Intra-Period Efficiency (IPE) is a modified version of the Intra-Period Timeliness (IPT) measure of the speed of stock price reactions to events. IPE modifies the original IPT measure to penalize over-reactions and reversals within the price response window. See Blankespoor, deHaan, & Zhu (RAST 2018), Section 4.2.2 and related Internet Appendix for further details. Also see Section 3 of Blankespoor, deHaan, & Marinovic (JAE 2020) for discussion of other empirical proxies for price responsiveness.
SAS code for the "simpler" IPE. Blankespoor et al. (2018) suggest you use this version.
SAS code for the "more complex" IPE. (produces nearly identical results)
These SAS macros 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.
Code for syntax coloring in BBEdit and TextWrangler.
Code for Stata. Jonathan Bearak has an updated version.
Here is data on "CEO Promotion" as developed in Blankespoor & deHaan (JFR 2020): Strategic Disclosure and CEO Media Visibility. The variable names and descriptions correspond to those in Appendix A of the published paper.
Here is a simple SAS macro to produce nicely formatted tables of differences in means based on t-tests.