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dissertation-chapter-2-yearly-data-creation-alternative-workflow-appending.do
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dissertation-chapter-2-yearly-data-creation-alternative-workflow-appending.do
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clear all
***===============================***
* COLLAPSE CSRHUB TO YEAR LEVEL *
***===============================***
/// LOAD DATA
use data/csrhub-all.dta, clear
/* Created at D:\Dropbox\Data\csrhub-data\code-csrHub-data\CREATE-CSRHub-full-dataset.do */
drop firm_n csrhub_cr
/// KEEP UNIQUE CUSIP YM
bysort cusip ym: gen N=_N
drop if N>1
*111,062 observations deleted, either missing CUSIPs (110,221) or ///
* duplicate CUSIP ym values (841)
drop N
/// SET PANEL
encode cusip, gen(cusip_n)
xtset cusip_n ym
/// CREATE LAST MONTH OF YEAR VARIABLE
gsort cusip -ym
by cusip: gen last_ob = (_n==1)
label var last_ob "(CSRHUB) =1 if last ym CUSIP appears in CSRHUB data"
gen right_censor = (ym==692)
label var right_censor "(CSRHUB) =1 if last ym for CUSIP is 2017m9, the last ym in data"
*** Genearate last month of year variable for each rating
foreach variable of varlist over_rtg board_rtg cmty_rtg com_dev_phl_rtg comp_ben_rtg ///
div_lab_rtg emp_rtg enrgy_climchge_rtg enviro_pol_rpt_rtg enviro_rtg ///
gov_rtg humrts_supchain_rtg industry_avg_rtg ldrship_ethics_rtg ///
over_pct_rank prod_rtg resource_mgmt_rtg train_hlth_safe_rtg trans_report_rtg {
capt drop var maxmth
mark var
markout var `variable'
sort cusip year month
markout var year month `variable'
by cusip year: egen maxmth=max(month) if var==1
gen `variable'_lym = `variable' if month==maxmth
label var `variable'_lym "(CSRHUB) Last ym of `variable' for each year"
}
drop var maxmth
/// COLLAPSE TO YEAR LEVEL
foreach variable of varlist *rtg {
gen `variable'_mean = `variable'
gen `variable'_med = `variable'
}
collapse (max) *lym (mean) *_mean (median) *_med, by(cusip year firm isin industry)
order *, alpha
order cusip year firm
*** Drop duplicate cusip years
bysort cusip year: gen N=_N
tab N
/* N | Freq. Percent Cum.
------------+-----------------------------------
1 | 84,012 99.98 99.98
2 | 20 0.02 100.00
------------+-----------------------------------
Total | 84,032 100.00
*/
drop if N>1
drop N
*** Generate indicator variable
gen in_csrhub=1
label var in_csrhub "Indicator = 1 if in CSRHub data"
/// SAVE
compress
xtset, clear
label data "Year-level CSRHub 2008-2017"
save data/csrhub-all-year-level-pre-manual-match.dta, replace
***=======================================================***
* MERGE MANUALLY-MATCHED CSRHUB-CSTAT FIRM INFORMATION *
***=======================================================***
/// PREP MANUALLY-MATCHED DATA FOR MERGE
import excel "data\manual-match-csrhub-to-cstat.xlsx", ///
firstrow allstring clear
*** Label variables
label var firm_csrhub "(CSRHub) firm name from manual CSRHUB-CSTAT match"
label var cusip8 "(CSRHub) cusip8 from manual CSRHUB-CSTAT match"
label var cusip9 "(CSRHub) cusip9 from manual CSRHUB-CSTAT match"
label var isin "(CSRHub) isin from manual CSRHUB-CSTAT match"
label var firm "(CSTAT) firm name from manual CSRHUB-CSTAT match"
label var tic "(CSTAT) ticker from manual CSRHUB-CSTAT match"
label var cusip "(CSTAT) cusip9 from manual CSRHUB-CSTAT match"
label var cik "(CSTAT) cik from manual CSRHUB-CSTAT match"
label var gvkey "(CSTAT) gvkey from manual CSRHUB-CSTAT match"
*** Drop unneeded variables
drop isin tic cik gvkey
*** Rename variables to preserve through merge
rename (cusip8 cusip9 firm cusip) (cusip8_csr_man cusip9_csr_man firm_cstat_man cusip9_cstat_man)
*** Clean
replace firm_csrhub=upper(firm_csrhub)
*** Save manually-matched data
compress
save data/manually-matched-csrhub-cstat-firms.dta, replace
/// LOAD CSRHUB DATA
use data/csrhub-all-year-level-pre-manual-match.dta, clear
/// MERGE
gen firm_csrhub=upper(firm)
label var firm_csrhub "(CSRHUB) firm name used to match to manual CSTAT match"
merge m:1 firm_csrhub using data/manually-matched-csrhub-cstat-firms.dta, ///
update assert(1 2 3 4 5)
/* Result # of obs.
