Using SAS in Financial Research [Paperback]

Ekkehart Boehmer (Author), John Paul Broussard (Author), Juha-Pekka Pekka (Author)

Book Description

ISBN-10: 1590470397 | ISBN-13: 978-1590470398 | Publication Date: February 6, 2002

Researchers, graduate students, and practitioners in the financial market now have the first reference-style handbook detailing the mechanics of statistical testing on financial and accounting data. This one-of-a-kind book illustrates how to use SAS software to conduct basic empirical analyses of stock market and financial statement data. It covers various research topics, including investigating the predictability of stock returns, estimating the risk of common stock, and analyzing the impact of earnings and other financial statement information. The use of the SAS language to investigate these issues is demonstrated with numerous real-world examples employing traditional to state-of-the-art analytical estimation techniques. Main topics covered are variance ratio testing, capital asset pricing model, event studies, value versus growth, earnings response coefficients, and microstructure analysis. Readers will find the merging of theoretical and practical concepts unique and informative.

Editorial Reviews

Review

I highly recommend this to knowledgeable researchers, graduate students, and financial practitioners as a valuable asset for their financial tools. -- Charles Patridge, The Hartford

I really enjoyed this book. Everything is thoroughly explained with easy-to–-follow, well-chosen examples to teach the subject. -- Andrea Wainwright PhilaSUG Executive Committee Member

About the Author

Ekkehart Boehmer

Ekkehart Boehmer is a Director of Research at the New York Stock Exchange. Previously, he has held a Heisenberg Research Fellowship awarded by the German Science Foundation (DFG). He has also worked as an Economic Fellow at the U.S. Securities and Exchange Commisssion and as an Assistant Professor at Humboldt University, Berlin, Germany, and Louisiana State University. Dr. Boehmer received a Ph.D. in Finance and an M.A. in Economics from the University of Georgia. He has published in the Journal of Finance and the Journal of Financial Economics. His recent research synthesizes market microstructure considerations and corporate finance. Several previous papers analyze methodological issues in financial research, security issues, and the German corporate governance system.

John Paul Broussard

John Paul Broussard is an Assistant Finance Professor at Rutgers University where he teaches courses in investments and corporate finance. Dr. Broussard's academic research in international investments and extreme value statistical properties of asset prices has been published in Management Science, the Journal of Financial Services Research, the Quarterly Review of Economics and Finance, the European Journal of Operational Research, and other Millsaps College. Dr. Broussard has won various teaching awards in his career and has taught CFA study review courses since 1999 in Europe and the United States. He is a CFA Charterholder and a Certified Financial Risk Manager.

Juha-Pekka Kallunki

Juha-Pekka Kallunki is a Professor of Financial Accounting in the Department of Accounting and Finance at the University of Oulu, Finland. In 1996, he received a Ph.D. (Econ) in accounting and finance from the University of Vaasa, Finland. His publications include 27 refereed articles in such scientific journals as the Journal of International Financial Markets, Institutions and Money, the Journal of International Mondy and Finance, the Journal of Multinational Financial Management, the Journal of Business Finance and Acounting, and the International Journal of Accounting. Dr. Kallunki's published and current research covers the areas of stock market microstructure, asset pricing, investment strategies, and stock market response to accounting information.

Product Details

• Paperback: 184 pages
• Publisher: SAS (February 6, 2002)
• Language: English
• ISBN-10: 1590470397
• ISBN-13: 978-1590470398
• Product Dimensions: 10.7 x 8.3 x 0.4 inches
• Shipping Weight: 14.9 ounces (View shipping rates and policies)
• Average Customer Review: 3.2 out of 5 stars  See all reviews (4 customer reviews)
• Amazon Best Sellers Rank: #371,131 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

15 of 15 people found the following review helpful:

4.0 out of 5 stars Read-to-use SAS code in financial research, November 26, 2004

By 

Gadgester "No Time, No Money" (Mother Earth) - See all my reviews
(HALL OF FAME REVIEWER)   

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This review is from: Using SAS in Financial Research (Paperback)

SAS, like income tax and Microsoft Office, is a necessary evil in the daily existence of a well-educated but poor white-collar worker such as myself. I've used SAS for many years and I'm a fairly good programmer (though not a profesional one0, but I still get frustrated over SAS all the time. The way the data steps work just kills my imagination and motivation.

The present book offers some relief in the form of ready-to-use code segments for various topics in financial research. It's a thin volume at 150 pages, so its usefulness and coverage are limited. Covered topics include variance ratio testing in a random walk model, building event study code, and (most useful of the bunch) processing stock transaction data and running VAR regressions.

Of course, if you are using SAS, chances you are smart enough to figure out most of the stuff on your own, but the book serves two good purposes: 1) to save us the time and frustrations of working with SAS, and 2) to help the SAS beginner learn how to think in SAS and program in SAS. This is NOT a SAS primer. Each chapter dives into the topic right away, first offering some research background (e.g., what is a random walk) and then offering detailed analysis of the sample code.

In the end, it's the SAS code collection in this book that wins the book 4 stars from this harsh book critic. There are a few errors but no hideous hidden bugs. If you want to use SAS to quickly carry out some financial research, this book may be right for you. On the other hand, it doesn't cover a lot, so those looking for a more comprehensive code compendium will be disappointed.

4 of 4 people found the following review helpful:

3.0 out of 5 stars Useful only if you have some SAS background, May 2, 2008

By 

N. Tuzov "Nik Tuzov" (Illinois, USA) - See all my reviews
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This review is from: Using SAS in Financial Research (Paperback)

When someone writes a good introductory book like "Matlab for Engineers", they don't restrict themselves to providing a bunch of Matlab codes for a range of typical Engineering problems with a very brief explanation of Matlab language itself. A decent language tutorial is a necessary part of the package. It is even more desirable for a Finance-oriented SAS book because SAS language is more arcane than that of Matlab (for instance, SAS DATA step language is different from that used in SAS macros).

If the authors of this book had organized it this way, it would have been a great publication, and priced at least $65, too. Unfortunately, almost no SAS language tutorial has been included (and fairly enough, the price is much lower - that's why I'm giving it more than 2 stars).

The bottom line is that if you have no SAS background you should start with something like The Little SAS Book: A Primer, Third Edition. Then, if you feel you need to know more about SAS macros, try SAS Macro Programming Made Easy, Second Edition. Only after that decent introduction does it make sense to open this book.

2 of 2 people found the following review helpful:

2.0 out of 5 stars Only a few examples; no mass appeal, May 10, 2007

By 

Brett Jiu "Abcot Press" (New England, USA) - See all my reviews
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This review is from: Using SAS in Financial Research (Paperback)

I don't understand why the other three reviewers liked this slim volume. It just has a few code examples covering a handful of niche topics that I feel few people know or care about. Financial research is a really rich and diverse field, ranging from accounting to options pricing to technical analysis. This book covers a minimal amount of topics. I don't think this is helpful at all. If someone could write a "SAS cookbook" a la "Perl Cookbok" that would be great.