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Introduction of Compustat

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

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Introduction of Compustat

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  1. Introduction of Compustat Prof. I-Cheng Yeh

  2. 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?

  3. Topic 1: How to download data? • Open the Research Insight • Open the Report Assistant • Step 1 • Step 2 • Step 3 • Open the Run Assistant

  4. Start the system You can start the system here.

  5. You can start report assistant here.

  6. Or you can start report assistant here.

  7. report assistant step 1

  8. report assistant step 2

  9. report assistant step 3

  10. “run assistant”

  11. Choose the $C set

  12. Choose the $R set

  13. You can save the data set

  14. You can read the formula

  15. Topic 2: How to screen stocks satisfied specific selection rule?

  16. (1) You can start the screen here (2)

  17. You can modify the screen

  18. You can save set and screen

  19. Topic 3: How to test the performance of a selection rule?

  20. 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.

  21. The relation between Compustat and our study • Direct approach Backtest stock selection strategy.

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