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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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VOLUME in Corwin_Schultz_Edit.sas #55

Closed xiaoqyaoyao closed 2 years ago

xiaoqyaoyao commented 2 years ago

There should be a sentence 'VOLUME=vol;' in the first block code. Otherwise, VOLUME is uninitialized.

chenandrewy commented 2 years ago

Thanks @xiaoqyaoyao. We'll take a look when we update in a couple months.

chenandrewy commented 2 years ago

Fixed in 52e88fb9ccbff69f6a255ed39b7fa0a356aa0430. Volume only used to screen observations, so I think the change will be relatively minor, but thank you for catching this @xiaoqyaoyao!