程序代做CS代考 Excel CORPFIN 2503 – Business Data Analytics

CORPFIN 2503 – Business Data Analytics

2021 S2, Workshop 1: Introduction to data analytics

£ius

1 Introduction to Re�nitiv Eikon

Re�nitiv Eikon is a very rich source of �nancial information. Let’s consider Com-

monwealth Bank. Enter CBA.AX in the top left corner of EIKON window. What

information can be found about CBA on EIKON?

Next, we will download cross-sectional data about �rms listed on ASX to Excel

using Screener application ( tab in Excel). For Task 5, you will

need the following variables:

� dividend yield

� leverage (Total Debt to Total Equity, Percent)

� beta

� pro�t (Net Income After Taxes)

� ROA (ROA Total Assets, percent)

� current ratio

� net pro�t margin (Net Pro�t Margin, (%))

� historic P/E ratio

� revenue growth (revenue – SmartEstimate growth (this year vs last year)).

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2 Introduction to SAS

Example of data statement:

DATA work.car_data;

SET SAShelp.Cars;

RUN;

Example of procedure:

PROC MEANS DATA=work.car_data;

VAR discount;

RUN;

Let’s identify SUVs made in the USA with a discount greater than average using

a data�le provided by SAS:

/* Creating data file: */

DATA work.car_data;

SET SAShelp.Cars;

RUN;

/* Creating a new variable: */

DATA work.car_data;

SET work.car_data;

discount=MSRP/Invoice-1;

RUN;

/* Statistical properties of `discount’: */

PROC MEANS DATA=work.car_data;

VAR discount;

RUN;

PROC UNIVARIATE DATA=work.car_data;

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VAR discount;

RUN;

/* Dropping a variable: */

DATA work.car_data;

SET work.car_data;

DROP Wheelbase;

RUN;

/* or */

DATA work.car_data;

SET work.car_data (DROP = Wheelbase);

RUN;

/* Let’s create another data file (work.car_data2) with only SUVs

made in the USA with a discount greater than average: */

DATA work.car_data2;

SET work.car_data;

IF type=”SUV”;

IF Origin=”USA”;

IF discount>0.0882416;

RUN;

PROC PRINT DATA=work.car_data2;

RUN;

The code above is available on MyUni as ‘SAS_code_for_Workshop_1.sas’.

3 Get access to SAS OnDemand for Academics (at

home)

Follow instructions available on MyUni course website (under `SAS Software’).

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4 Familiarize yourself with 5 main windows (at home

and in the Lab)

Follow Chapter 2 of the textbook and familiarize yourself with 5 main windows:

Results, Explore, Output, Log, and Editor.

5 Identify `value’ stocks traded on ASX (at home)

Suppose you are a portfolio manager and you have been asked by your client to

identify `value’ stocks traded on ASX. `Value’ stocks have stable cash �ows, low

growth, and less risk. `Growth’ stocks feature volatile cash �ows, high earnings

or sales growth and are riskier. Historically, `value’ stocks outperformed `growth’

stocks. You will learn more about `value’ and `growth’ investments in CORPFIN

3501 Portfolio Theory and Management II course. In the analysis, use the data

downloaded from Re�nitiv (Task 1).

To identify growth stocks, you decided to follow a methodology somewhat similar

to one in Piotroski (2000) `The Use of Historical Financial Statement Information

to Separate Winners from Losers’ (https://www.jstor.org/stable/2672906). To

keep things simple, assume that `value’ stocks should have:

� non-zero dividends

� leverage (debt-to-equity ratio) smaller than average

� beta below average

� positive net income after taxes

� ROA above median

� current ratio above median

� net pro�t margin above median

� historic P/E ratio below average

� non-negative revenue growth but smaller than median.

Suggested steps:

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https://www.jstor.org/stable/2672906

1. Copy/paste (values only) the table (generated in Task 1) to a new Excel �le

(to the top left corner).

2. Delete the third column as its values are the same (ASX – ALL MARKETS).

3. Change the column names to:

� ticker

� company_name

� dividend_yield

� leverage

� beta

� pro�t

� roa

� current_ratio

� pro�t_margin

� p_e

� revenue_growth.

4. Replace NULL and NaN with dots using Excel Replace function (CTRL+H).

5. Save the �le as ASX.csv.

6. Import ASX.csv into SAS:

(a) In the Financial Markets Lab (using SAS):

PROC IMPORT OUT= WORK.ASX

DATAFILE= “\ASX.csv”

/* E.g., DATAFILE= “D:\Documents\Workshop_1\ASX.csv” */

DBMS=CSV REPLACE;

GETNAMES=YES;

DATAROW=2;

RUN;

(b) At home (using SAS OnDemand for Academics): �rst, upload ASX.csv

�le to the SAS server (see uploading-accessing-local-data.pdf �le which

has been posted on MyUni), then

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PROC IMPORT OUT= WORK.ASX

DATAFILE= “/home//ASX.csv”

/* In my case, DATAFILE= “/home/sigitaskarpavic0/ASX.csv” */

DBMS=CSV REPLACE;

GETNAMES=YES;

DATAROW=2;

RUN;

7. Compute mean and median values for relevant variables.

8. Remove �rms with missing values for �nancial variables. For example:

DATA work.ASX;

SET work.ASX;

IF dividend_yield ne .;

RUN;

`ne’ means not equal.

9. Eliminate �rms with zero dividends.

10. Retain �rms with:

� leverage below mean

� beta below mean

� positive pro�t

� ROA above median

� current ratio above median

� pro�t margin above median

� P/E ratio below mean

� non-negative revenue growth but below median.

11. `Print’ the remaining �rms.

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Introduction to
Introduction to SAS
Get access to SAS OnDemand for Academics (at home)
Familiarize yourself with 5 main windows (at home and in the Lab)
Identify `value’ stocks traded on ASX (at home)