-----------------------------------------
not matched 75,921
from master 75,921 (_merge==1)
from using 0 (_merge==2)
matched 2,883
not updated 2,883 (_merge==3)
missing updated 0 (_merge==4)
nonmissing conflict 0 (_merge==5)
-----------------------------------------
*/
drop _merge
/// SAVE CSRHUB WITH MANUALLY-MATCHED CSTAT IDENTIFIERS
save data/csrhub-all-year-level.dta, replace
***=======================================***
* MERGE CSRHUB AND CSTAT ON CSTAT CUSIP9 *
***=======================================***
/// LOAD CSTAT DATA
use data/cstat-all-variables-for-all-cusip9-in-csrhub-and-kld-1990-2018.dta, clear
xtset, clear
gen year = fyear
rename cusip cusip9
drop if cusip9==""
bysort cusip9 year: gen N=_N
tab N
/* N | Freq. Percent Cum.
------------+-----------------------------------
1 | 113,985 99.82 99.82
2 | 58 0.05 99.87
3 | 99 0.09 99.96
4 | 44 0.04 100.00
5 | 5 0.00 100.00
------------+-----------------------------------
Total | 114,191 100.00
*/
drop if N>1
drop N
/// GENERATE INDICATOR VARIABLE
gen in_cstat = 1
label var in_cstat "Indicator = 1 if in CSTAT data"
/// MERGE WITH CSRHUB ON CUSIP9
merge 1:1 cusip9 year using data/csrhub-all-year-level.dta, ///
update assert(1 2 3 4 5)
/* Result # of obs.
-----------------------------------------
not matched 141,134
from master 88,159 (_merge==1)
from using 52,975 (_merge==2)
matched 25,829
not updated 25,829 (_merge==3)
missing updated 0 (_merge==4)
nonmissing conflict 0 (_merge==5)
-----------------------------------------
*/
/// SAVE MATCHES AS SEPARATE DATASET
preserve
keep if _merge==3
drop _merge
compress
save data/mergefile-csrhub-cstat-matched-cusip9-year.dta, replace
restore
***===========================================================***
* MERGE CSRHUB AND CSTAT ON MANUALLY-MATCHED FIRM IDENTIFIERS *
***===========================================================***
drop if _merge==3
drop _merge
drop if cusip9_cstat_man==""
replace conm=firm_cstat_man if conm==""
replace fyear=year if fyear==.
bysort conm fyear: gen N=_N
tab N
/* N | Freq. Percent Cum.
------------+-----------------------------------
1 | 2,233 99.47 99.47
2 | 12 0.53 100.00
------------+-----------------------------------
Total | 2,245 100.00
*/
drop if cusip=="CSMGACNO"
drop N
/// MERGE WITH CSTAT ON CONM-FYEAR
merge 1:m conm fyear using ///
data/cstat-all-variables-for-all-cusip9-in-csrhub-and-kld-1990-2018.dta, ///
update assert(1 2 3 4 5)
/* Result # of obs.
