├── CSMAR Cleaning.do ├── CSMAR CtrlVars Cleaning Log.smcl ├── ControlVarsDetail.dta ├── Image ├── Figure2.png └── tmp.txt ├── LICENSE └── README.md /CSMAR Cleaning.do: -------------------------------------------------------------------------------- 1 | log using "CSMAR CtrlVars Cleaning Log", replace name(ShutterZorADXMU20241231) 2 | * ============================================================= 3 | /* Author Information */ 4 | 5 | * Name: Shutter Zor（左祥太） 6 | * Email: Shutter_Z@outlook.com 7 | * Affiliation: Accounting Department, Xiamen University 8 | * Date: 2024/12/31 9 | * Version: V3.0 10 | 11 | * ============================================================= 12 | 13 | 14 | 15 | /* 常用控制变量数据清洗教程（ControlVarsDetail.dta）*/ 16 | /* 说明：本次样本为所有上市公司2001-2023（含2001与2023）的数据 */ 17 | 18 | 19 | 20 | ******************************************************************************** 21 | // 开始时间记录： 22 | dis "`c(current_date)' `c(current_time)'" 23 | 24 | *- 清洗上市公司基本信息数据 25 | /* 包含变量：STKCD STKNM YEAR INDCD INDNM PROVCD PROVNM CITYCD CITYNM MARKET STATE AGE */ 26 | 27 | import excel using "DataA-Original/STK_LISTEDCOINFOANL.xlsx", first clear 28 | labone, nrow(1 2) concat("_") 29 | drop in 1/2 30 | 31 | *- 生成变量 - 观测年份 32 | gen YEAR = substr(EndDate,1,4) 33 | destring YEAR, replace 34 | 35 | *- 生成变量 - 成立年份至观测年份的 AGE1 36 | gen EstablishYear = substr(EstablishDate,1,4) 37 | destring EstablishYear, replace 38 | gen AGE1 = YEAR - EstablishYear 39 | 40 | *- 生成变量 - 上市年份至观测年份的 AGE2 41 | gen ListingYear = substr(LISTINGDATE,1,4) 42 | destring ListingYear, replace 43 | gen AGE2 = YEAR - ListingYear 44 | drop if AGE2 < 0 // 去掉部分不合理的观测样本 45 | 46 | *- 生成变量 - 股票市场板块 MARKET 47 | gen MARKET = "深证主板A股" if substr(Symbol,1,2) == "00" 48 | replace MARKET = "深证创业板" if substr(Symbol,1,2) == "30" 49 | replace MARKET = "深证B股" if substr(Symbol,1,2) == "20" 50 | replace MARKET = "上证主板A股" if substr(Symbol,1,2) == "60" 51 | replace MARKET = "上证科创板" if substr(Symbol,1,2) == "68" 52 | replace MARKET = "上证B股" if substr(Symbol,1,2) == "90" 53 | replace MARKET = "北证A股" if substr(Symbol,1,2) == "43" | substr(Symbol,1,2) == "83" | substr(Symbol,1,2) == "87" 54 | 55 | *- 重命名变量 56 | rename (Symbol ShortName IndustryName IndustryCode PROVINCECODE PROVINCE CITYCODE CITY LISTINGSTATE) (STKCD STKNM INDNM INDCD PROVCD PROVNM CITYCD CITYNM STATE) 57 | 58 | *- 保留有效变量 59 | keep STKCD STKNM YEAR INDCD INDNM PROVCD PROVNM CITYCD CITYNM MARKET STATE AGE1 AGE2 60 | 61 | *- 补充变量标签 62 | label var YEAR "观测年份" 63 | label var MARKET "股票市场板块" 64 | label var AGE1 "从成立年份到观测年份的年龄" 65 | label var AGE2 "从上市年份到观测年份的年龄" 66 | 67 | *- 排序与保存数据 68 | order STKCD STKNM YEAR INDCD INDNM PROVCD PROVNM CITYCD CITYNM MARKET STATE AGE1 AGE2 69 | label data "基本信息相关变量11+年龄 - From Shutter Zor" 70 | save "DataB-Hub/Data1.dta", replace 71 | 72 | /* 本部分生成的 Data1 用于后续合并 */ 73 | /* STKCD STKNM YEAR INDCD INDNM PROVCD PROVNM CITYCD CITYNM MARKET STATE AGE */ 74 | 75 | // 结束时间记录： 76 | dis "`c(current_date)' `c(current_time)'" 77 | ******************************************************************************** 78 | 79 | 80 | 81 | ******************************************************************************** 82 | // 开始时间记录： 83 | dis "`c(current_date)' `c(current_time)'" 84 | 85 | *- 清洗财务报表相关数据 86 | /* 包含变量：CFO GROWTH LEV MFEE OCCUPY ROA ROE SIZE TAT */ 87 | 88 | *- 资产负债表 89 | import excel using "DataA-Original/FS_Combas.xlsx", first clear 90 | labone, nrow(1 2) concat("_") 91 | drop in 1/2 92 | 93 | *- 仅保留合并报表数据 94 | keep if Typrep == "A" // A为合并报表，B为母公司报表 95 | 96 | *- 仅保留年报数据 97 | keep if substr(Accper,6,2) == "12" // 12月的年报 98 | 99 | *- 重命名变量 100 | rename (Stkcd ShortName A001121000 A001000000 A002000000 A003000000) (STKCD STKNM 其他应收款 总资产 总负债 所有者权益) 101 | 102 | *- 生成变量 - 观测年份 103 | gen YEAR = real(substr(Accper,1,4)) 104 | 105 | *- 生成变量 - 资产负债率 LEV 106 | destring 总负债 总资产, replace // 转为数值变量，方便计算 107 | gen LEV = 总负债 / 总资产 108 | 109 | *- 生成变量 - 大股东资金占用 OCCUPY 110 | destring 其他应收款, replace 111 | gen OCCUPY = 其他应收款 / 总资产 112 | 113 | *- 生成变量 - 公司规模 SIZE 114 | gen SIZE = ln(总资产) 115 | 116 | *- 保留有效变量 117 | keep STKCD STKNM 总资产 所有者权益 YEAR LEV OCCUPY SIZE 118 | 119 | *- 补充变量标签 120 | label var YEAR "观测年份" 121 | label var LEV "资产负债率" 122 | label var OCCUPY "大股东资金占用" 123 | label var SIZE "公司规模" 124 | 125 | *- 保存数据 126 | label data "资产负债表数据 - From Shutter Zor" 127 | save "DataB-Hub/Data2.dta", replace 128 | 129 | *- 利润表 130 | import excel using "DataA-Original/FS_Comins.xlsx", first clear 131 | labone, nrow(1 2) concat("_") 132 | drop in 1/2 133 | 134 | *- 仅保留合并报表数据 135 | keep if Typrep == "A" // A为合并报表，B为母公司报表 136 | 137 | *- 仅保留年报数据 138 | keep if substr(Accper,6,2) == "12" // 12月的年报 139 | 140 | *- 重命名变量 141 | rename (Stkcd ShortName B001101000 B001210000 B002000000) (STKCD STKNM 营业收入 管理费用 净利润) 142 | 143 | *- 生成变量 - 观测年份 144 | gen YEAR = real(substr(Accper,1,4)) 145 | 146 | *- 生成变量 - 营业收入增长率 GROWTH 147 | destring 营业收入, replace 148 | egen STKID = group(STKCD) 149 | xtset STKID YEAR 150 | bys STKID: gen GROWTH = (营业收入 - L.营业收入) / L.