diff --git a/docs_src/HW3.md b/docs_src/HW3.md new file mode 100644 index 0000000..e66ae3d --- /dev/null +++ b/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. diff --git a/docs_src/index.md b/docs_src/index.md index 2501e3d..55f2d38 100644 --- a/docs_src/index.md +++ b/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} diff --git a/dodo.py b/dodo.py index 1e361cf..24b6e39 100644 --- a/dodo.py +++ b/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()], ]