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OpenSourceAP / CrossSection

Code to accompany our paper Chen and Zimmermann (2020), "Open source cross-sectional asset pricing"
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3604626
GNU General Public License v2.0
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Fama-French 48 industry - ffind #13

Closed mk0417 closed 3 years ago

mk0417 commented 4 years ago

I had a look the source code offfind comand. And the behavior of ffind has a minor difference from FF48 industry from French data library. ffind groups all sic codes which are not sitting in any of the 47 industries to Other (Almost Nothing) industry. However, FF48 defines Other industry as below:

4950-4959 
4960-4961 
4970-4971 
4990-4991

ffind includes the following sic codes in Other industry: 900, 3990, 6797, 9995, 9997. Those sic codes are not in FF48 Other industry.

For your information, two files call ffind command: Stata/14_PrepareAnnualCS.do and Stata/30_CreateSignalsNoFilterVersion.do.

jacaskey commented 4 years ago

@mk0417 you are correct regarding the industries 900, 3990, 6797, 9995, 9997. The 48-industry file on Kenneth French's website does not define these industries, at all, so the code I wrote put them in the "other" category rather than leave them unassigned to any of the industry groupings.

OpenSourceAP commented 4 years ago

Thanks @mk0417 @jacaskey ! I think we can leave it as is and add a note to the documentation.

chenandrewy commented 3 years ago

added to FAQ