营业收入 151 | 152 | *- 生成变量 - 管理层费用率 MFEE 153 | destring 管理费用, replace 154 | gen MFEE = 管理费用 / 营业收入 155 | 156 | *- 保留有效变量 157 | keep STKCD STKNM YEAR 营业收入 净利润 GROWTH MFEE 158 | 159 | *- 补充变量标签 160 | label var YEAR "观测年份" 161 | label var GROWTH "营业收入增长率" 162 | label var MFEE "管理层费用率" 163 | 164 | *- 保存数据 165 | label data "利润表数据 - From Shutter Zor" 166 | save "DataB-Hub/Data3.dta", replace 167 | 168 | *- 现金流量表 - 直接法 169 | import excel using "DataA-Original/FS_Comscfd.xlsx", first clear 170 | labone, nrow(1 2) concat("_") 171 | drop in 1/2 172 | 173 | *- 仅保留合并报表数据 174 | keep if Typrep == "A" // A为合并报表，B为母公司报表 175 | 176 | *- 仅保留年报数据 177 | keep if substr(Accper,6,2) == "12" // 12月的年报 178 | 179 | *- 重命名变量 180 | rename (Stkcd ShortName C001000000) (STKCD STKNM 经营活动产生的现金流净额直接法) 181 | 182 | *- 生成变量 - 观测年份 183 | gen YEAR = real(substr(Accper,1,4)) 184 | 185 | *- 保留有效变量 186 | keep STKCD STKNM YEAR 经营活动产生的现金流净额直接法 187 | 188 | *- 补充变量标签 189 | label var YEAR "观测年份" 190 | 191 | *- 保存数据 192 | label data "现金流量表数据直接法 - From Shutter Zor" 193 | save "DataB-Hub/Data4.dta", replace 194 | 195 | *- 现金流量表 - 间接法 196 | import excel using "DataA-Original/FS_Comscfi.xlsx", first clear 197 | labone, nrow(1 2) concat("_") 198 | drop in 1/2 199 | 200 | *- 仅保留合并报表数据 201 | keep if Typrep == "A" // A为合并报表，B为母公司报表 202 | 203 | *- 仅保留年报数据 204 | keep if substr(Accper,6,2) == "12" // 12月的年报 205 | 206 | *- 重命名变量 207 | rename (Stkcd ShortName D000100000) (STKCD STKNM 经营活动产生的现金流净额间接法) 208 | 209 | *- 生成变量 - 观测年份 210 | gen YEAR = real(substr(Accper,1,4)) 211 | 212 | *- 保留有效变量 213 | keep STKCD STKNM YEAR 经营活动产生的现金流净额间接法 214 | 215 | *- 补充变量标签 216 | label var YEAR "观测年份" 217 | 218 | *- 保存数据 219 | label data "现金流量表数据间接法 - From Shutter Zor" 220 | save "DataB-Hub/Data5.dta", replace 221 | 222 | *- 合并资产负债表、利润表、现金流量表数据，并计算相关变量 223 | // 2024/12/31 开始，取消 “仅保留合并上的结果，即取消 keep if _merge == 3” 224 | use "DataB-Hub/Data2.dta", clear 225 | 226 | *- 合并利润表 227 | merge 1:1 STKCD YEAR using "DataB-Hub/Data3.dta" 228 | drop _merge 229 | 230 | *- 合并现金流量表直接法 231 | merge 1:1 STKCD YEAR using "DataB-Hub/Data4.dta" 232 | drop _merge 233 | 234 | *- 合并现金流量表间接法 235 | merge 1:1 STKCD YEAR using "DataB-Hub/Data5.dta" 236 | drop _merge 237 | 238 | *- 生成变量 - 现金流状况 CFO 239 | destring 经营活动产生的现金流净额直接法 经营活动产生的现金流净额间接法, replace 240 | gen CFO1 = 经营活动产生的现金流净额直接法 / 总资产 241 | gen CFO2 = 经营活动产生的现金流净额间接法 / 总资产 242 | 243 | *- 生成变量 - 总资产收益率 ROA 244 | destring 净利润, replace 245 | gen ROA = 净利润 / 总资产 246 | 247 | *- 生成变量 - 净资产收益率 ROE 248 | destring 所有者权益, replace 249 | gen ROE = 净利润 / 所有者权益 250 | 251 | *- 生成变量 - 总资产周转率 TAT 252 | gen TAT = 营业收入 / 总资产 253 | 254 | *- 保留有效变量 255 | keep STKCD STKNM YEAR CFO1 CFO2 GROWTH LEV MFEE OCCUPY ROA ROE SIZE TAT 256 | 257 | *- 补充变量标签 258 | label var CFO1 "现金流状况-直接法" 259 | label var CFO2 "现金流状况-间接法" 260 | label var ROA "总资产收益率" 261 | label var ROE "净资产收益率" 262 | label var TAT "总资产周转率" 263 | 264 | *- 排序与保存数据 265 | order STKCD STKNM YEAR CFO1 CFO2 GROWTH LEV MFEE OCCUPY ROA ROE SIZE TAT 266 | label data "财务报表相关变量9类10个 - From Shutter Zor" 267 | save "DataB-Hub/Data6.dta", replace 268 | 269 | /* 本部分生成的 Data6 用于后续合并 */ 270 | /* CFO GROWTH LEV MFEE OCCUPY ROA ROE SIZE TAT */ 271 | 272 | // 结束时间记录： 273 | dis "`c(current_date)' `c(current_time)'" 274 | ******************************************************************************** 275 | 276 | 277 | 278 | ******************************************************************************** 279 | // 开始时间记录： 280 | dis "`c(current_date)' `c(current_time)'" 281 | 282 | *- 清洗治理结构相关数据 283 | /* 包含变量：BALANCE BOARD INDBOARD MHOLD TOP1 DUAL */ 284 | 285 | *- 股东股本相关数据 286 | /* 包含变量：BALANCE TOP1 */ 287 | 288 | *- 股东股本相关数据 - 1 289 | import excel using "DataA-Original/HLD_Shareholders.xlsx", first clear 290 | labone, nrow(1 2) concat("_") 291 | drop in 1/2 292 | 293 | *- 仅保留年报数据 294 | keep if substr(Reptdt,6,2) == "12" 295 | 296 | *- 重命名变量 297 | rename Stkcd STKCD 298 | 299 | *- 生成变量 - 观测年份 300 | gen YEAR = real(substr(Reptdt,1,4)) 301 | 302 | *- 生成变量 - 第一大股东持股数量 TOP1 303 | destring S0304a, replace 304 | bys STKCD YEAR: egen TOP1 = max(S0304a) 305 | 306 | *- 生成变量 - 股权制衡度 BALANCE 307 | bys STKCD YEAR: egen TOP2_5 = sum(S0304a) if S0306a=="2" | S0306a=="3" | S0306a=="4" | S0306a=="5" // 生成第二到第五大股东持股比例之和 308 | gen BALANCE = TOP2_5 / TOP1 309 | 310 | *- 保留有效样本 311 | destring S0306a, replace 312 | drop if S0306a > 5 313 | drop if TOP2_5 == . 314 | duplicates drop STKCD YEAR, force 315 | 316 | *- 保留有效变量 317 | keep STKCD YEAR BALANCE TOP1 318 | 319 | *- 补充变量标签 320 | label var YEAR "观测年份" 321 | label var TOP1 "第一大股东持股数量" 322 | label var BALANCE "股权制衡度" 323 | 324 | *- 排序与保存数据 325 | order STKCD YEAR BALANCE TOP1 326 | label data "股东股本相关数据-1 - From Shutter Zor" 327 | save "DataB-Hub/Data7-1.dta", replace 328 | 329 | *- 股东股本相关数据 - 2 330 | import excel using "DataA-Original/HLD_Shareholders1.xlsx", first clear 331 | labone, nrow(1 2) concat("_") 332 | drop in 1/2 333 | 334 | *- 仅保留年报数据 335 | keep if substr(Reptdt,6,2) == "12" 336 | 337 | *- 重命名变量 338 | rename Stkcd STKCD 339 | 340 | *- 生成变量 - 观测年份 341 | gen YEAR = real(substr(Reptdt,1,4)) 342 | 343 | *- 生成变量 - 第一大股东持股数量 TOP1 344 | destring S0304a, replace 345 | bys STKCD YEAR: egen TOP1 = max(S0304a) 346 | 347 | *- 生成变量 - 股权制衡度 BALANCE 348 | bys STKCD YEAR: egen TOP2_5 = sum(S0304a) if S0306a=="2" | S0306a=="3" | S0306a=="4" | S0306a=="5" // 生成第二到第五大股东持股比例之和 349 | gen BALANCE = TOP2_5 / TOP1 350 | 351 | *- 保留有效样本 352 | destring S0306a, replace 353 | drop if S0306a > 5 354 | drop if TOP2_5 == . 355 | duplicates drop STKCD YEAR, force 356 | 357 | *- 保留有效变量 358 | keep STKCD YEAR BALANCE TOP1 359 | 360 | *- 补充变量标签 361 | label var YEAR "观测年份" 362 | label var TOP1 "第一大股东持股数量" 363 | label var BALANCE "股权制衡度" 364 | 365 | *- 排序与保存数据 366 | order STKCD YEAR BALANCE TOP1 367 | label data "股东股本相关数据-2 - From Shutter Zor" 368 | save "DataB-Hub/Data7-2.dta", replace 369 | 370 | *- 股东股本相关数据 - 3 371 | import excel using "DataA-Original/HLD_Shareholders2.xlsx", first clear 372 | labone, nrow(1 2) concat("_") 373 | drop in 1/2 374 | 375 | *- 仅保留年报数据 376 | keep if substr(Reptdt,6,2) == "12" 377 | 378 | *- 重命名变量 379 | rename Stkcd STKCD 380 | 381 | *- 生成变量 - 观测年份 382 | gen YEAR = real(substr(Reptdt,1,4)) 383 | 384 | *- 生成变量 - 第一大股东持股数量 TOP1 385 | destring S0304a, replace 386 | bys STKCD YEAR: egen TOP1 = max(S0304a) 387 | 388 | *- 生成变量 - 股权制衡度 BALANCE 389 | bys STKCD YEAR: egen TOP2_5 = sum(S0304a) if S0306a=="2" | S0306a=="3" | S0306a=="4" | S0306a=="5" // 生成第二到第五大股东持股比例之和 390 | gen BALANCE = TOP2_5 / TOP1 391 | 392 | *- 保留有效样本 393 | destring S0306a, replace 394 | drop if S0306a > 5 395 | drop if TOP2_5 == . 