Research
See below for other code resources.
Citations
Publications
``Delisting Returns and their Effect on Accounting-Based Market Anomalies,'' with William Beaver and Maureen McNichols, 2007, Journal of Accounting and Economics
``The Market Reaction to Arthur Andersen's Role in the Enron Scandal: Loss of Reputation or Confounding Effects?,'' with Karen Nelson and Brian Rountree, 2008, Journal of Accounting and Economics
``The Impact of Governance Reform on Performance and Transparency,'' with Francisco Roman and Brian Rountree, 2011, Journal of Financial Economics
``Detecting and Predicting Accounting Irregularities: A Comparison of Commercial and Academic Risk Measures,'' with Nate Sharp and David Wood, 2011, Accounting Horizons
``Cash Flows at Amazon.com,'' 2013, Issues in Accounting Education
``Do You Know What's in Your Benchmark?,'' with Steve Crawford and James Hansen, 2013, Journal of Portfolio Management
``Are Individual Investors Influenced by the Optimism and Credibility of Stock Spam Recommendations?,'' with Karen Nelson and Brian Rountree, 2013, Journal of Business Finance and Accounting
“The costs and benefits of long-short investing: a perspective on the market efficiency literature,” with William Beaver and Maureen McNichols, 2016, Journal of Accounting Literature
“Violence, aggression, and ethics: the link between exposure to violence and unethical behavior,” with Josh Gubler, Skye Herrick, and David Wood, forthcoming at the Journal of Business Ethics
“What motivates buy-side analysts to share recommendations online?” with Steve Crawford, Wes Gray, and Bryan Johnson, forthcoming at Management Science
“An exploratory study of factors affecting the longevity of manufacturing operations offshore” with Leslie Endenburg and Francisco Roman, 2019, Accounting Organizations and Society
“Financial Statement Anomalies in the Bond Market” with Steve Crawford, Pietro Perotti, and Chris Skousen, 2019, Financial Analysts Journal
Latex Resources
Note, I edit my latex documents using emacs on a Linux machine, so I can't guarantee it will work flawlessly for you if you use something different.
The Accounting Review
Here is a TAR.bst file for the Accounting Review. Note that is just a slightly modified version of a Chicago bst file. I noted all changes made. Here is a sample latex file to get something like what they want at TAR. If your paper is actually accepted, you may have to do the unthinkable and put it in word format because I don't know if they can deal with latex files. At that point, you may just refuse to have your paper published there and take it to another journal that will take your latex files.
Misc Resources
Accessing TAQ data
TAQ quote files in recent years have become extraordinary large. It is important to use efficient programming methods to access the data. I have found that using proc sql is much more efficient than an equivalent data step. Here are some sas log files that show the dramatic difference in time from using the sas data step vs. proc sql. The logs show that to access the quote data for April 29, 2005 for about 400 stocks took 3 hours real time (55 minutes computing time) with a data step vs. 1 minute 14 seconds real time (47 seconds computing time) with proc sql;
Compustat Quarterly Date Variable
I have found it frustrating that there is no great date variable for Compustat quarterly data. With the annual file, datadate provides a date variable (month, day, year). With the quarterly file, several variables are provided including: fyr (fiscal year end month), datacqtr (a variable indicating rough calendar quarter and year), datafqtr (indicates the fiscal quarter and the fiscal year), APDEDATEQ (this is the variable we want, actual period end date, but it is only provided after 2002 or so), rdq (the report date of quarterly earnings).
The following code produces a date variable with the compustat quarterly data. I am sure there is a more elegant way to do this. Note also that there are some companies that have fiscal periods ending at other days in the month. There is no way to tell this other than the apdedateq variable.
data test;
set comp.fundq;
where indfmt="INDL" and datafmt='STD'
and consol='C' and gvkey in('001266', '001468', '012141');
* '001468' fiscal year end 2;
* '012141' fiscal year end 6, Microsoft;
* '001266' fiscal year end 8;
keep gvkey datacqtr datafqtr APDEDATEQ rdq fyr
actq datadate;
fqtr = substr(datafqtr,6,1);
fmon = fqtr*3;
month = fmon-(12-fyr);
if month le 0 then month=month+12;
fyear = substr(datafqtr,1,4);
if fyr le 5 and month le fyr then year=fyear+1;
else if fyr le 5 and month > fyr then year=fyear;
else if fyr > 5 and month le fyr then year=fyear;
else if fyr > 5 and month > fyr then year=fyear-1;
datadate = intnx('MONTH',mdy(month,25,year),0,'END');
format datadate mmddyy8.;
run;
proc print;
run;
Here is the output file