introduction of compustat prof. i-cheng yeh. topic 1: how to download data? topic 2: how to screen...
Post on 19-Dec-2015
216 views
TRANSCRIPT
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 Step 1 Step 2 Step 3 Open the Run Assistant
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.