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 approachBacktest stock selection strategy.