Check the .Rprofile and make sure that you are able to connect to WRDS.
Knit the documents at the project root. You can change this in Rstudio in the
"Knit" drop down menu. I use packrat to
ensure that it is easier to reproduce the results. It should start installing the
packages and exact versions of the packages if you open the US_data_prep.Rproj file.
Do the following in an arbitrary order
- Run
markdown/dl_from_wrds.Rmd. It downloads the data from WRDS. - Run
markdown/moodys.Rmdto create the needed data from Moody's Default and Recovery Database.
Run markdown/mapping.Rmd to create the map between permno and Moody's
firm identifier.
Do the following in an arbitrary order
- Run
markdown/distance-to-default.Rmdto calculate the distance-to-default. - Run
markdown/market-data.Rmdto calculate other market based variables.
Run markdown/merging.Rmd to create the final data set.
The Moody's Default & Recovery Database that is used is from October 2016.
I am not sure how much the database changes from version to version but
if it does change then this may break the code. The markdown/mapping.Rmd
file will need to be updated regardless of whether the structure of the
database do change as it contains some hard-coded matches.
There are some very elementary comments throughout the code. E.g., what is
a permno and permco. The code was written when
boennecd had limited experience the databases
and is left in for now.