Bus 805-2019
Security Type代写 The first 6 characters are the company, and the 7-8th characters are the stock issue code. Some datasets include the 9th character
Homework 1 Security Type代写
Each stock has several identifiers. CUSIP is the identifier for stocks and bonds in the US and Canada.PERMNO is a unique CRSP identifier for the stock. PERMCO is the CRSP identifier for the company.GVKEY is the Compustat identifier for the company.
CUSIP is used both in CRSP and Compustat, but CUSIPs can change over time, making it difficult to combine CRSP and Compustat data.CUSIP is 8 characters long. The first 6 characters are the company, and the 7-8th characters are the stock issue code. Some datasets include the 9th character, which is useless for our purposes and should be ignored.What are the PERMNO, CUSIP, and PERMCO of Telus? Security Type代写
- a.What are the PERMNO, CUSIP, and PERMCO of Telus?
b. What is Telus’ TSX and NYSE ticker(s)?
TU
c. What happened to Telus’ shares in February 2013?
d. Note the last two characters in the CUSIP. What do they mean for Telus?
Means the stock in the US or Canada
Tips. Use the Code Lookup interface on WRDS. Go to CRSP – Annual Update – Stock / Security Files -Monthly Stock. Find a Code Lookup link under the Company Code field.
Among the query variables in the first window, click on the “?” help link for Share Code to read about the last two chars of CUSIP. Google for the news about Telus.
Use read seo.sas and seo0112.xlsx data set with SEO announcements for the remaining questions. Security Type代写
2. What are the three most common security types (variable TypeSecurity) in the initial dataset SEO?
the three most common security types are Common Shares(5330), Units(406),Class A Shares(225)
3. How many characters are in the cusip variable?
Tip. You can figure it out from the program, or use length(cusip) command, or right-click on the datasetin the Work library and see Properties-Columns.
There are 8 characters in the cusip variable.
4. How many observations in dataset SEO2 had the cusip variable imputed (when cusip8 is missing but cusip6 is available)? Security Type代写
There are 77 observations in dataset SEO2 had the cusip variable imputed.
Questions 5-6. Firms sometimes make one announcement for several issues at different future dates. To capture the full announcement effect, we need to add up the numbers of shares and amounts offered for such “dateann cusip dateissue” groups.
5. Which variables contain the total numbers of primary and secondary shares offered at each announcement?
“PrimShrs” is primary shares offered and ” SecShrs”is secondary hares offered
6. Which announcement (report cusip and dateann) has the most issue dates? How many issues does it have?
Tip. Sort dataset seo2sum by the frequency of cusip and dateann pairs and view the resulting dataset.
cusip is 07367710 and dateann is 03JUL2008 has the most issue dates ,there are 16 issues.
7. a. How many observations are in dataset SEO4 – the cleaned dataset? Security Type代写
There are 3789 observations are in dataset SEO4
b. How many SEOs with the offer amount less than $25 million were deleted at the dataset SEO4 step?
There are 729(4518-3789=729) SEOs with the offer amount less than $25 million were deleted at the dataset SEO4 step.
Tip. The easiest place to see the number of observations in a dataset is in the Log window after you run a data step. (But you can also right-click on the dataset in the Work library and see Properties).Comment out the line that conditions the PrincipalAllMktsSum variable to be >25 and run the data seo4 step again to see how the number of observations changes. After that, remember to remove the comment in that line and run the data seo4 again before continuing to the next step in the program.
8. How many announcements were lost because a match for CUSIP was not found in CRSP (so that PERMNO is missing)?
Tip. Compare the number of observations in dataset seo5 created with and without the statement deleting missing permno’s.
9. How many (and the % of the total) primary, secondary, and mixed SEO announcements are in the dataset SEO7?
Tip. Use proc freq.
10. The abnormal return estimation in the Eventus step.
a. Which abnormal returns (cumulative or buy-and-hold) and horizons (e.g., CAR(1)) are calculated in the program by Eventus?
b. Which variables contain these returns?
c. Which risk model is used to calculate the abnormal returns?
11. Create a table with the mean values of the two abnormal return variables.
Do this for the fullsample, the samples of primary SEOs, secondary SEOs, both primary and mixed SEOs (i.e., not a purely secondary SEO).
Include the t-statistics in parentheses (with 2 decimal points) below each mean. Add stars: “*, **, and*** indicate significance at the 10%, 5%, and 1% level, respectively.”
Below the t-stat, also write the p-value of the non-parametric signed rank test.Security Type代写
As in research articles, name the table and write a header briefly describing the variables (use the answers to question 10).
12. Conduct t-tests comparing mean pre-announcement and two-day announcement abnormal returns across the samples (the pure primary vs. the rest, and pure secondary vs. the rest). The results may be added to the table in the previous question.
13. Briefly summarize the findings (one short paragraph).
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