Introduction of Compustat Prof. I-Cheng Yeh

Topic 1: How to download data? Topic 2: How to screen stocks satisfied specific selection rule? Topic 3: How to test the performance of a selection rule?

Topic 1: How to download data? Open the Research Insight Open the Report Assistant  Step 1  Step 2  Step 3 Open the Run Assistant

Start the system You can start the system here.

You can start report assistant here.

Or you can start report assistant here.

report assistant step 1

report assistant step 2

report assistant step 3

“ run assistant ”

Choose the $C set

Choose the $R set

You can save the data set

You can read the formula

Topic 2: How to screen stocks satisfied specific selection rule?

(1) You can start the screen here (2)

You can modify the screen

You can save set and screen

Topic 3: How to test the performance of a selection rule?

The relation between Compustat and our study Indirect approach: Download the data set. Build a prediction model. Return(t)=a*PBR(t-2)+b*ROE(t-2)+c Generate stock selection strategy according to prediction model. Backtest stock selection strategy.

The relation between Compustat and our study Direct approach Backtest stock selection strategy.