Discussion 3

docs_src/HW3.md

@@ -0,0 +1,26 @@
+# Homework 3: Introduction to WRDS and CRSP
+
+## Introduction to WRDS and CRSP
+Please watch the following videos to better familiarize yourself with CRSP and Compustat in WRDS.
+
+ - [WRDS - Introduction to Web Queries](WRDS_intro_and_web_queries.md)
+ - [CRSP Coverage](https://vimeo.com/417302309)
+ - [CRSP - Useful Variables](https://wrds-www.wharton.upenn.edu/pages/grid-items/crsp-useful-variables/)
+   - 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](https://wrds-www.wharton.upenn.edu/pages/grid-items/crsp-stock-database-structure/)
+   - Useful for merging stock files and event files in CRSP via SQL. This is useful, for example, to incorporate delisting returns.
+
+
+## Replicating the CRSP Market Index
+
+In this second part, please do your best to replicate the CRSP value-weighted
+index of market returns. We will discuss this in more depth in the last class and we will work
+through this part of the homework together in class next time. However, please attempt to do this on your own first.
+
+For information on the CRSP market index, please see the following guide: 
+ - [CRSP Market Returns Indices](./_notebook_build/_04_CRSP_market_index.ipynb)
+
+**References:**
+
+ - 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.

docs_src/index.md

@@ -97,6 +97,7 @@ _notebook_build/_03_03-Operations-in-Pandas.ipynb
 _notebook_build/_03_04-Missing-Values.ipynb
 _notebook_build/_03_factor_analysis_demo.ipynb
 WRDS_intro_and_web_queries.md
+HW3.md
 ```
 
 ```{toctree}

dodo.py

@@ -337,6 +337,7 @@ def task_run_notebooks():
     "./docs_src/discussion_02.md",
     "./docs_src/syncing_files_with_git_and_github.md",
     "./docs_src/discussion_03.md",
+    "./docs_src/HW3.md",
     "./docs_src/discussion_04.md",
     *[f"./src/{notebook}" for notebook in notebook_tasks.keys()],
 ]