introduction of compustat
Post on 05-Jan-2016
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Introduction of Compustat
Prof. I-Cheng Yeh
Topic 1: How to download data? Topic 2: How to screen stocks
satisfied specific selection rule? Topic 3: How to test the
performance of a selection rule?
Topic 1: How to download data?
Open the Research Insight Open the Report Assistant Step 1 Step 2 Step 3 Open the Run Assistant
Start the system
You can start the system here.
You can start report assistant
here.
Or you can start report assistant
here.
report assistant step 1
report assistant step 2
report assistant step 3
“run assistant”
Choose the $C set
Choose the $R set
You can save the data set
You can read the formula
Topic 2: How to screen stocks satisfied specific selection rule?
(1) You can start
the screen here
(2)
You can modify the
screen
You can save set and screen
Topic 3: How to test the performance of a selection rule?
The relation between Compustat and our study Indirect approach:Download the data set.Build a prediction model. Return(t)=a*PBR(t-2)+b*ROE(t-2)+c
Generate stock selection strategy according to prediction model.
Backtest stock selection strategy.
The relation between Compustat and our study Direct approachBacktest stock selection strategy.
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