396 | duplicates drop STKCD YEAR, force 397 | 398 | *- 保留有效变量 399 | keep STKCD YEAR BALANCE TOP1 400 | 401 | *- 补充变量标签 402 | label var YEAR "观测年份" 403 | label var TOP1 "第一大股东持股数量" 404 | label var BALANCE "股权制衡度" 405 | 406 | *- 排序与保存数据 407 | order STKCD YEAR BALANCE TOP1 408 | label data "股东股本相关数据-3 - From Shutter Zor" 409 | save "DataB-Hub/Data7-3.dta", replace 410 | 411 | *- 合并股东股本相关数据 412 | use "DataB-Hub/Data7-1.dta", clear 413 | append using "DataB-Hub/Data7-2.dta" 414 | append using "DataB-Hub/Data7-3.dta" 415 | label data "股东股本相关数据 - From Shutter Zor" 416 | save "DataB-Hub/Data7.dta", replace 417 | erase "DataB-Hub/Data7-1.dta" 418 | erase "DataB-Hub/Data7-2.dta" 419 | 420 | *- 高管动态相关数据 421 | /* 包含变量：BOARD INDBOARD MHOLD */ 422 | 423 | *- 高管动态数据 424 | import excel using "DataA-Original/CG_ManagerShareSalary.xlsx", first clear 425 | labone, nrow(1 2) concat("_") 426 | drop in 1/2 427 | 428 | *- 仅保留年末在职人员样本 429 | keep if StatisticalCaliber == "1" 430 | 431 | *- 重命名变量 432 | rename Symbol STKCD 433 | 434 | *- 生成变量 - 观测年份 YEAR 435 | gen YEAR = real(substr(Enddate,1,4)) 436 | 437 | *- 生成变量 - 董事规模 BOARD 438 | destring DirectorNumber, replace 439 | gen BOARD = ln(DirectorNumber) 440 | 441 | *- 生成变量 - 独立董事占比 INDBOARD 442 | destring IndependentDirectorNumber, replace 443 | gen INDBOARD = IndependentDirectorNumber / DirectorNumber 444 | 445 | *- 管理层持股数量 446 | destring Holdshares, replace 447 | 448 | *- 保留有效变量 449 | keep STKCD YEAR BOARD INDBOARD Holdshares 450 | 451 | *- 补充变量标签 452 | label var YEAR "观测年份" 453 | label var BOARD "董事规模" 454 | label var INDBOARD "独立董事占比" 455 | 456 | *- 保存数据 457 | label data "高管动态相关数据-1 - From Shutter Zor" 458 | save "DataB-Hub/Data8-1.dta", replace 459 | 460 | *- 股本结构文件 461 | import excel using "DataA-Original/CG_Capchg.xlsx", first clear 462 | labone, nrow(1 2) concat("_") 463 | drop in 1/2 464 | 465 | *- 重命名变量 466 | rename Stkcd STKCD 467 | 468 | *- 生成变量 - 观测年份 YEAR 469 | gen YEAR = real(substr(Reptdt,1,4)) 470 | 471 | *- 补充变量标签 472 | label var YEAR "观测年份" 473 | 474 | *- 保留有效变量 475 | keep STKCD YEAR Nshrttl 476 | 477 | *- 保存数据 478 | label data "高管动态相关数据-2 - From Shutter Zor" 479 | save "DataB-Hub/Data8-2.dta", replace 480 | 481 | *- 合并高管动态与股本结构，主要是计算MHOLD 482 | // 2024/12/31 开始，取消 “仅保留合并上的结果，即取消 keep if _merge == 3” 483 | use "DataB-Hub/Data8-1.dta", clear 484 | merge 1:1 STKCD YEAR using "DataB-Hub/Data8-2.dta" 485 | drop _merge 486 | 487 | *- 生成变量 - 管理层持股比例 MHOLD 488 | destring Nshrttl, replace 489 | gen MHOLD = Holdshares / Nshrttl 490 | 491 | *- 保留有效变量 492 | keep STKCD YEAR BOARD INDBOARD MHOLD 493 | 494 | *- 补充变量标签 495 | label var MHOLD "管理层持股比例" 496 | 497 | *- 排序与保存数据 498 | order STKCD YEAR BOARD INDBOARD MHOLD 499 | label data "高管动态与股本结构相关数据 - From Shutter Zor" 500 | save "DataB-Hub/Data8.dta", replace 501 | erase "DataB-Hub/Data8-1.dta" 502 | erase "DataB-Hub/Data8-2.dta" 503 | 504 | *- 高管人数、持股相关数据 505 | /* 包含变量：DUAL */ 506 | import excel using "DataA-Original/CG_Ybasic.xlsx", first clear 507 | labone, nrow(1 2) concat("_") 508 | drop in 1/2 509 | 510 | *- 重命名变量 511 | rename Stkcd STKCD 512 | 513 | *- 生成变量 - 观测年份 YEAR 514 | gen YEAR = real(substr(Reptdt,1,4)) 515 | 516 | *- 生成变量 - 两职合一 DUAL 517 | destring Y1001b, replace 518 | rename Y1001b DUAL 519 | replace DUAL = 0 if DUAL == 2 520 | 521 | *- 保留有效变量 522 | keep STKCD YEAR DUAL 523 | 524 | *- 补充变量标签 525 | label var YEAR "观测年份" 526 | label var DUAL "两职合一" 527 | 528 | *- 保存数据 529 | label data "高管人数、持股相关数据 - From Shutter Zor" 530 | save "DataB-Hub/Data9.dta", replace 531 | 532 | *- 合并治理结构相关数据 533 | // 2024/12/31 开始，取消 “仅保留合并上的结果，即取消 keep if _merge == 3” 534 | use "DataB-Hub/Data7.dta", clear 535 | merge 1:1 STKCD YEAR using "DataB-Hub/Data8.dta" 536 | drop _merge 537 | merge 1:1 STKCD YEAR using "DataB-Hub/Data9.dta" 538 | drop _merge 539 | 540 | *- 排序与保存数据 541 | order STKCD YEAR BALANCE BOARD INDBOARD MHOLD TOP1 DUAL 542 | label data "治理结构相关变量6个 - From Shutter Zor" 543 | save "DataB-Hub/Data10.dta", replace 544 | 545 | /* 本部分生成的 Data10 用于后续合并 */ 546 | /* BALANCE BOARD INDBOARD MHOLD TOP1 DUAL */ 547 | 548 | // 结束时间记录： 549 | dis "`c(current_date)' `c(current_time)'" 550 | ******************************************************************************** 551 | 552 | 553 | 554 | ******************************************************************************** 555 | // 开始时间记录： 556 | dis "`c(current_date)' `c(current_time)'" 557 | 558 | *- 清洗财务指标分析相关数据 559 | /* 包含变量：BM TobinQ */ 560 | 561 | import excel using "DataA-Original/FI_T10.xlsx", first clear 562 | labone, nrow(1 2) concat("_") 563 | drop in 1/2 564 | 565 | *- 仅保留年报数据 566 | keep if substr(Accper,6,2) == "12" 567 | 568 | *- 重命名变量 569 | rename (Stkcd ShortName F100901A F100902A F100903A F100904A F101001A F101002A) (STKCD STKNM TobinQ1 TobinQ2 TobinQ3 TobinQ4 BM1 BM2) 570 | 571 | *- 生成变量 - 观测年份 YEAR 572 | gen YEAR = real(substr(Accper,1,4)) 573 | 574 | *- 生成变量 - 账面市值比 BM 与 托宾Q值 TobinQ 575 | destring BM* TobinQ*, replace 576 | 577 | *- 保留有效变量 578 | keep STKCD YEAR BM* TobinQ* 579 | 580 | *- 补充变量标签 581 | label var YEAR "观测年份" 582 | 583 | *- 保存数据 584 | label data "财务指标分析相关变量2个" 585 | save "DataB-Hub/Data11.dta", replace 586 | 587 | /* 本部分生成的 Data11 用于后续合并 */ 588 | /* BM TobinQ */ 589 | 590 | // 结束时间记录： 591 | dis "`c(current_date)' `c(current_time)'" 592 | ******************************************************************************** 593 | 594 | 595 | 596 | ******************************************************************************** 