-----------------------------------------
not matched 115,743
from master 1,894 (_merge==1)
from using 113,849 (_merge==2)
matched 345
not updated 0 (_merge==3)
missing updated 0 (_merge==4)
nonmissing conflict 345 (_merge==5)
-----------------------------------------
*/
/// SAVE MATCHES
keep if _merge==5
compress
save data/mergefile-csrhub-cstat-matched-manual-cusip9-year.dta, replace
/// APPEND
append using data/mergefile-csrhub-cstat-matched-cusip9-year.dta
bysort conm fyear: gen N=_N
tab N
/// PREPARE CSRHUB/CSTAT FOR MERGE WITH KLD
*** Create 8 digit CUSIPS in CSRHUB/CSTAT to merge with KLD
gen cusip8 = substr(cusip9,1,8)
label var cusip8 "(CSTAT) CUSIP8 created from CUSIP9"
***===============***
* CLEAN KLD DATA *
***===============***
/// IMPORT DATA
use data\20190402-all-kld-downloaded-from-wrds.dta, clear
/// ORDER AND SORT
rename companyname firm
replace firm=upper(firm)
order firm year ticker, first
sort firm year
/// GENERATE
gen row_id_kld=_n
/// LABEL
foreach var of varlist * {
local lab `: var label `var''
label var `var' "(KLD) `lab'"
}
label var firm "(KLD) Firm name"
label var companyid "(KLD) Company numerical identifier"
label var cusip "(KLD) CUSIP firm identifier (8-digit max length)"
label var ticker "(KLD) Ticker symbol"
label var cgov_str_g "(KLD) Corruption and instability"
label var cgov_str_h "(KLD) Financial system risk"
label var com_str_h "(KLD) Community engagement"
label var div_str_h "(KLD) Employment of underrepresented groups (ended after 2013)"
label var env_str_h "(KLD) Natural resource use - water stress"
label var env_str_i "(KLD) Natural resource use - biodiversity and land use"
label var env_str_j "(KLD) Natural resource use - raw material sourcing"
label var env_str_k "(KLD) Natural resource use - financing environmental impact"
label var env_str_l "(KLD) Environmental opportunities - green buildings"
label var env_str_m "(KLD) Environmental opportunities in renewable energy"
label var env_str_n "(KLD) Waste management - electronic waste"
label var env_str_o "(KLD) Climate change - energy efficiency"
label var env_str_p "(KLD) Climate change - product carbon footprint"
label var env_str_q "(KLD) Climate change - insuring climate change risk"
label var emp_str_i "(KLD) Variable missing from kld data dictionary"
label var emp_str_j "(KLD) Variable missing from kld data dictionary"
label var emp_str_k "(KLD) Variable missing from kld data dictionary"
label var emp_str_l "(KLD) Human capital development"
label var emp_str_n "(KLD) Controversial sourcing (start 2013, previously hum-str-x)"
label var hum_con_h "(KLD) Operations in Sudan"
label var pro_str_d "(KLD) Customer controversies not covered by other rating variables"
label var pro_str_e "(KLD) Social opportunities - access to communications"
label var pro_str_f "(KLD) Social opportunities - opportunities in nutrition and health"
label var pro_str_g "(KLD) Product safety - chemical safety"
label var pro_str_h "(KLD) Product safety - financial product safety"
label var pro_str_i "(KLD) Product safety - privacy and data security"
label var pro_str_j "(KLD) Product safety - responsible investment"
label var pro_str_k "(KLD) Product safety - insuring health and demographic risk"
label var pro_con_g "(KLD) Variable missing from kld data dictionary"
label var row_id_kld "(KLD) Unique ID for each row of data"
/// CREATE AGGREGATE VARIABLES
*** Sum variables /* The sum variables included in KLD are wrong */
drop *num
egen sum_alc_con = rowtotal(alc_con_a alc_con_x), missing
egen sum_cgov_con = rowtotal(cgov_con_b cgov_con_f cgov_con_g cgov_con_h cgov_con_i cgov_con_j cgov_con_k cgov_con_l cgov_con_m cgov_con_x), missing
egen sum_cgov_str = rowtotal(cgov_str_a cgov_str_c cgov_str_d cgov_str_e cgov_str_f cgov_str_g cgov_str_h cgov_str_x), missing
egen sum_com_con = rowtotal(com_con_a com_con_b com_con_d com_con_x), missing
egen sum_com_str = rowtotal(com_str_a com_str_b com_str_c com_str_d com_str_f com_str_g com_str_h com_str_x), missing
egen sum_div_con = rowtotal(div_con_a div_con_b div_con_c div_con_d div_con_x), missing
