SAS code for two-way clustered standard errors
Written by John McInnis, slightly modified by me.
Data and code
This page contains some code and small helper datasets.
General
SAS dataset: IBES ticker–PERMNO link
Includes data until the end of 2024. · Screenshot
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Paper-Specific
CSV dataset (zipped): contains for each PERMNO-Ticker/Day, the total number of tweets and the total number of retweets regarding the corresponding stock.
As used in Chen and Hwang, Listening in on Investors' Thoughts and Conversations, Journal of Financial Economics, 2022.
SAS code: price-based return comovement around splits
As used in Green and Hwang, Price-Based Return Comovement, Journal of Financial Economics, 2009.
SAS code: expected skewness and IPO first-day returns
As used in Green and Hwang, IPOs as Lotteries, Management Science, 2012.
Stata code: readability and firm value
As used in Hwang and Kim, It Pays to Write Well, Journal of Financial Economics, 2017.
SAS code: obtain short interest data
Please note that prior to June 2003 there is very limited short interest data for NASDAQ firms in COMPUSTAT.
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