597 | // 开始时间记录： 598 | dis "`c(current_date)' `c(current_time)'" 599 | 600 | *- 清洗机构投资者相关数据 601 | /* 包含变量：INSTITUTION */ 602 | 603 | import excel using "DataA-Original/INI_HolderSystematics.xlsx", first clear 604 | labone, nrow(1 2) concat("_") 605 | drop in 1/2 606 | 607 | *- 仅保留年报数据 608 | keep if substr(EndDate,6,2) == "12" 609 | 610 | *- 重命名变量 611 | rename (Symbol InsInvestorProp InsInvestorProp1) (STKCD INSTITUTION1 INSTITUTION2) 612 | 613 | *- 生成变量 - 观测年份 YEAR 614 | gen YEAR = real(substr(EndDate,1,4)) 615 | 616 | *- 生成变量 - 机构投资者比例 INSTITUTION 617 | destring INSTITUTION*, replace 618 | 619 | *- 保留有效变量 620 | keep STKCD YEAR INSTITUTION* 621 | 622 | *- 补充变量标签 623 | label var YEAR "观测年份" 624 | 625 | *- 保存数据 626 | label data "机构投资者相关变量1个" 627 | save "DataB-Hub/Data12.dta", replace 628 | 629 | /* 本部分生成的 Data12 用于后续合并 */ 630 | /* INSTITUTION */ 631 | 632 | // 结束时间记录： 633 | dis "`c(current_date)' `c(current_time)'" 634 | ******************************************************************************** 635 | 636 | 637 | 638 | ******************************************************************************** 639 | // 开始时间记录： 640 | dis "`c(current_date)' `c(current_time)'" 641 | 642 | *- 清洗分析师预测相关数据 643 | /* 包含变量：AUDIT */ 644 | 645 | import excel using "DataA-Original/AF_CFEATUREPROFILE.xlsx", first clear 646 | labone, nrow(1 2) concat("_") 647 | drop in 1/2 648 | 649 | *- 仅保留年报数据 650 | keep if substr(Accper,6,2) == "12" 651 | 652 | *- 重命名变量 653 | rename (Stknmec Stkcd) (STKNM STKCD) 654 | 655 | *- 生成变量 - 观测年份 YEAR 656 | gen YEAR = real(substr(Accper,1,4)) 657 | 658 | *- 生成变量 - 是否由四大会计师事务所审计 AUDIT 659 | gen AUDIT = 1 if Big4 == "Y" 660 | replace AUDIT = 0 if Big4 == "N" 661 | 662 | *- 保留有效变量 663 | keep STKCD YEAR AUDIT 664 | 665 | *- 补充变量标签 666 | label var YEAR "观测年份" 667 | label var AUDIT "是否由四大会计师事务所审计" 668 | 669 | *- 保存数据 670 | duplicates drop STKCD YEAR, force 671 | label data "分析师预测相关变量1个" 672 | save "DataB-Hub/Data13.dta", replace 673 | 674 | /* 本部分生成的 Data13 用于后续合并 */ 675 | /* AUDIT */ 676 | 677 | // 结束时间记录： 678 | dis "`c(current_date)' `c(current_time)'" 679 | ******************************************************************************** 680 | 681 | 682 | 683 | ******************************************************************************** 684 | // 开始时间记录： 685 | dis "`c(current_date)' `c(current_time)'" 686 | 687 | *- 清洗财务报告审计意见相关数据 688 | /* 包含变量：OPINION */ 689 | 690 | import excel using "DataA-Original/FIN_Audit.xlsx", first clear 691 | labone, nrow(1 2) concat("_") 692 | drop in 1/2 693 | 694 | *- 仅保留年报数据 695 | keep if substr(Accper,6,2) == "12" 696 | 697 | *- 重命名变量 698 | rename (Stkcd Stknme) (STKCD STKNM) 699 | 700 | *- 生成变量 - 观测年份 YEAR 701 | gen YEAR = real(substr(Accper,1,4)) 702 | 703 | *- 生成变量 - 是否由四大会计师事务所审计 AUDIT 704 | gen OPINION = 1 if Audittyp == "标准无保留意见" 705 | replace OPINION = 0 if Audittyp != "标准无保留意见" 706 | 707 | *- 保留有效变量 708 | keep STKCD YEAR OPINION 709 | 710 | *- 补充变量标签 711 | label var YEAR "观测年份" 712 | label var OPINION "是否标准无保留意见" 713 | 714 | *- 保存数据 715 | label data "财务报告审计意见相关变量1个" 716 | save "DataB-Hub/Data14.dta", replace 717 | 718 | /* 本部分生成的 Data14 用于后续合并 */ 719 | /* OPINION */ 720 | 721 | // 结束时间记录： 722 | dis "`c(current_date)' `c(current_time)'" 723 | ******************************************************************************** 724 | 725 | 726 | 727 | ******************************************************************************** 728 | // 开始时间记录： 729 | dis "`c(current_date)' `c(current_time)'" 730 | 731 | *- 清洗股权性质相关数据 732 | /* 包含变量：SOE */ 733 | 734 | import excel using "DataA-Original/EN_EquityNatureAll.xlsx", first clear 735 | labone, nrow(1 2) concat("_") 736 | drop in 1/2 737 | 738 | *- 仅保留年报数据 739 | keep if substr(EndDate,6,2) == "12" 740 | 741 | *- 重命名变量 742 | rename (Symbol ShortName) (STKCD STKNM) 743 | 744 | *- 生成变量 - 观测年份 YEAR 745 | gen YEAR = real(substr(EndDate,1,4)) 746 | 747 | *- 生成变量 - 是否为国企 SOE 748 | gen SOE = 1 if EquityNature == "国企" 749 | replace SOE = 0 if EquityNature != "国企" 750 | 751 | *- 保留有效变量 752 | keep STKCD YEAR SOE 753 | 754 | *- 补充变量标签 755 | label var YEAR "观测年份" 756 | label var SOE "是否为国企" 757 | 758 | *- 保存数据 759 | label data "股权性质相关变量1个" 760 | save "DataB-Hub/Data15.dta", replace 761 | 762 | /* 本部分生成的 Data15 用于后续合并 */ 763 | /* SOE */ 764 | 765 | // 结束时间记录： 766 | dis "`c(current_date)' `c(current_time)'" 767 | ******************************************************************************** 768 | 769 | 770 | 771 | 772 | 773 | ******************************************************************************** 774 | // 开始时间记录： 775 | dis "`c(current_date)' `c(current_time)'" 776 | 777 | /* 至此完成了所有数据变量的计算，接下来需要将所有内容完全合并 */ 778 | /* 文件位置：DataB-Hub 779 | Data1.dta: STKCD STKNM YEAR INDCD INDNM PROVCD PROVNM CITYCD CITYNM MARKET STATE AGE 780 | Data6.dta: CFO GROWTH LEV MFEE OCCUPY ROA ROE SIZE TAT 781 | Data10.dta: BALANCE BOARD INDBOARD MHOLD TOP1 DUAL 782 | Data11.dta: BM TobinQ 783 | Data12.dta: INSTITUTION 784 | Data13.dta: AUDIT 785 | Data14.dta: OPINION 786 | Data15.dta: SOE 787 | 总计： 33 种变量，其中 AGE、BM、CFO、TobinQ 含有多类 788 | */ 789 | 790 | *- 最终合并 791 | // 2024/12/31 开始，取消 “仅保留合并上的结果，即取消 keep if _merge == 3” 792 | use "DataB-Hub/Data1.dta", clear 793 | merge 1:1 STKCD YEAR using "DataB-Hub/Data6.dta" 794 | drop _merge 795 | merge 1:1 STKCD YEAR using "DataB-Hub/Data10.dta" 796 | drop _merge 797 | merge 1:1 STKCD YEAR using "DataB-Hub/Data11.dta" 798 | drop _merge 799 | merge 1:1 STKCD YEAR using "DataB-Hub/Data12.dta" 800 | drop _merge 801 | merge 1:1 STKCD YEAR using "DataB-Hub/Data13.dta" 802 | drop _merge 803 | merge 1:1 STKCD YEAR using "DataB-Hub/Data14.dta" 804 | drop _merge 805 | merge 1:1 STKCD YEAR using "DataB-Hub/Data15.dta" 806 | drop _merge 807 | 808 | *- 排序与保存数据 809 | order STKCD STKNM YEAR INDCD INDNM PROVCD PROVNM CITYCD CITYNM MARKET STATE AGE1 AGE2 BALANCE BM1 BM2 BOARD CFO1 CFO2 GROWTH INDBOARD INSTITUTION1 INSTITUTION2 LEV MFEE MHOLD OCCUPY ROA ROE SIZE TAT TobinQ1 TobinQ2 TobinQ3 TobinQ4 TOP1 AUDIT DUAL OPINION SOE 810 | 811 | label data "Commonly used control variables (2001-2023) by Shutter Zor (Shutter_Z@outlook)." 