ----> 48 Industries
- ----> 12 Industries
- ----> 5 Industries
- ----> 38 Industries
Here is a SAS macro to produce nicely formatted t-test tables
- ----> 48 Industries