egen sum_div_str = rowtotal(div_str_a div_str_b div_str_c div_str_d div_str_e div_str_f div_str_g div_str_h div_str_x), missing
egen sum_emp_con = rowtotal(emp_con_a emp_con_b emp_con_c emp_con_d emp_con_f emp_con_g emp_con_x), missing
egen sum_emp_str = rowtotal(emp_str_a emp_str_b emp_str_c emp_str_d emp_str_f emp_str_g emp_str_h emp_str_i emp_str_j emp_str_k emp_str_l emp_str_n emp_str_x), missing
egen sum_env_con = rowtotal(env_con_a env_con_b env_con_c env_con_d env_con_e env_con_f env_con_g env_con_h env_con_i env_con_j env_con_k env_con_x), missing
egen sum_env_str = rowtotal(env_str_a env_str_b env_str_c env_str_d env_str_f env_str_g env_str_h env_str_i env_str_j env_str_k env_str_l env_str_m env_str_n env_str_o env_str_p env_str_q env_str_x), missing
egen sum_gam_con = rowtotal(gam_con_a gam_con_x), missing
egen sum_hum_con = rowtotal(hum_con_a hum_con_b hum_con_c hum_con_d hum_con_f hum_con_g hum_con_h hum_con_j hum_con_k hum_con_x), missing
egen sum_hum_str = rowtotal(hum_str_a hum_str_d hum_str_g hum_str_x), missing
egen sum_mil_con = rowtotal(mil_con_a mil_con_b mil_con_c mil_con_x), missing
egen sum_nuc_con = rowtotal(nuc_con_a nuc_con_c nuc_con_d nuc_con_x), missing
egen sum_pro_con = rowtotal(pro_con_a pro_con_d pro_con_e pro_con_f pro_con_g pro_con_x), missing
egen sum_pro_str = rowtotal(pro_str_a pro_str_b pro_str_c pro_str_d pro_str_e pro_str_f pro_str_g pro_str_h pro_str_i pro_str_j pro_str_k pro_str_x), missing
egen sum_tob_con = rowtotal(tob_con_a tob_con_x), missing
label var sum_alc_con "(KLD) Sum of alcohol concerns"
label var sum_cgov_con "(KLD) Sum of corporate governance concerns"
label var sum_cgov_str "(KLD) Sum of corporate governance strengths"
label var sum_com_con "(KLD) Sum of community concerns"
label var sum_com_str "(KLD) Sum of community strengths"
label var sum_div_con "(KLD) Sum of diversity concerns"
label var sum_div_str "(KLD) Sum of diversity strengths"
label var sum_emp_con "(KLD) Sum of employee concerns"
label var sum_emp_str "(KLD) Sum of employee strengths"
label var sum_env_con "(KLD) Sum of environment concerns"
label var sum_env_str "(KLD) Sum of environment strengths"
label var sum_gam_con "(KLD) Sum of gambling concerns"
label var sum_hum_con "(KLD) Sum of human rights concerns"
label var sum_hum_str "(KLD) Sum of human rights strengths"
label var sum_mil_con "(KLD) Sum of military concerns"
label var sum_nuc_con "(KLD) Sum of nuclear concerns"
label var sum_pro_con "(KLD) Sum of product concerns"
label var sum_pro_str "(KLD) Sum of product strengths"
label var sum_tob_con "(KLD) Sum of tobacco concerns"
*** Generate
foreach v in cgov com div emp env hum pro {
gen `v'_agg = sum_`v'_str - sum_`v'_con
}
gen alc_agg = sum_alc_con
gen gam_agg = sum_gam_con
gen mil_agg = sum_mil_con
gen nuc_agg = sum_nuc_con
gen tob_agg = sum_tob_con
*** Label
label var cgov_agg "(KLD) Aggregate corporate governance"
label var com_agg "(KLD) Aggregate community"
label var div_agg "(KLD) Aggregate diversity"
label var emp_agg "(KLD) Aggregate employee relations"
label var env_agg "(KLD) Aggregate environment"
label var hum_agg "(KLD) Aggregate indigenous peoples relations"
label var pro_agg "(KLD) Aggregate product"
label var alc_agg "(KLD) Aggregate alcohol (no strengths in KLD)"
label var gam_agg "(KLD) Aggregate gambling involvement (no strengths in KLD)"
label var mil_agg "(KLD) Aggregate military involvement (no strengths in KLD)"
label var nuc_agg "(KLD) Aggregate nuclear involvement (no strengths in KLD)"
label var tob_agg "(KLD) Aggregate tobacco invovlement (no strengths in KLD)"
*** Generate Net Variables
egen net_kld_str = rowtotal(sum_cgov_str sum_com_str sum_div_str sum_emp_str sum_env_str sum_hum_str sum_pro_str)
egen net_kld_con = rowtotal(sum_alc_con sum_cgov_con sum_com_con sum_div_con sum_emp_con sum_env_con sum_gam_con sum_hum_con sum_mil_con sum_nuc_con sum_pro_con sum_tob_con)
gen net_kld = net_kld_str - net_kld_con
label var net_kld_str "(KLD) Sum of KLD strengths"
label var net_kld_con "(KLD) Sum of KLD concerns"
label var net_kld "(KLD) Net KLD score (strengths - concerns)"
/// CREATE UNIQUE FIRM-YEARS
bysort firm year: gen N=_N
tab N
/*
N | Freq. Percent Cum.