812 | save ControlVarsDetail.dta, replace 813 | 814 | // 结束时间记录： 815 | dis "`c(current_date)' `c(current_time)'" 816 | ******************************************************************************** 817 | log close _all 818 | 819 | 820 | -------------------------------------------------------------------------------- /CSMAR CtrlVars Cleaning Log.smcl: -------------------------------------------------------------------------------- 1 | {smcl} 2 | {com}{sf}{ul off}{txt}{.-} 3 | name: {res}ShutterZorADXMU20241231 4 | {txt}log: {res}F:\Doctor\GitHub Repos\Commonly-Used-Control-Variables\CSMAR CtrlVars Cleaning Log.smcl 5 | {txt}log type: {res}smcl 6 | {txt}opened on: {res}31 Dec 2024, 12:08:55 7 | {txt} 8 | {com}. * ============================================================= 9 | . /* Author Information */ 10 | . 11 | . * Name: Shutter Zor（左祥太） 12 | . * Email: Shutter_Z@outlook.com 13 | . * Affiliation: Accounting Department, Xiamen University 14 | . * Date: 2024/12/31 15 | . * Version: V3.0 16 | . 17 | . * ============================================================= 18 | . 19 | . 20 | . 21 | . /* 常用控制变量数据清洗教程（ControlVarsDetail.dta）*/ 22 | . /* 说明：本次样本为所有上市公司2001-2023（含2001与2023）的数据 */ 23 | . 24 | . 25 | . 26 | . ******************************************************************************** 27 | . // 开始时间记录： 28 | . dis "`c(current_date)' `c(current_time)'" 29 | {res}31 Dec 2024 12:08:55 30 | {txt} 31 | {com}. 32 | . *- 清洗上市公司基本信息数据 33 | . /* 包含变量：STKCD STKNM YEAR INDCD INDNM PROVCD PROVNM CITYCD CITYNM MARKET STATE AGE */ 34 | . 35 | . import excel using "DataA-Original/STK_LISTEDCOINFOANL.xlsx", first clear 36 | {res}{text}(16 vars, 62,358 obs) 37 | 38 | {com}. labone, nrow(1 2) concat("_") 39 | {txt} 40 | {com}. drop in 1/2 41 | {txt}(2 observations deleted) 42 | 43 | {com}. 44 | . *- 生成变量 - 观测年份 45 | . gen YEAR = substr(EndDate,1,4) 46 | {txt} 47 | {com}. destring YEAR, replace 48 | {txt}YEAR: all characters numeric; {res}replaced {txt}as {res}int 49 | {txt} 50 | {com}. 51 | . *- 生成变量 - 成立年份至观测年份的 AGE1 52 | . gen EstablishYear = substr(EstablishDate,1,4) 53 | {txt}(10 missing values generated) 54 | 55 | {com}. destring EstablishYear, replace 56 | {txt}EstablishYear: all characters numeric; {res}replaced {txt}as {res}int 57 | {txt}(10 missing values generated) 58 | {res}{txt} 59 | {com}. gen AGE1 = YEAR - EstablishYear 60 | {txt}(10 missing values generated) 61 | 62 | {com}. 63 | . *- 生成变量 - 上市年份至观测年份的 AGE2 64 | . gen ListingYear = substr(LISTINGDATE,1,4) 65 | {txt} 66 | {com}. destring ListingYear, replace 67 | {txt}ListingYear: all characters numeric; {res}replaced {txt}as {res}int 68 | {txt} 69 | {com}. gen AGE2 = YEAR - ListingYear 70 | {txt} 71 | {com}. drop if AGE2 < 0 // 去掉部分不合理的观测样本 72 | {txt}(1,597 observations deleted) 73 | 74 | {com}. 75 | . *- 生成变量 - 股票市场板块 MARKET 76 | . gen MARKET = "深证主板A股" if substr(Symbol,1,2) == "00" 77 | {txt}(37,132 missing values generated) 78 | 79 | {com}. replace MARKET = "深证创业板" if substr(Symbol,1,2) == "30" 80 | {txt}(9,430 real changes made) 81 | 82 | {com}. replace MARKET = "深证B股" if substr(Symbol,1,2) == "20" 83 | {txt}(262 real changes made) 84 | 85 | {com}. replace MARKET = "上证主板A股" if substr(Symbol,1,2) == "60" 86 | {txt}(24,993 real changes made) 87 | 88 | {com}. replace MARKET = "上证科创板" if substr(Symbol,1,2) == "68" 89 | {txt}(1,729 real changes made) 90 | 91 | {com}. replace MARKET = "上证B股" if substr(Symbol,1,2) == "90" 92 | {txt}(194 real changes made) 93 | 94 | {com}. replace MARKET = "北证A股" if substr(Symbol,1,2) == "43" | substr(Symbol,1,2) == "83" | substr(Symbol,1,2) == "87" 95 | {txt}(524 real changes made) 96 | 97 | {com}. 98 | . *- 重命名变量 99 | . rename (Symbol ShortName IndustryName IndustryCode PROVINCECODE PROVINCE CITYCODE CITY LISTINGSTATE) (STKCD STKNM INDNM INDCD PROVCD PROVNM CITYCD CITYNM STATE) 100 | {res}{txt} 101 | {com}. 102 | . *- 保留有效变量 103 | . keep STKCD STKNM YEAR INDCD INDNM PROVCD PROVNM CITYCD CITYNM MARKET STATE AGE1 AGE2 104 | {txt} 105 | {com}. 106 | . *- 补充变量标签 107 | . label var YEAR "观测年份" 108 | {txt} 109 | {com}. label var MARKET "股票市场板块" 110 | {txt} 111 | {com}. label var AGE1 "从成立年份到观测年份的年龄" 112 | {txt} 113 | {com}. label var AGE2 "从上市年份到观测年份的年龄" 114 | {txt} 115 | {com}. 116 | . *- 排序与保存数据 117 | . order STKCD STKNM YEAR INDCD INDNM PROVCD PROVNM CITYCD CITYNM MARKET STATE AGE1 AGE2 118 | {txt} 119 | {com}. label data "基本信息相关变量11+年龄 - From Shutter Zor" 120 | {txt} 121 | {com}. save "DataB-Hub/Data1.dta", replace 122 | {txt}file DataB-Hub/Data1.dta saved 123 | 124 | {com}. 125 | . /* 本部分生成的 Data1 用于后续合并 */ 126 | . /* STKCD STKNM YEAR INDCD INDNM PROVCD PROVNM CITYCD CITYNM MARKET STATE AGE */ 127 | . 128 | . // 结束时间记录： 129 | . dis "`c(current_date)' `c(current_time)'" 130 | {res}31 Dec 2024 12:09:07 131 | {txt} 132 | {com}. ******************************************************************************** 133 | . 134 | . 135 | . 136 | . ******************************************************************************** 137 | . // 开始时间记录： 138 | . dis "`c(current_date)' `c(current_time)'" 139 | {res}31 Dec 2024 12:09:07 140 | {txt} 141 | {com}. 142 | . *- 清洗财务报表相关数据 143 | . /* 包含变量：CFO GROWTH LEV MFEE OCCUPY ROA ROE SIZE TAT */ 144 | . 