/*

Author: Edwin Hu

Date: 2013-05-24

# COMP_EAD #

## Summary ##

Gets quarterly earnings announcement dates from COMPUSTAT and

fetches CRSP PERMNOs. Makes a file `comp_ead_events`.

## Variables ##

- comp_vars: list of COMPUSTAT variables to fetch

- filter: filters to place on COMPUSTAT quarterly

## Usage ##

```

%IMPORT "~/git/sas/COMP_EAD.sas";

%COMP_EAD(comp_vars=gvkey fyearq fqtr conm datadate rdq

epsfxq epspxq

prccq ajexq

spiq cshoq cshprq cshfdq

saleq atq

fyr datafqtr,

filter=not missing(saleq) or atq>0

);

* Now do stuff with comp_ead_events file ;

```

*/

%MACRO COMP_EAD(comp_vars=gvkey fyearq fqtr conm datadate rdq

epsfxq epspxq

prccq ajexq

spiq cshoq cshprq cshfdq

saleq atq

fyr datafqtr,

filter=not missing(saleq) or atq>0

);

%put;%put Merging comp.fundq with CCM linking table;

proc sql;

drop table comp_ead;

drop table _comp_ead, _ead;

create table _comp_ead as

select a.gvkey, a.datadate, a.rdq,

b.lpermno as permno, b.lpermco as permco,

/*Compustat variables*/

(a.cshoq*a.prccq) as mcap, a.*

from comp.fundq(where=(&filter.)) as a,

ccm.ccmxpf_linktable as b

where a.indfmt = 'INDL'

and a.datafmt = 'STD'

and a.popsrc = 'D'

and a.consol = 'C'

and substr(b.linktype,1,1)='L'

and b.linkprim in ('P','C')

and b.usedflag = 1

and (b.LINKDT <= a.datadate or b.LINKDT = .B)

and (a.datadate <= b.LINKENDDT or b.LINKENDDT = .E)

and a.gvkey = b.gvkey

and a.rdq IS NOT NULL

;

create table _ead as

select a.*, b.date as rdq_adj

format=yymmdd10. label='Adjusted Report Date of Quarterly Earnings'

from (select distinct rdq from _comp_ead) a

left join (select distinct date from crsp.dsi) b

on 5>=b.date-a.rdq>=0

group by rdq

having b.date-a.rdq=min(b.date-a.rdq)

;

create table _comp_ead_events

(keep=gvkey datadate rdq rdq_adj

permno permco event_id mcap prccq &comp_vars.) as

select a.*, b.rdq_adj

from _comp_ead as a left join _ead as b

on a.rdq = b.rdq

order by a.gvkey, a.fyearq desc, a.fqtr desc

;

quit;

%put;%put Checking for duplicates and outputting;

proc sort data=_comp_ead_events

out=comp_ead_events nodupkey;

by permno rdq_adj;

run;

data comp_ead_events;

set comp_ead_events;

event_id = _N_;

label event_id="Unique Event Identifier";

run;

proc sql;

drop table _comp_ead_events, _comp_ead, _ead;

quit;

%put;%put COMP_EAD created;

%MEND COMP_EAD;