------------+-----------------------------------
1 | 53,136 99.94 99.94
2 | 28 0.05 99.99
4 | 4 0.01 100.00
------------+-----------------------------------
Total | 53,168 100.00
*/
drop if N>1
drop N
/// SET PANEL
encode firm, gen(firm_n)
xtset firm_n year, y
compress
label data "KLD Data 1991 - 2016 downloaded April 2, 2019 by [email protected]"
drop firm_n
drop if cusip==""
bysort cusip year: gen N=_N
tab N
/*
N | Freq. Percent Cum.
------------+-----------------------------------
1 | 47,097 99.15 99.15
2 | 34 0.07 99.23
3 | 21 0.04 99.27
4 | 8 0.02 99.29
5 | 20 0.04 99.33
6 | 6 0.01 99.34
60 | 60 0.13 99.47
69 | 69 0.15 99.61
184 | 184 0.39 100.00
------------+-----------------------------------
Total | 47,499 100.00
*/
drop if N>1
drop N
*(402 observations deleted)
*** Generate indicator variable
gen in_kld = 1
label var in_kld "Indicator = 1 if in KLD data"
rename firm firm_kld /* Avoids conflicts with the firm variable in csrhub-all-year-level */
/// SAVE
compress
save data/kld-all.dta, replace
***===============================================***
* MERGE KLD AND CSRHUB/CSTAT ON KLD CUSIP8 *
***===============================================***
/// LOAD KLD
use data/kld-all.dta, clear
gen cusip8=cusip
/// MERGE KLD AND CSRHUB/CSTAT
merge 1:1 cusip8 year using data/mergefile-csrhub-cstat.dta, ///
update assert(1 2 3 4 5)
/* Result # of obs.
-----------------------------------------
not matched 142,594
from master 11,364 (_merge==1)
from using 131,230 (_merge==2)
matched 35,733
not updated 35,733 (_merge==3)
missing updated 0 (_merge==4)
nonmissing conflict 0 (_merge==5)
-----------------------------------------
*/
drop _merge
/// EXAMINE
foreach variable in in_cstat in_csrhub in_kld {
replace `variable'=0 if `variable'==.
}
tab in_cstat in_csrhub
/*
Indicator | Indicator = 1 if in
= 1 if in | CSRHub data
CSTAT data | 0 1 | Total
-----------+----------------------+----------
0 | 11,364 52,975 | 64,339
1 | 88,159 25,829 | 113,988
-----------+----------------------+----------
Total | 99,523 78,804 | 178,327
*/
tab in_cstat in_kld
/*
Indicator | Indicator = 1 if in
= 1 if in | KLD data
CSTAT data | 0 1 | Total
-----------+----------------------+----------
0 | 51,692 12,647 | 64,339
1 | 79,538 34,450 | 113,988
-----------+----------------------+----------
Total | 131,230 47,097 | 178,327
*/
tab in_csrhub in_kld
/*
Indicator |
= 1 if in | Indicator = 1 if in
CSRHub | KLD data
data | 0 1 | Total
-----------+----------------------+----------
0 | 68,972 30,551 | 99,523
1 | 62,258 16,546 | 78,804
-----------+----------------------+----------
Total | 131,230 47,097 | 178,327
*/
gen in_all = (in_cstat==1 & in_csrhub==1 & in_kld==1)
label var in_all "=1 if matched in cstat csrhub and kld"
tab in_all
/* =1 if |
matched in |
cstat |
csrhub and |
kld | Freq. Percent Cum.