145 | . *- 资产负债表 146 | . import excel using "DataA-Original/FS_Combas.xlsx", first clear 147 | {res}{text}(8 vars, 582,512 obs) 148 | 149 | {com}. labone, nrow(1 2) concat("_") 150 | {txt} 151 | {com}. drop in 1/2 152 | {txt}(2 observations deleted) 153 | 154 | {com}. 155 | . *- 仅保留合并报表数据 156 | . keep if Typrep == "A" // A为合并报表，B为母公司报表 157 | {txt}(270,157 observations deleted) 158 | 159 | {com}. 160 | . *- 仅保留年报数据 161 | . keep if substr(Accper,6,2) == "12" // 12月的年报 162 | {txt}(247,234 observations deleted) 163 | 164 | {com}. 165 | . *- 重命名变量 166 | . rename (Stkcd ShortName A001121000 A001000000 A002000000 A003000000) (STKCD STKNM 其他应收款 总资产 总负债 所有者权益) 167 | {res}{txt} 168 | {com}. 169 | . *- 生成变量 - 观测年份 170 | . gen YEAR = real(substr(Accper,1,4)) 171 | {txt} 172 | {com}. 173 | . *- 生成变量 - 资产负债率 LEV 174 | . destring 总负债 总资产, replace // 转为数值变量，方便计算 175 | {txt}总负债: all characters numeric; {res}replaced {txt}as {res}double 176 | {txt}总资产: all characters numeric; {res}replaced {txt}as {res}double 177 | {txt} 178 | {com}. gen LEV = 总负债 / 总资产 179 | {txt}(3 missing values generated) 180 | 181 | {com}. 182 | . *- 生成变量 - 大股东资金占用 OCCUPY 183 | . destring 其他应收款, replace 184 | {txt}其他应收款: all characters numeric; {res}replaced {txt}as {res}double 185 | {txt}(831 missing values generated) 186 | {res}{txt} 187 | {com}. gen OCCUPY = 其他应收款 / 总资产 188 | {txt}(834 missing values generated) 189 | 190 | {com}. 191 | . *- 生成变量 - 公司规模 SIZE 192 | . gen SIZE = ln(总资产) 193 | {txt}(3 missing values generated) 194 | 195 | {com}. 196 | . *- 保留有效变量 197 | . keep STKCD STKNM 总资产 所有者权益 YEAR LEV OCCUPY SIZE 198 | {txt} 199 | {com}. 200 | . *- 补充变量标签 201 | . label var YEAR "观测年份" 202 | {txt} 203 | {com}. label var LEV "资产负债率" 204 | {txt} 205 | {com}. label var OCCUPY "大股东资金占用" 206 | {txt} 207 | {com}. label var SIZE "公司规模" 208 | {txt} 209 | {com}. 210 | . *- 保存数据 211 | . label data "资产负债表数据 - From Shutter Zor" 212 | {txt} 213 | {com}. save "DataB-Hub/Data2.dta", replace 214 | {txt}file DataB-Hub/Data2.dta saved 215 | 216 | {com}. 217 | . *- 利润表 218 | . import excel using "DataA-Original/FS_Comins.xlsx", first clear 219 | {res}{text}(7 vars, 581,448 obs) 220 | 221 | {com}. labone, nrow(1 2) concat("_") 222 | {txt} 223 | {com}. drop in 1/2 224 | {txt}(2 observations deleted) 225 | 226 | {com}. 227 | . *- 仅保留合并报表数据 228 | . keep if Typrep == "A" // A为合并报表，B为母公司报表 229 | {txt}(270,478 observations deleted) 230 | 231 | {com}. 232 | . *- 仅保留年报数据 233 | . keep if substr(Accper,6,2) == "12" // 12月的年报 234 | {txt}(246,348 observations deleted) 235 | 236 | {com}. 237 | . *- 重命名变量 238 | . rename (Stkcd ShortName B001101000 B001210000 B002000000) (STKCD STKNM 营业收入 管理费用 净利润) 239 | {res}{txt} 240 | {com}. 241 | . *- 生成变量 - 观测年份 242 | . gen YEAR = real(substr(Accper,1,4)) 243 | {txt} 244 | {com}. 245 | . *- 生成变量 - 营业收入增长率 GROWTH 246 | . destring 营业收入, replace 247 | {txt}营业收入: all characters numeric; {res}replaced {txt}as {res}double 248 | {txt}(1119 missing values generated) 249 | {res}{txt} 250 | {com}. egen STKID = group(STKCD) 251 | {txt} 252 | {com}. xtset STKID YEAR 253 | {res}{txt}{col 8}panel variable: {res}STKID (unbalanced) 254 | {txt}{col 9}time variable: {res}{col 25}YEAR, 2001 to 2023, but with a gap 255 | {txt}{col 17}delta: {res}1 unit 256 | {txt} 257 | {com}. bys STKID: gen GROWTH = (营业收入 - L.营业收入) / L.营业收入 258 | {txt}(6,791 missing values generated) 259 | 260 | {com}. 261 | . *- 生成变量 - 管理层费用率 MFEE 262 | . destring 管理费用, replace 263 | {txt}管理费用: all characters numeric; {res}replaced {txt}as {res}double 264 | {txt}(888 missing values generated) 265 | {res}{txt} 266 | {com}. gen MFEE = 管理费用 / 营业收入 267 | {txt}(1,155 missing values generated) 268 | 269 | {com}. 270 | . *- 保留有效变量 271 | . keep STKCD STKNM YEAR 营业收入 净利润 GROWTH MFEE 272 | {txt} 273 | {com}. 274 | . *- 补充变量标签 275 | . label var YEAR "观测年份" 276 | {txt} 277 | {com}. label var GROWTH "营业收入增长率" 278 | {txt} 279 | {com}. label var MFEE "管理层费用率" 280 | {txt} 281 | {com}. 282 | . *- 保存数据 283 | . label data "利润表数据 - From Shutter Zor" 284 | {txt} 285 | {com}. save "DataB-Hub/Data3.dta", replace 286 | {txt}file DataB-Hub/Data3.dta saved 287 | 288 | {com}. 289 | . *- 现金流量表 - 直接法 290 | . import excel using "DataA-Original/FS_Comscfd.xlsx", first clear 291 | {res}{text}(5 vars, 566,394 obs) 292 | 293 | {com}. labone, nrow(1 2) concat("_") 294 | {txt} 295 | {com}. drop in 1/2 296 | {txt}(2 observations deleted) 297 | 298 | {com}. 299 | . *- 仅保留合并报表数据 300 | . keep if Typrep == "A" // A为合并报表，B为母公司报表 301 | {txt}(264,935 observations deleted) 302 | 303 | {com}. 304 | . *- 仅保留年报数据 305 | . keep if substr(Accper,6,2) == "12" // 12月的年报 306 | {txt}(236,341 observations deleted) 307 | 308 | {com}. 309 | . *- 重命名变量 310 | . rename (Stkcd ShortName C001000000) (STKCD STKNM 经营活动产生的现金流净额直接法) 311 | {res}{txt} 312 | {com}. 313 | . *- 生成变量 - 观测年份 314 | . gen YEAR = real(substr(Accper,1,4)) 315 | {txt} 316 | {com}. 317 | . *- 保留有效变量 318 | . keep STKCD STKNM YEAR 经营活动产生的现金流净额直接法 319 | {txt} 320 | {com}. 321 | . *- 补充变量标签 322 | . label var YEAR "观测年份" 323 | {txt} 324 | {com}. 325 | . *- 保存数据 326 | . label data "现金流量表数据直接法 - From Shutter Zor" 327 | {txt} 328 | {com}. save "DataB-Hub/Data4.dta", replace 329 | {txt}file DataB-Hub/Data4.dta saved 330 | 331 | {com}. 332 | . *- 现金流量表 - 间接法 333 | . import excel using "DataA-Original/FS_Comscfi.xlsx", first clear 334 | {res}{text}(5 vars, 286,924 obs) 335 | 336 | {com}. labone, nrow(1 2) concat("_") 337 | {txt} 338 | {com}. drop in 1/2 339 | {txt}(2 observations deleted) 340 | 341 | {com}. 342 | . *- 仅保留合并报表数据 343 | . keep if Typrep == "A" // A为合并报表，B为母公司报表 344 | {txt}(91,342 observations deleted) 345 | 346 | {com}. 347 | . *- 仅保留年报数据 348 | . keep if substr(Accper,6,2) == "12" // 12月的年报 349 | {txt}(130,521 observations deleted) 350 | 351 | {com}. 