Using SAS in Financial Research

by Ekkehart Boehmer (Author), John Paul Broussard (Author), Juha-Pekka Kallunki (Author)

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ISBN-13: 978-1590470398

ISBN-10: 9781590470398

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Researchers, graduate students, and practitioners in the financial market now have the first reference-style handbook detailing the mechanics of statistical testing on financial and accounting data. This one-of-a-kind book illustrates how to use SAS software to conduct basic empirical analyses of stock market and financial statement data. It covers various research topics, including investigating the predictability of stock returns, estimating the risk of common stock, and analyzing the impact of earnings and other financial statement information. The use of the SAS language to investigate these issues is demonstrated with numerous real-world examples employing traditional to state-of-the-art analytical estimation techniques. Main topics covered are variance ratio testing, capital asset pricing model, event studies, value versus growth, earnings response coefficients, and microstructure analysis. Readers will find the merging of theoretical and practical concepts unique and informative.

Review

"This book is for knowledgeable researchers, graduate students and financial practitioners. It was refreshing to find that the authors provide a summary of each topic that explains in simple to understand language both the output from the various SAS PROCs used and the statistical interpretation with respect to the hypothesis being tested. In addition, the actual SAS code is listed, highlighted and illustrated in a way that makes it easy for people to start using SAS quickly and easily to do their financial and statistical analysis. As a working mathematician and statistician who has no formal education and limited experience in economics or the stock market, I found the book enlightening about some of the inner philosophies of economics and stock market trading practices. And for those people who are involved in such areas and who have to perform financial research, I highly recommend this book as a valuable asset to their financial tools. I especially recommend it to those people who are in the early stages of their careers, during which statistical analysis using computer software is often required." -- Charles Patridge "The Hartford"

About the Author

Ekkehart Boehmer

Ekkehart Boehmer is a Director of Research at the New York Stock Exchange. Previously, he has held a Heisenberg Research Fellowship awarded by the German Science Foundation (DFG). He has also worked as an Economic Fellow at the U.S. Securities and Exchange Commisssion and as an Assistant Professor at Humboldt University, Berlin, Germany, and Louisiana State University. Dr. Boehmer received a Ph.D. in Finance and an M.A. in Economics from the University of Georgia. He has published in the Journal of Finance and the Journal of Financial Economics. His recent research synthesizes market microstructure considerations and corporate finance. Several previous papers analyze methodological issues in financial research, security issues, and the German corporate governance system.

John Paul Broussard

John Paul Broussard is an Assistant Finance Professor at Rutgers University where he teaches courses in investments and corporate finance. Dr. Broussard's academic research in international investments and extreme value statistical properties of asset prices has been published in Management Science, the Journal of Financial Services Research, the Quarterly Review of Economics and Finance, the European Journal of Operational Research, and other Millsaps College. Dr. Broussard has won various teaching awards in his career and has taught CFA study review courses since 1999 in Europe and the United States. He is a CFA Charterholder and a Certified Financial Risk Manager.

Juha-Pekka Kallunki

Juha-Pekka Kallunki is a Professor of Financial Accounting in the Department of Accounting and Finance at the University of Oulu, Finland. In 1996, he received a Ph.D. (Econ) in accounting and finance from the University of Vaasa, Finland. His publications include 27 refereed articles in such scientific journals as the Journal of International Financial Markets, Institutions and Money, the Journal of International Mondy and Finance, the Journal of Multinational Financial Management, the Journal of Business Finance and Acounting, and the International Journal of Accounting. Dr. Kallunki's published and current research covers the areas of stock market microstructure, asset pricing, investment strategies, and stock market response to accounting information.

Product details

ASIN ‏ : ‎ 1590470397
Publisher ‏ : ‎ SAS Institute (February 6, 2002)
Language ‏ : ‎ English
Paperback ‏ : ‎ 184 pages
ISBN-10 ‏ : ‎ 9781590470398
ISBN-13 ‏ : ‎ 978-1590470398
Item Weight ‏ : ‎ 15.1 ounces
Dimensions ‏ : ‎ 8.27 x 0.39 x 11.02 inches

Best Sellers Rank: #2,616,177 in Books (See Top 100 in Books)
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Read-to-use SAS code in financial research

Reviewed in the United States on November 26, 2004

Verified Purchase

SAS, like income tax and Microsoft Office, is a necessary evil in the daily existence of a well-educated but poor white-collar worker such as myself. I've used SAS for many years and I'm a fairly good programmer (though not a profesional one0, but I still get frustrated over SAS all the time. The way the data steps work just kills my imagination and motivation.