------------+-----------------------------------
0 | 163,064 91.44 91.44
1 | 15,263 8.56 100.00
------------+-----------------------------------
Total | 178,327 100.00
*/
/// SET PANEL
xtset, clear
encode cusip8, gen(cusip8_num)
xtset cusip8_num year, y
/// SAVE
*** Drop unneeded variables
drop in_cstat_csrhub_cusip in_cstat_kld_cusip
*** Save
compress
save data/analysis-file-cstat-kld-csrhub-cusip8-year-all.dta, replace
*** Only non-matched observations
keep if _merge!=3
compress
drop _merge
gen firm_csrhub=upper(firm)
save data/mergefile-nonmatched-cstat-kld-csrhub-cusip8-year.dta, replace
***=======================================***
* CREATE NEW VARIABLES FOR REWB MODELS *
***=======================================***
encode cusip, gen(cusip_n)
rename over_rtg_lym over_rtg
/// Create de-meaned and mean variables for random effects within-between modeling
foreach variable in net_kld_str net_kld_con over_rtg emp debt rd ad size {
bysort cusip_n: egen `variable'_m = mean(`variable')
label var `variable'_m "CUSIP-level mean of `variable'"
bysort cusip_n: gen `variable'_dm = `variable' - `variable'_m
label var `variable'_dm "CUSIP-level de-meaned `variable'"
}
/// SET PANEL
xtset cusip_n year, y
compress
order cusip year conm firm_kld firm
***======================================================***
* CREATE TREATMENT VARIABLES
* - Binary +/- deviation from standard deviation
* - Continuous measure number of standard deviations
* - Categorical measure standard deviations rounded to integer
***======================================================***
* Generate year-on-year change in over_rtg
gen over_rtg_yoy = over_rtg - l.over_rtg
label var over_rtg_yoy "Year-on-year change in CSRHub overall rating"
/// Binary +/- deviation from standard deviation
*** Firm-specific within-firm standard deviation
* Generate firm-specific within-firm over_rtg standard deviation
by cusip_n: egen sdw = sd(over_rtg)
label var sdw "Within-firm standard deviation of over_rtg for each cusip_n"
replace sdw=. if over_rtg==.
* Generate treatment variables
foreach threshold in 3 2 1 {
* Treatment event
gen trt`threshold'_sdw_pos = over_rtg_yoy > (`threshold' * sdw) & ///
over_rtg_yoy!=.
label var trt`threshold'_sdw_pos ///
"Treatment = 1 if year-on-year over_rtg > `threshold' std dev of sdw and positive"
replace trt`threshold'_sdw_pos=. if over_rtg==.
gen trt`threshold'_sdw_neg = over_rtg_yoy < (-`threshold' * sdw) & over_rtg_yoy!=.
label var trt`threshold'_sdw_neg "Treatment = 1 if year-on-year over_rtg > `threshold' std dev of sdw and negative"
replace trt`threshold'_sdw_neg=. if over_rtg==.
* Treatment year
by cusip_n: gen trt_yr_sdw_pos = year if trt`threshold'_sdw_pos==1
sort cusip_n trt_yr_sdw_pos
by cusip_n: replace trt_yr_sdw_pos = trt_yr_sdw_pos[_n-1] if _n!=1
replace trt_yr_sdw_pos = . if over_rtg==.
by cusip_n: gen trt_yr_sdw_neg = year if trt`threshold'_sdw_neg==1
sort cusip_n trt_yr_sdw_neg
by cusip_n: replace trt_yr_sdw_neg = trt_yr_sdw_neg[_n-1] if _n!=1
replace trt_yr_sdw_neg = . if over_rtg==.
* Post-treatment years
by cusip_n: gen post`threshold'_sdw_pos=(year>trt_yr_sdw_pos)
label var post`threshold'_sdw_pos ///
"Indicator =1 if post-treatment year for `threshold' std dev of sdw"
replace post`threshold'_sdw_pos=. if over_rtg==.
by cusip_n: gen post`threshold'_sdw_neg=(year>trt_yr_sdw_neg)
label var post`threshold'_sdw_neg ///
"Indicator =1 if post-treatment year for `threshold' std dev of sdw"
replace post`threshold'_sdw_neg=. if over_rtg==.
* Treated firms
by cusip_n: egen trt`threshold'_sdw_pos_grp= max(post`threshold'_sdw_pos)
label var trt`threshold'_sdw_pos_grp ///
"Indicator = 1 if treatment group for `threshold' std dev of sdw"
by cusip_n: egen trt`threshold'_sdw_neg_grp= max(post`threshold'_sdw_neg)
label var trt`threshold'_sdw_neg_grp ///
"Indicator = 1 if treatment group for `threshold' std dev of sdw"
qui xtset
drop trt_yr_sdw_*
}
/// Continuous measure number of standard deviations
*** Combined
xtset
gen trt_cont_sdw = over_rtg_yoy / sdw
label var trt_cont_sdw "Continuous treatment = over_rtg_yoy / sdw"
*** Positive and negative
* sdw
gen trt_cont_sdw_pos = trt_cont_sdw
replace trt_cont_sdw_pos = . if trt_cont_sdw_pos < 0
label var trt_cont_sdw_pos "Continuous value of trt_cont_sdw if trt_cont_sdw >= 0"
gen trt_cont_sdw_neg = trt_cont_sdw
replace trt_cont_sdw_neg = . if trt_cont_sdw_neg > 0
label var trt_cont_sdw_neg "Continuous value of trt_cont_sdw if trt_cont_sdw <= 0"
/// Categorical measure standard deviations rounded to integer
*** Firm-specific standard deviation
xtset
gen trt_cat_sdw_pos = .