352 | . *- 重命名变量 353 | . rename (Stkcd ShortName D000100000) (STKCD STKNM 经营活动产生的现金流净额间接法) 354 | {res}{txt} 355 | {com}. 356 | . *- 生成变量 - 观测年份 357 | . gen YEAR = real(substr(Accper,1,4)) 358 | {txt} 359 | {com}. 360 | . *- 保留有效变量 361 | . keep STKCD STKNM YEAR 经营活动产生的现金流净额间接法 362 | {txt} 363 | {com}. 364 | . *- 补充变量标签 365 | . label var YEAR "观测年份" 366 | {txt} 367 | {com}. 368 | . *- 保存数据 369 | . label data "现金流量表数据间接法 - From Shutter Zor" 370 | {txt} 371 | {com}. save "DataB-Hub/Data5.dta", replace 372 | {txt}file DataB-Hub/Data5.dta saved 373 | 374 | {com}. 375 | . *- 合并资产负债表、利润表、现金流量表数据，并计算相关变量 376 | . // 2024/12/31 开始，取消 “仅保留合并上的结果，即取消 keep if _merge == 3” 377 | . use "DataB-Hub/Data2.dta", clear 378 | {txt}(资产负债表数据 - From Shutter Zor) 379 | 380 | {com}. 381 | . *- 合并利润表 382 | . merge 1:1 STKCD YEAR using "DataB-Hub/Data3.dta" 383 | {res} 384 | {txt}{col 5}Result{col 38}# of obs. 385 | {col 5}{hline 41} 386 | {col 5}not matched{col 30}{res} 499 387 | {txt}{col 9}from master{col 30}{res} 499{txt} (_merge==1) 388 | {col 9}from using{col 30}{res} 0{txt} (_merge==2) 389 | 390 | {col 5}matched{col 30}{res} 64,620{txt} (_merge==3) 391 | {col 5}{hline 41} 392 | 393 | {com}. drop _merge 394 | {txt} 395 | {com}. 396 | . *- 合并现金流量表直接法 397 | . merge 1:1 STKCD YEAR using "DataB-Hub/Data4.dta" 398 | {res} 399 | {txt}{col 5}Result{col 38}# of obs. 400 | {col 5}{hline 41} 401 | {col 5}not matched{col 30}{res} 3 402 | {txt}{col 9}from master{col 30}{res} 3{txt} (_merge==1) 403 | {col 9}from using{col 30}{res} 0{txt} (_merge==2) 404 | 405 | {col 5}matched{col 30}{res} 65,116{txt} (_merge==3) 406 | {col 5}{hline 41} 407 | 408 | {com}. drop _merge 409 | {txt} 410 | {com}. 411 | . *- 合并现金流量表间接法 412 | . merge 1:1 STKCD YEAR using "DataB-Hub/Data5.dta" 413 | {res} 414 | {txt}{col 5}Result{col 38}# of obs. 415 | {col 5}{hline 41} 416 | {col 5}not matched{col 30}{res} 64 417 | {txt}{col 9}from master{col 30}{res} 62{txt} (_merge==1) 418 | {col 9}from using{col 30}{res} 2{txt} (_merge==2) 419 | 420 | {col 5}matched{col 30}{res} 65,057{txt} (_merge==3) 421 | {col 5}{hline 41} 422 | 423 | {com}. drop _merge 424 | {txt} 425 | {com}. 426 | . *- 生成变量 - 现金流状况 CFO 427 | . destring 经营活动产生的现金流净额直接法 经营活动产生的现金流净额间接法, replace 428 | {txt}经营活动产生的现金流净额直接法: all characters numeric; {res}replaced {txt}as {res}double 429 | {txt}(5 missing values generated) 430 | {res}{txt}经营活动产生的现金流净额间接法: all characters numeric; {res}replaced {txt}as {res}double 431 | {txt}(63 missing values generated) 432 | {res}{txt} 433 | {com}. gen CFO1 = 经营活动产生的现金流净额直接法 / 总资产 434 | {txt}(8 missing values generated) 435 | 436 | {com}. gen CFO2 = 经营活动产生的现金流净额间接法 / 总资产 437 | {txt}(68 missing values generated) 438 | 439 | {com}. 440 | . *- 生成变量 - 总资产收益率 ROA 441 | . destring 净利润, replace 442 | {txt}净利润: all characters numeric; {res}replaced {txt}as {res}double 443 | {txt}(501 missing values generated) 444 | {res}{txt} 445 | {com}. gen ROA = 净利润 / 总资产 446 | {txt}(504 missing values generated) 447 | 448 | {com}. 449 | . *- 生成变量 - 净资产收益率 ROE 450 | . destring 所有者权益, replace 451 | {txt}所有者权益: all characters numeric; {res}replaced {txt}as {res}double 452 | {txt}(2 missing values generated) 453 | {res}{txt} 454 | {com}. gen ROE = 净利润 / 所有者权益 455 | {txt}(506 missing values generated) 456 | 457 | {com}. 458 | . *- 生成变量 - 总资产周转率 TAT 459 | . gen TAT = 营业收入 / 总资产 460 | {txt}(1,623 missing values generated) 461 | 462 | {com}. 463 | . *- 保留有效变量 464 | . keep STKCD STKNM YEAR CFO1 CFO2 GROWTH LEV MFEE OCCUPY ROA ROE SIZE TAT 465 | {txt} 466 | {com}. 467 | . *- 补充变量标签 468 | . label var CFO1 "现金流状况-直接法" 469 | {txt} 470 | {com}. label var CFO2 "现金流状况-间接法" 471 | {txt} 472 | {com}. label var ROA "总资产收益率" 473 | {txt} 474 | {com}. label var ROE "净资产收益率" 475 | {txt} 476 | {com}. label var TAT "总资产周转率" 477 | {txt} 478 | {com}. 479 | . *- 排序与保存数据 480 | . order STKCD STKNM YEAR CFO1 CFO2 GROWTH LEV MFEE OCCUPY ROA ROE SIZE TAT 481 | {txt} 482 | {com}. label data "财务报表相关变量9类10个 - From Shutter Zor" 483 | {txt} 484 | {com}. save "DataB-Hub/Data6.dta", replace 485 | {txt}file DataB-Hub/Data6.dta saved 486 | 487 | {com}. 488 | . /* 本部分生成的 Data6 用于后续合并 */ 489 | . /* CFO GROWTH LEV MFEE OCCUPY ROA ROE SIZE TAT */ 490 | . 491 | . // 结束时间记录： 492 | . dis "`c(current_date)' `c(current_time)'" 493 | {res}31 Dec 2024 12:10:53 494 | {txt} 495 | {com}. ******************************************************************************** 496 | . 497 | . 498 | . 499 | . ******************************************************************************** 500 | . // 开始时间记录： 501 | . dis "`c(current_date)' `c(current_time)'" 502 | {res}31 Dec 2024 12:10:53 503 | {txt} 504 | {com}. 505 | . *- 清洗治理结构相关数据 506 | . /* 包含变量：BALANCE BOARD INDBOARD MHOLD TOP1 DUAL */ 507 | . 508 | . *- 股东股本相关数据 509 | . /* 包含变量：BALANCE TOP1 */ 510 | . 511 | . *- 股东股本相关数据 - 1 512 | . import excel using "DataA-Original/HLD_Shareholders.xlsx", first clear 513 | {res}{text}(5 vars, 1,000,002 obs) 514 | 515 | {com}. labone, nrow(1 2) concat("_") 516 | {txt} 517 | {com}. drop in 1/2 518 | {txt}(2 observations deleted) 519 | 520 | {com}. 521 | . *- 仅保留年报数据 522 | . keep if substr(Reptdt,6,2) == "12" 523 | {txt}(716,644 observations deleted) 524 | 525 | {com}. 526 | . *- 重命名变量 527 | . rename Stkcd STKCD 528 | {res}{txt} 529 | {com}. 530 | . *- 生成变量 - 观测年份 531 | . gen YEAR = real(substr(Reptdt,1,4)) 532 | {txt} 533 | {com}. 534 | . *- 生成变量 - 第一大股东持股数量 TOP1 535 | . destring S0304a, replace 536 | {txt}S0304a: all characters numeric; {res}replaced {txt}as {res}double 537 | {txt} 538 | {com}. bys STKCD YEAR: egen TOP1 = max(S0304a) 539 | {txt} 540 | {com}. 