The present book offers some relief in the form of ready-to-use code segments for various topics in financial research. It's a thin volume at 150 pages, so its usefulness and coverage are limited. Covered topics include variance ratio testing in a random walk model, building event study code, and (most useful of the bunch) processing stock transaction data and running VAR regressions.

Of course, if you are using SAS, chances you are smart enough to figure out most of the stuff on your own, but the book serves two good purposes: 1) to save us the time and frustrations of working with SAS, and 2) to help the SAS beginner learn how to think in SAS and program in SAS. This is NOT a SAS primer. Each chapter dives into the topic right away, first offering some research background (e.g., what is a random walk) and then offering detailed analysis of the sample code.

In the end, it's the SAS code collection in this book that wins the book 4 stars from this harsh book critic. There are a few errors but no hideous hidden bugs. If you want to use SAS to quickly carry out some financial research, this book may be right for you. On the other hand, it doesn't cover a lot, so those looking for a more comprehensive code compendium will be disappointed.

16 people found this helpful

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N. Tuzov

Useful only if you have some SAS background

Reviewed in the United States on May 2, 2008

Verified Purchase

When someone writes a good introductory book like "Matlab for Engineers", they don't restrict themselves to providing a bunch of Matlab codes for a range of typical Engineering problems with a very brief explanation of Matlab language itself. A decent language tutorial is a necessary part of the package. It is even more desirable for a Finance-oriented SAS book because SAS language is more arcane than that of Matlab (for instance, SAS DATA step language is different from that used in SAS macros).

If the authors of this book had organized it this way, it would have been a great publication, and priced at least $65, too. Unfortunately, almost no SAS language tutorial has been included (and fairly enough, the price is much lower - that's why I'm giving it more than 2 stars).

The bottom line is that if you have no SAS background you should start with something like The Little SAS Book: A Primer, Third Edition . Then, if you feel you need to know more about SAS macros, try SAS Macro Programming Made Easy, Second Edition . Only after that decent introduction does it make sense to open this book.

4 people found this helpful

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VLee

The content may be a little dated, especially when ...

Reviewed in the United States on January 4, 2018

Verified Purchase

The content may be a little dated, especially when it comes to the examples, since Compustat has changed the way its data is structured. If you are considering this, do yourself a favor and use Python's Pandas or SQL instead, for data manipulation, and Stata for statistics.

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fishfish

decent boook

Reviewed in the United States on March 12, 2013

Verified Purchase

Provide the basic financial analysis using SAS. You can use this book as a start. But not too many cases are included.

One person found this helpful

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Cedric Luma

great for phd students

Reviewed in the United States on November 1, 2014

Verified Purchase

Excellent . Must have

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Bachelier

Useful if you must use SAS

Reviewed in the United States on September 23, 2005

Programming in SAS is soul destroying, and being chained to SAS is equivalent to being on Devil's Island, but it has turned into a lunatic asylum. Add to that the fact that you are trying to deliver financial analysis or support trading strategies, risk management, or option pricing, and you have a recipe for succumbing to insanity.

If you are in that unhappy state, this book is very useful in the "cut-and-paste" world of cobbling together Franken-code to get a job done. I have not gone through every routine to check for bugs (I mercifully have escaped from the asylum), and I suspect they are there, but nothing would be beyond standard de-bugging.

If you are in finance and have to use SAS, this book is an excellent edition to your weapons arsenal.

8 people found this helpful

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Brett Jiu

Only a few examples; no mass appeal

Reviewed in the United States on May 10, 2007

I don't understand why the other three reviewers liked this slim volume. It just has a few code examples covering a handful of niche topics that I feel few people know or care about. Financial research is a really rich and diverse field, ranging from accounting to options pricing to technical analysis. This book covers a minimal amount of topics. I don't think this is helpful at all. If someone could write a "SAS cookbook" a la "Perl Cookbok" that would be great.

One person found this helpful

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Using SAS in Financial Research

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