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.Rprofile

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+source("renv/activate.R")

.gitignore

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+.Rproj.user
+.Rhistory
+.RData
+.Ruserdata

Code/1a. Simulations - Save Data.R

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+library(tidyverse)
+library(RPostgres)
+library(fixest)
+library(e1071)
+library(kableExtra)
+library(ggthemes)
+library(patchwork)
+library(did)
+library(furrr)
+library(latex2exp)
+library(bacondecomp)
+library(ggforce)
+library(fastDummies)
+library(progressr)
+
+# source my passwords
+source('/Users/andrew/Box Sync/Projects/Passwords/Password.R')
+
+# Connect to WRDS Server --------------------------------------------------
+wrds <- dbConnect(Postgres(),
+                  host = 'wrds-pgdata.wharton.upenn.edu',
+                  port = 9737,
+                  user = user,
+                  password = password,
+                  dbname = 'wrds',
+                  sslmode = 'require')
+
+# download compustat data
+comp <- tbl(wrds, sql("SELECT gvkey, fyear,  oibdp, at, indfmt, datafmt, popsrc, consol, fic, sich FROM comp.funda")) %>%
+  # filter the data - between 1979 and 2015, non-missing assets, and in the US
+  filter(indfmt == 'INDL' & datafmt == 'STD' & popsrc == 'D' & consol == 'C' & !is.na(fyear) & 
+           fyear %>% between(1979, 2015) & !is.na(at) & at > 0 & fic == "USA") %>% 
+  # make ROA variable
+  group_by(gvkey) %>% 
+  mutate(roa = oibdp / lag(at),
+         gvkey = as.numeric(gvkey)) %>% 
+  # drop missing ROA
+  filter(!is.na(roa)) %>% 
+  # drop 1979 observations - just needed lagged assets
+  filter(fyear >= 1980) %>% 
+  ungroup() %>% 
+  collect()
+
+# download comp header which has more info on location etc
+comp_header <- tbl(wrds, sql("SELECT * FROM crsp.comphead")) %>% 
+  mutate(gvkey = as.numeric(gvkey)) %>% 
+  collect()
+
+# merge in state of incorporation and industry information
+comp <- comp %>% 
+  left_join(comp_header %>% select(gvkey, incorp, sic)) %>% 
+  # drop if state of incorporation is missing or not 50 states
+  filter(!is.na(incorp) & incorp %in% state.abb) %>% 
+  # clean up SIC code - use historical sic code if available, if not use header sic
+  mutate(sich = coalesce(sich, sic)) %>% 
+  # drop financial firms
+  filter(!(sich %in% c(6000:6999)))
+
+# make sure that each firm has at least 5 observations
+comp <- comp %>% 
+  group_by(gvkey) %>% 
+  add_tally() %>% 
+  filter(n >= 5) %>% 
+  ungroup()
+
+# winsorize ROA at 99, and censor at -1
+wins <- function(x) {
+  # winsorize and return
+  case_when(
+    is.na(x) ~ NA_real_,
+    x < -1 ~ -1,
+    x > quantile(x, 0.99, na.rm = TRUE) ~ quantile(x, 0.99, na.rm = TRUE),
+    TRUE ~ x
+  )
+}
+
+# winsorize ROA by year
+comp <- comp %>% 
+  group_by(fyear) %>% 
+  mutate(roa = wins(roa)) %>% 
+  arrange(gvkey, fyear) %>% 
+  ungroup()
+
+# save
+saveRDS(comp, here::here("Data", "simulation_data.rds"))