Identify Chinese State-Owned Enterprise using CSMAR

Aug 6, 2019

Many research papers on Chinese firms include a control variable that indicates if the firm is a state-owned enterprise (SOE). This is important as SOEs and non-SOEs differ in many aspects and may have “structural differences”. This post documents the way to construct this indicator variable from the CSMAR databases. Specifically, we need the CSMAR China Listed Firms Shareholders - Controlling Shareholders dataset. On WRDS, this dataset is named hld_contrshr, located at /wrds/csmar/sasdata/hld. ...

When Costly Small Loans are the Best Option

Jul 31, 2019

This is a case study about why sometimes a costly small loan may be the only way out for certain people, adapted from the report of Trends in the Australian Small Loan Market by the Australian Centre for Financial Studies. I add some discussions and further questions in the end. Case Study Background Alice is a single mom with children who relies only on Centrelink payments. Her refrigerator suddenly broke and she needs a new one as soon as possible before the frozen food for the family perishes. ...

Decomposing Herfindahl–Hirschman (HHI) Index

Jul 23, 2019

Herfindahl–Hirschman (HHI) Index is a well-known market concentration measure determined by two factors: 1) the size distribution (variance) of firms and 2) the number of firms. Intuitively, having a hundred similar-sized gas stations in town means a far less concentrated environment than just one or two available, and when the number of firms is constant, their size distribution or variance determines the magnitude of market concentration. Since these two properties jointly determine the HHI measure of concentration, naturally we want a decomposition of HHI that can reflects these two dimensions respectively. ...

Password Encoding and Remote Submission - WRDS/SAS Tutorial (1)

Jul 22, 2019

Most junior research students did not have any experience with data manipulation and analysis with SAS and the Wharton Research Data Services (WRDS), which motivates me about this tutorial series. I am a strong supporter for open data and I firmly believe that researchers should publish the dataset and source code they used to get their results. This is because reproducibility is just critical in any scientific study. ...

Uncommon Job Titles

Jul 18, 2019

When we talk about C suite, we normally think of CEO (Chief Executive Officer), CFO (Chief Financial Officer), COO (Chief Operating Officer), CIO (Chief Investment Officer), etc. But sometimes there’re rather uncommon titles given to the senior managers. I came across some like: - “Chief Deception Officer” - “Chief Interactive Officer” - “Chief People Officer” - “Chief Knowledge and Client Value Officer” - “Chief Learning Officer” - “Chief Instruction Officer” ...

Auto-Tabulate Regression Results in Stata for Publication

Jun 21, 2019

This post describes a convenient way to automate the tabulation of regression outputs in Stata for publication. Setup and Usage First, you’ll need to be familiar with program in Stata, which essentially is a function or macro to be called elsewhere in the .do file. What I like to do is to store all control variables in a macro controls. For example, let’s control for Tobin’s Q, firm size, book leverage, cash holding, sales and ROA. ...

Checklist for Writing Your Assignment/Report/Essay

Jun 20, 2019

This is a continuously updated checklist for students writing their assignments, reports and essays. Disclaimer I prepare this document out of my 3-year experience of marking thousands of assignments, reports, essays and exam papers. However, it should be considered as my personal opinions and does not constitute a marking rubric. You should always follow the official instructions by your course coordinator. The actual marking criteria may or may not include any of the following. ...

Endless Terrain Generation in Unity

Jun 18, 2019

Recently I’ve been enjoying a particular YouTube channel or YouTuber named Sebastian Lague, specifically his playlist of Procedural Terrain Generation. It’s absolutely one of the best tutorials explaining how to programatically generate a 3D (endless) terrain mesh, and I really love his approach in working through the C# coding and optimization. Now it’s officially one of my many side projects to replicate his work (he does provide the source code on GitHub! ...

Accumulator Option Pricing

May 29, 2019

An accumulator is a financial derivative that is sometimes known as “I kill you later”. This post attempts to explain how it is structured and price it via Monte Carlo simulations in Python. 1. Overview of Accumulator Like all derivatives, there are two parties invovled in an accumulator, the buyer and the seller, both agree on a strike price that is usually at a discount to the prevailing market price of the underlying security at the time of contract origination. ...