Using SAS in Financial Research
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About the Author
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 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.
- 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)
- Customer Reviews:
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Top reviews from the United States
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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.
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.
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.