Working with CRSP/COMPUSTAT in R: Reproducible Empirical Asset Pricing

Authors

Majeed Simaan, Stevens Institute of Technology

Date of this Version

6-2021

Document Type

Article

Citation

The R Journal (June 2021) 13(1); Editor: Dianne Cook

Comments

Copyright 2021, The R Foundation. Open access material. License: CC BY 4.0 International

Abstract

It is common to come across SAS or Stata manuals while working on academic empirical finance research. Nonetheless, given the popularity of open-source programming languages such as R, there are fewer resources in R covering popular databases such as CRSP and COMPUSTAT. The aim of this article is to bridge the gap and illustrate how to leverage R in working with both datasets. As an application, we illustrate how to form size-value portfolios with respect to Fama and French (1993) and study the sensitivity of the results with respect to different inputs. Ultimately, the purpose of the article is to advocate reproducible finance research and contribute to the recent idea of “Open Source Cross-Sectional Asset Pricing”, proposed by Chen and Zimmermann (2020).