Homework 2

• HW Guide Part A: CRSP Market Returns Indices
• HW Guide Part B: Reconstructing the S&P 500 Index

Part 0 (not graded)

Please watch the following videos to better familiarize yourself with CRSP and Compustat in WRDS.

• Watch the following videos about WRDS and CRSP

  • WRDS Web Queries While we will be automating the query process using the WRDS Python package wrds, using the web query system is a good way for initial exploration of the data.

  • CRSP Coverage

  • CRSP - Useful Variale. This video goes over some points we made in class as well and is helpful for cleaning the CRSP data (e.g., negative prices).

  • CRSP Stock Database Coverage Useful for merging stock files and event files in CRSP via SQL. This is useful, for example, to incorporate delisting returns.

Part 1 (graded)

In order to continue on our journey mastering the many features of Github, please complete next 2 tutorials from the GitHub Skills page. Please make sure to use public repositories for this in your own GitHub user account. You will provide a link later to demonstrate that it was completed.

• Review pull requests You may want to seek out the help of a friend or teammate with this one.

• Resolve merge conflicts

Also, if you’re looking for more instruction about how to use Git, here are two videos that I might recommend:

• What is Version Control? (Learn Git Video Course)

• Using Git with Visual Studio Code (Official Beginner Tutorial)

Part 2 (graded)

This will include a task of replicating the CRSP market index example from the lecture as well as a task of replicating the S&P 500 index from its constituent companies. The link to accept the assignment is here: https://classroom.github.com/a/KMvpqo_F

To complete this assignment, please read the two HW guides here:

• HW Guide Part A: CRSP Market Returns Indices

• HW Guide Part B: Reconstructing the S&P 500 Index

Recall that the way to go about this assignment is to run pytest and then determine how to write the code to pass the tests. As a tip, make sure to run the doit command before running pytest. This will ensure that all the data is pulled before running the tests.

Note, in order to complete this assignment, you will need to have the wrds package installed and you will need to have created a .pgpass file so that you can automatically authenticate to WRDS to pull the required data. Please refer to the textbook page Example: Connecting to the WRDS Platform With Python for more information, specifically the section “Creating a .pgpass file”.