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(R) Super Efficient Event Study Code

(R) Super Efficient Event Study Code

A highly efficient (>10x speedup) and concise (core part is less than 40 lines) event study R program that replicates WRDS’s SAS version.

Nailing down the earnings event time to the millisecond

Nailing down the earnings event time to the millisecond

Pin down the earnings event to the millisecond by combining Captial IQ and RavenPack

How to Parse 10K and 10Q

How to Parse 10K and 10Q

How to extract items from 10K/Q files

Transformers (deep learning models) are better at predicting the tail distribution

Transformers (deep learning models) are better at predicting the tail distribution

In a PEAD prediction setting, I found Transformers are better at predicting the tail distribution