gen trt_cat_sdw_neg = .
foreach threshold in 0 1 2 3 4 5 6 7 {
replace trt_cat_sdw_pos = `threshold' if over_rtg_yoy >= `threshold'*sdw
replace trt_cat_sdw_pos = . if over_rtg_yoy == .
replace trt_cat_sdw_neg = (-1*`threshold') if over_rtg_yoy <= `threshold'*(-1*sdw)
replace trt_cat_sdw_neg = . if over_rtg_yoy == .
}
label var trt_cat_sdw_pos "Categorical treatment = integer of over_rtg_yoy positive std dev from sdw"
label var trt_cat_sdw_neg "Categorical treatment = integer of over_rtg_yoy negative std dev from sdw"
*** These variables should be mutually exclusive except where year-on-year
*** over_rtg change is zero
tab trt_cat_sdw_pos trt_cat_sdw_neg
/*
Categorica |
l |
treatment |
= integer |
of |
over_rtg_y | Categorical treatment
oy | = integer of
positive | over_rtg_yoy negative
std dev | std dev from sdw
from sdw | -7 0 | Total
-----------+----------------------+----------
0 | 0 393 | 393
7 | 121 0 | 121
-----------+----------------------+----------
Total | 121 393 | 514
*/
sum over_rtg_yoy if trt_cat_sdw_pos==7 & trt_cat_sdw_neg==-7
/*
Variable | Obs Mean Std. Dev. Min Max
-------------+---------------------------------------------------------
sdw | 121 0 0 0 0
*/
* No values of the trt_cat_sdw variables are greater than 3 or less than -3
replace trt_cat_sdw_pos = . if trt_cat_sdw_pos > 3
replace trt_cat_sdw_neg = . if trt_cat_sdw_neg < -3
/// REPLACE trt_sdw variables with missing for years without CSRHub data
foreach variable of varlist *sdw* {
display "`variable'"
replace `variable'=. if year < 2009
}
/// FIX MARKER VARIABLES
foreach variable of varlist in_csrhub in_kld in_cstat {
replace `variable'=0 if `variable'==.
}
/// SET PANEL
drop cusip_n
label drop _all
encode cusip, gen(cusip_n)
xtset cusip_n year, y
/// SALES GROWTH VARIABLES
*** Current year minus previous year
gen revt_yoy = revt - l.revt
label var revt_yoy "Year-on-year change in revenue (revt - previous year revt)"
*** Next year minus current year
gen Frevt_yoy = F.revt-revt
label var Frevt_yoy "Next year revt - current year revt"
*** Percent change in sales, current to next year
gen revt_pct = (revt_yoy/L.revt)*100
label var revt_pct "Percent change in revenue, current to previous year"
*************************************************************
* *
* Assess treatment variables distribution and zscores *
* *
*************************************************************
bysort cusip: egen yoy_mean = mean(over_rtg_yoy)
replace yoy_mean=. if over_rtg_yoy==.
bysort cusip: egen yoy_std_dev = sd(over_rtg_yoy)
replace yoy_std_dev=. if over_rtg_yoy==.
gen yoy_zscore = (over_rtg_yoy - yoy_mean) / yoy_std_dev
* Histogram
histogram yoy_zscore, bin(100) percent normal ///
xti("Z-score") xlab(-4(1)4) scheme(plotplain)
*** Remove firms with only two observations on year-on-year change
gen ch1 = (over_rtg_yoy!=.)
bysort cusip: egen ch2=total(ch1)
replace yoy_zscore=. if ch2==2
drop ch1 ch2
* Histogram
histogram yoy_zscore, bin(100) percent normal ///
xti("Z-score") xlab(-4(1)4) scheme(plotplain)
* Example
scatter over_rtg_yoy year if cusip=="00103079", ///
xti("Year") ///
yline(1.974611, lstyle(solid)) ///
ti("Jyske Bank A/S year-on-year change in overall rating.") ///
subti("Solid line is average year-on-year change for the firm." ///
"Treatment at -2 z-score occurs in 2014.")
