Contents

Chapter 1: Introduction

• Introduction
• Working with SAS
• Ground Rules
• SAS Data Sets
• Using This Book Conventions Used in This Book

Chapter 2: Random Walking or Walking Randomly: Using SAS to Conduct Variance Ratio Testing of Asset Prices

• Background for the Random Walk Theory of Asset Prices
• The Data
• Sample SAS Code for Variance Ratio Specification Testing
• Summary
• Program Listing

Chapter 3: Analyzing Winners and Losers: Using SAS to Test the Overreaction Hypothesis

• Gackground on Behavioral Issues Specifically Related to Overreaction
• Data Used for Analysis
• Sample SAS Code Evaluating the Existence of Return Reversals
• Summary
• Program Listing

Chapter 4: Cross-Sectional Approach to the Empirical Test of the Capital Asset Pricing Model

• Background
• The Data
• Sample SAS Code
• Program Listing
• Appendix: A Short Introduction to SAS Macros

Chapter 5: Event Studies

• Background
• Measuring Abnormal Stock Returns
• The Data
• Sample Program
• Program Listing

Chapter 6: Effective Use of SAS Macros: An Application to Event Studies

• Alternative Test Statistics in Event Studies
• The Data
• Sample Program
• Program Listing

Chapter 7: Association Types of Studies: Investigating the Price-Earnings Relationship

• Background for Association Types of Studies
• The Data
• Sample SAS Code for Price-Earnings Regressions
• Program Listing

Chapter 8: Predicting Bankruptcy from Financial Distress Characterization Models

• Background for Characterizing Firms in Financial Distress
• The Data
• Sample SAS Program to Evaluate Financial Distress Characterization
• Summary
• Program Listing

Chapter 9: Using Accounting Information to Forecast Market Performance

• Background for Analyzing Fundamental Accounting Information and Market Performance
• The Data
• Sample Program to Evaluate Financial Information and Market Performance
• Summary
• Program Listing

Chapter 10: Analysis of Transaction Data

• Background
• The Data
• Combining Identical Trades
• Correcting Time Stamps and Computing the Tick Test
• Computing Quote Changes and Combining Them with Trades
• Estimation of Trading Costs
• VAR Estimation
• Program Listing
• Appendix: Using SAS/CONNECT Software to Access WRDS

References

Index