Typos in Net-Debt-Finance, Net-Equity-Finance, Net-External-Finance

[chenandrewy]

A helpful doctoral student writes:

Hi Mr. Chen,

my name is Julian Böll, I am a doctoral student from Karlsruhe Institute of Technology in Germany and a big fan of your Open Asset Pricing project.

For our research project, I am currently replicating the majority of asset pricing anomalies myself and use the results of HXZ and Open Asset Pricing as sanity checks. In the process I stumbled across some inconsistencies in your code regarding the above mentioned anomalies.

Bradshaw, Richardson, Sloan (2006) write on page 9: "∆XFIN = ∆EQUITY + ∆DEBT. ∆EQUITY represents net cash received from the sale (and/or purchase) of common and preferred stock less cash dividends paid (COMPUSTAT annual data item 108 less COMPUSTAT annual data item 115 less COMPUSTAT annual data item 127). ∆DEBT represents net cash received from the issuance (and/or reduction) of debt (COMPUSTAT annual data item 111 less COMPUSTAT annual data item 114 plus COMPUSTAT annual data item 301).”

Now your code from the GitHub site:

1. In the NetEquityFinance line Compustat Item 127 “DV” is missing.
2. In the NetDebtFinance line you are subtracting “DLCCH" instead of adding it up.
3. In the XFIN line “DV" suddenly appears but “DLCCH" suddenly disappears.

These are just minor adjustments and the results should mostly stay the same, but I wanted to point them out nevertheless in order to support your open source project.

Kind regards from Germany, Julian Böll

[lena-will]

fixed in "Typos in Net-Debt-Finance, Net-Equity-Finance, Net-External-Finance"

[tomz23]

Fixed here https://github.com/OpenSourceAP/CrossSection/pull/129/commits/f097c04d0e61c2aad062659cdcce061976bf0328