Homework 3

Part 0 (not graded)

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

• Watch the CRSP and Compustat videos linked in the class notes from earlier, found here.

• 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)

Again, we 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.

• Release Based workflow

• Connect the dots

Part 2 (graded)

In this second part, you’ll complete an exercise in which we create a value-weighted index of market returns and an exercise related to the seminal paper Fama and French (1993). These will comprise parts 2A and 2B. You can find guides here:

• Part A: CRSP Market Returns Indices

• Part B: Replicate Fama-French 1993

The data will be downloaded using the WRDS Python package. The code for this is included in the HW. This data download step will be fully automated.

The link to accept the HW is here: https://classroom.github.com/a/LPXKkmHU

Citations:

• Eugene, Fama, and Kenneth French. “The cross-section of expected stock returns.” Journal of Finance 47, no. 2 (1992): 427-465.

• Fama, Eugene F., and Kenneth R. French. “Common risk factors in the returns on stocks and bonds.” Journal of financial economics 33, no. 1 (1993): 3-56.

Reminder

Do not make any changes to the unit test files. If an edit is made, you will be required to edit the history of your commits to remove any trace of the edits to these files.