## Mathematics and statistics

SAS Assignment (7 points): Replication of figure and descriptive statistics for earnings-returns relation (Association)

Provide your SAS program (.sas format) and outputs from PROC SGPLOT and PROC MEANS (copied to MS Word, formatted in a printer-friendly version) for the following:

-The sample of firm-month observations from Compustat/CRSP (CCM1 file joined to CCM2 file).

-Only include observations with December year-ends and with non-missing values for changes in earnings, changes in operating cash flow, and market capitalization deciles. BONUS Point: Also require the count of non-missing API values from month -12 to month 0 to = 13 (all monthly returns are available for the year).

-Include descriptives (PROC MEANS) for the following variables for two separate sample periods: the sample of firm-months with fiscal years ending in December 1988 – December 1997 and December 2006 – December 2015:

1. Change in income before extraordinary items scaled by average total assets (ΔROA)
2. Change in operating cash flow scaled by average total assets (ΔOCF)
3. Indicator variable (=1) for firms with increases in earnings, and = 0 otherwise
4. Indicator variable (=1) for firms with increases in operating cash flow, and = 0 otherwise
5. Market capitalization decile (CAPN)
6. Monthly unadjusted API values
7. Monthly market-adjusted API values
8. Monthly size-adjusted API values

-Present statistics for: Mean, Standard Deviation, Minimum value, 1st quartile, Median, 3rd quartile, Maximum value, and Number of observations

-Using PROC SGPLOT, create three different figures that each have 5 lines: one line for the full sample, one line for the earnings increase sample, one for the earnings decrease sample, one line for the OCF increase sample, and one line for the OCF decrease sample (similar to Ball and Brown, Figure 1) using the samples you created above in the PROC MEANS step:

1. a) A figure for the 1988-1997 period where Month_Diff is on the x-axis and Mean Unadjusted API is on the y-axis.
2. b) A figure for the 1988-1997 period where Month_Diff is on the x-axis and Mean Market-adjusted API is on the y-axis.
3. c) A figure for the 2006-2015 period where Month_Diff is on the x-axis and Mean Size-adjusted API is on the y-axis.

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