Retrieves trading volume from the crsp stock database.
BINARY Selects an output file format identical to the TEXT format, except that the volume data are written in real binary (sas format FLOAT4.). EXCHCODE Adds the exchange listing code from the crsp name history array, under variable name exchange code, to the output data set spec- ified by the option OUTSAS=. See CRSP stock database documentation for a listing of exchange codes.
EXTFILE= Gives the sas file shortcut (fileref) to a text file in which Event- us is to store the volume data, if applicable. The argument of EXTFILE may be a file name instead of a fileref, in which case it may include the path but may not any blank or period. When a file name is specified, a .dat extension may be added to the file name by sas. The EXTFILE option is not for use with the VSAS and HSAS options, which select sas data set output.
HSAS Selects a “horizontal format” output sas data set. Specify the sas data set name using the OUTSAS= option. The data set will contain as many of the following variables as applicable: vol1 through volnnn, PERMNO, eventda1, eventda2, shares and any identification variable you list on the REQUEST statement.
eventda1 and eventda2 are sas date variables representing the begin- ning and ending trading days of the interval you request. The one to three digit number nnn is the maximum number of trading days re- trieved. For example, if the number of trading days requested ranges from two for some firms to 90 for others, nnn is 90. For a firm in this example with only two trading days, vol3 through vol90 contain missing values. Because the sas system stores a large amount of infor- mation on each variable for its own use, a horizontal format data set occupies considerably more file space than a vertical format data set. NASDINFO Retrieves trading status trait code, nms indicator and market
maker count from the Nasdaq information arrays of the crsp database. Valid only when SHARES (see below) is a valid option.
NONAMES Suppresses the list of permnos or cusips, firm names, and number of estimation and event period returns available. The default is to produce the list.
OUTSAS= Gives the two-level sas name (libname.membername) in which to store the volume data, if applicable. The first part of the two-level name can be work for a temporary data set that exists only until sas is closed, or a user-defined sas library name (libref) that points to a folder or directory in which to save the data set. In either case, the data set is created if it does not exist already, or replaced if it does exist.
SHARES Selects to include the number of shares outstanding on the event date, (in thousands if from the crsp database), in the output file. This option is ignored unless either NDAYS=1 is specified on the REQUEST statement or VSAS is specified on the VOLUME statement.
SHRCODE Causes Eventus to store the two-digit share type code from the crsp name history array as the variable ShrCode in the OUTSAS data set, if one is created.
SIC Causes Eventus to read the sic code from the crsp database and to add the variable SICCode to any output sas data set.
SPLITADJ Causes Eventus to adjust for stock splits, reverse splits, and stock dividends using distribution data from the crsp database (or user-supplied distribution data set in the SASNONCRSP method). The adjustment takes place only within the dates from the current row of the request file. For splits and stock dividends occurring after the starting date of the current request file row, Eventus multiplies share volume by a split factor, and divides shares outstanding (if selected) by the same factor. The split factor is equal to 1.0 on the first requested date and is cumulative within the dates from the current request file row. The split factor changes by a factor of (one plus the crsp “factor to adjust price”) each time there is a split or stock dividend. The split factor (variable SplFac) is added to any output sas data set. The SPLITADJ option is not supported with the HSAS output option.
TEXT This is the default. Eventus writes the prices to a text file. The data are arranged in columns, with each row reporting the permno, identification variable if applicable, date, and volume. All the data for the first stock are listed, with each trading day on its own row, followed by all the data for the second stock, and so on.
Specify the sas file shortcut (fileref) to which to write the prices with the EXTFILE= option on the VOLUME statement.
TRADES Specifies that the number of trades on each date should be read from the Supplemental Nasdaq Data Arrays and included in the output file.
VSAS Selects a “vertical format” for the output sas data set. Specify the sas data set name using the OUTSAS= option. The following variables are included in the data set: PERMNO, CUSIP if the CUSIPERM option is in effect, crspday1, date, Volum, Shares when applicable, and any identification variable you list on the REQUEST statement. crspday1 is the crsp-style day, month, etc. number for the beginning date you request; Date is the actual date of the volume figure, recorded as a sas date variable. Volum is the trading volume in shares, and Shares is the number of shares outstanding in thousands.
There is one observation in the sas data set for each trading day in the interval you request. The VSAS output is versatile and particularly recommended if you plan to process the data with a sas program that uses by variable techniques.