* Treatment indicators
gen trt1pos = (yoy_zscore>1 & yoy_zscore!=.)
gen trt1neg = (yoy_zscore<-1 & yoy_zscore!=.)
gen trt2pos = (yoy_zscore>2 & yoy_zscore!=.)
gen trt2neg = (yoy_zscore<-2 & yoy_zscore!=.)
gen trt3pos = (yoy_zscore>3 & yoy_zscore!=.)
gen trt3neg = (yoy_zscore<-3 & yoy_zscore!=.)
/* THESE ARE NOT CORRECT ZSCORE CALCULATIONS
gen zscore = over_rtg_yoy/sdw /* This is not how to calculate a zscore */
bysort zscore: gen N=_N
tab N, sort
/*
N | Freq. Percent Cum.
------------+-----------------------------------
135667 | 135,667 76.26 76.26
1 | 40,799 22.93 99.19
457 | 457 0.26 99.45
393 | 393 0.22 99.67
317 | 317 0.18 99.85
100 | 100 0.06 99.91
71 | 71 0.04 99.95
2 | 28 0.02 99.96
21 | 21 0.01 99.97
18 | 18 0.01 99.98
14 | 14 0.01 99.99
7 | 7 0.00 99.99
5 | 5 0.00 100.00
4 | 4 0.00 100.00
------------+-----------------------------------
Total | 177,901 100.00
N = 457 and N = 317 are the problem.
*/
gen ch1=(N==457)
replace ch1=1 if N==317
bysort cusip: egen ch2=max(ch1)
*For some reason, the problem clusters in 2017
tab year if ch1==1
/*
(KLD) Year | Freq. Percent Cum.
------------+-----------------------------------
2009 | 5 0.65 0.65
2010 | 34 4.39 5.04
2011 | 21 2.71 7.75
2012 | 7 0.90 8.66
2013 | 14 1.81 10.47
2014 | 9 1.16 11.63
2015 | 4 0.52 12.14
2016 | 8 1.03 13.18
2017 | 672 86.82 100.00
------------+-----------------------------------
Total | 774 100.00
*/
* Z-score for deviation of over_rtg compared to within-firm standard deviation
histogram zscore, bin(100) percent normal ///
scheme(plotplain) ///
xti("") ///
ti("Number of standard deviations from the within-firm mean" "for each year-on-year change in overall rating") ///
xline(-4 -3 -2 -1 0 1 2 3 4) ///
xlab(-4(1)4)
* Table of descriptive statistics for treatment variables
tab trt1_sdw_pos
tab trt1_sdw_neg
tab trt2_sdw_pos
tab trt2_sdw_neg
tab trt3_sdw_pos
tab trt3_sdw_neg
* Drop firms with problematic zscores resulting from only 2 observations in the data
foreach variable of varlist trt1_sdw_pos trt1_sdw_neg trt2_sdw_pos ///
trt2_sdw_neg trt3_sdw_pos trt3_sdw_neg {
replace `variable'=. if N==457
replace `variable'=. if N==317
replace zscore=. if N==457
replace zscore=. if N==317
}
histogram zscore, bin(100) percent normal ///
scheme(plotplain) ///
xti("") ///
xline(-4 -3 -2 -1 0 1 2 3 4) ///
xlab(-4(1)4)
* Table of descriptive statistics for treatment variables
tab trt1_sdw_pos
tab trt1_sdw_neg
tab trt2_sdw_pos
tab trt2_sdw_neg
tab trt3_sdw_pos
tab trt3_sdw_neg
*/
*** Keep only years with CSRHub data
drop if year>2017
drop if year<2008
compress
*************************************************************
* *
* CREATE INDUSTRY VARIABLE USING 2-DIGIT SIC *
* *
*************************************************************
gen sic2 = substr(sic,1,2)
destring sic2, replace
gen sic2cat=""
replace sic2cat="agforfish" if sic2==1
replace sic2cat="agforfish" if sic2==2
replace sic2cat="agforfish" if sic2==7
replace sic2cat="agforfish" if sic2==8
replace sic2cat="agforfish" if sic2==9
replace sic2cat="mining" if sic2==10
replace sic2cat="mining" if sic2==12
replace sic2cat="mining" if sic2==13
replace sic2cat="mining" if sic2==14
replace sic2cat="construction" if sic2==15
replace sic2cat="construction" if sic2==16
replace sic2cat="construction" if sic2==17