541 | . *- 生成变量 - 股权制衡度 BALANCE 542 | . bys STKCD YEAR: egen TOP2_5 = sum(S0304a) if S0306a=="2" | S0306a=="3" | S0306a=="4" | S0306a=="5" // 生成第二到第五大股东持股比例之和 543 | {txt}(170440 missing values generated) 544 | 545 | {com}. gen BALANCE = TOP2_5 / TOP1 546 | {txt}(170,440 missing values generated) 547 | 548 | {com}. 549 | . *- 保留有效样本 550 | . destring S0306a, replace 551 | {txt}S0306a: all characters numeric; {res}replaced {txt}as {res}byte 552 | {txt} 553 | {com}. drop if S0306a > 5 554 | {txt}(142,201 observations deleted) 555 | 556 | {com}. drop if TOP2_5 == . 557 | {txt}(28,239 observations deleted) 558 | 559 | {com}. duplicates drop STKCD YEAR, force 560 | 561 | {p 0 4}{txt}Duplicates in terms of {res} STKCD YEAR{p_end} 562 | 563 | {txt}(84,678 observations deleted) 564 | 565 | {com}. 566 | . *- 保留有效变量 567 | . keep STKCD YEAR BALANCE TOP1 568 | {txt} 569 | {com}. 570 | . *- 补充变量标签 571 | . label var YEAR "观测年份" 572 | {txt} 573 | {com}. label var TOP1 "第一大股东持股数量" 574 | {txt} 575 | {com}. label var BALANCE "股权制衡度" 576 | {txt} 577 | {com}. 578 | . *- 排序与保存数据 579 | . order STKCD YEAR BALANCE TOP1 580 | {txt} 581 | {com}. label data "股东股本相关数据-1 - From Shutter Zor" 582 | {txt} 583 | {com}. save "DataB-Hub/Data7-1.dta", replace 584 | {txt}(note: file DataB-Hub/Data7-1.dta not found) 585 | file DataB-Hub/Data7-1.dta saved 586 | 587 | {com}. 588 | . *- 股东股本相关数据 - 2 589 | . import excel using "DataA-Original/HLD_Shareholders1.xlsx", first clear 590 | {res}{text}(5 vars, 1,000,002 obs) 591 | 592 | {com}. labone, nrow(1 2) concat("_") 593 | {txt} 594 | {com}. drop in 1/2 595 | {txt}(2 observations deleted) 596 | 597 | {com}. 598 | . *- 仅保留年报数据 599 | . keep if substr(Reptdt,6,2) == "12" 600 | {txt}(716,292 observations deleted) 601 | 602 | {com}. 603 | . *- 重命名变量 604 | . rename Stkcd STKCD 605 | {res}{txt} 606 | {com}. 607 | . *- 生成变量 - 观测年份 608 | . gen YEAR = real(substr(Reptdt,1,4)) 609 | {txt} 610 | {com}. 611 | . *- 生成变量 - 第一大股东持股数量 TOP1 612 | . destring S0304a, replace 613 | {txt}S0304a: all characters numeric; {res}replaced {txt}as {res}double 614 | {txt} 615 | {com}. bys STKCD YEAR: egen TOP1 = max(S0304a) 616 | {txt} 617 | {com}. 618 | . *- 生成变量 - 股权制衡度 BALANCE 619 | . bys STKCD YEAR: egen TOP2_5 = sum(S0304a) if S0306a=="2" | S0306a=="3" | S0306a=="4" | S0306a=="5" // 生成第二到第五大股东持股比例之和 620 | {txt}(171079 missing values generated) 621 | 622 | {com}. gen BALANCE = TOP2_5 / TOP1 623 | {txt}(171,079 missing values generated) 624 | 625 | {com}. 626 | . *- 保留有效样本 627 | . destring S0306a, replace 628 | {txt}S0306a: all characters numeric; {res}replaced {txt}as {res}byte 629 | {txt} 630 | {com}. drop if S0306a > 5 631 | {txt}(142,907 observations deleted) 632 | 633 | {com}. drop if TOP2_5 == . 634 | {txt}(28,172 observations deleted) 635 | 636 | {com}. duplicates drop STKCD YEAR, force 637 | 638 | {p 0 4}{txt}Duplicates in terms of {res} STKCD YEAR{p_end} 639 | 640 | {txt}(84,458 observations deleted) 641 | 642 | {com}. 643 | . *- 保留有效变量 644 | . keep STKCD YEAR BALANCE TOP1 645 | {txt} 646 | {com}. 647 | . *- 补充变量标签 648 | . label var YEAR "观测年份" 649 | {txt} 650 | {com}. label var TOP1 "第一大股东持股数量" 651 | {txt} 652 | {com}. label var BALANCE "股权制衡度" 653 | {txt} 654 | {com}. 655 | . *- 排序与保存数据 656 | . order STKCD YEAR BALANCE TOP1 657 | {txt} 658 | {com}. label data "股东股本相关数据-2 - From Shutter Zor" 659 | {txt} 660 | {com}. save "DataB-Hub/Data7-2.dta", replace 661 | {txt}(note: file DataB-Hub/Data7-2.dta not found) 662 | file DataB-Hub/Data7-2.dta saved 663 | 664 | {com}. 665 | . *- 股东股本相关数据 - 3 666 | . import excel using "DataA-Original/HLD_Shareholders2.xlsx", first clear 667 | {res}{text}(5 vars, 114,565 obs) 668 | 669 | {com}. labone, nrow(1 2) concat("_") 670 | {txt} 671 | {com}. drop in 1/2 672 | {txt}(2 observations deleted) 673 | 674 | {com}. 675 | . *- 仅保留年报数据 676 | . keep if substr(Reptdt,6,2) == "12" 677 | {txt}(87,657 observations deleted) 678 | 679 | {com}. 680 | . *- 重命名变量 681 | . rename Stkcd STKCD 682 | {res}{txt} 683 | {com}. 684 | . *- 生成变量 - 观测年份 685 | . gen YEAR = real(substr(Reptdt,1,4)) 686 | {txt} 687 | {com}. 688 | . *- 生成变量 - 第一大股东持股数量 TOP1 689 | . destring S0304a, replace 690 | {txt}S0304a: all characters numeric; {res}replaced {txt}as {res}double 691 | {txt} 692 | {com}. bys STKCD YEAR: egen TOP1 = max(S0304a) 693 | {txt} 694 | {com}. 695 | . *- 生成变量 - 股权制衡度 BALANCE 696 | . bys STKCD YEAR: egen TOP2_5 = sum(S0304a) if S0306a=="2" | S0306a=="3" | S0306a=="4" | S0306a=="5" // 生成第二到第五大股东持股比例之和 697 | {txt}(16171 missing values generated) 698 | 699 | {com}. gen BALANCE = TOP2_5 / TOP1 700 | {txt}(16,171 missing values generated) 701 | 702 | {com}. 703 | . *- 保留有效样本 704 | . destring S0306a, replace 705 | {txt}S0306a: all characters numeric; {res}replaced {txt}as {res}byte 706 | {txt} 707 | {com}. drop if S0306a > 5 708 | {txt}(13,484 observations deleted) 709 | 710 | {com}. drop if TOP2_5 == . 711 | {txt}(2,687 observations deleted) 712 | 713 | {com}. duplicates drop STKCD YEAR, force 714 | 715 | {p 0 4}{txt}Duplicates in terms of {res} STKCD YEAR{p_end} 716 | 717 | {txt}(8,050 observations deleted) 718 | 719 | {com}. 720 | . *- 保留有效变量 721 | . keep STKCD YEAR BALANCE TOP1 722 | {txt} 723 | {com}. 724 | . *- 补充变量标签 725 | . label var YEAR "观测年份" 726 | {txt} 727 | {com}. label var TOP1 "第一大股东持股数量" 728 | {txt} 729 | {com}. label var BALANCE "股权制衡度" 730 | {txt} 731 | {com}. 732 | . *- 排序与保存数据 733 | . order STKCD YEAR BALANCE TOP1 734 | {txt} 735 | {com}. label data "股东股本相关数据-3 - From Shutter Zor" 736 | {txt} 737 | {com}. save "DataB-Hub/Data7-3.dta", replace 738 | {txt}file DataB-Hub/Data7-3.dta saved 739 | 740 | {com}. 741 | . *- 合并股东股本相关数据 742 | . use "DataB-Hub/Data7-1.dta", clear 743 | {txt}(股东股本相关数据-1 - From Shutter Zor) 744 | 745 | {com}. append using "DataB-Hub/Data7-2.dta" 746 | {txt} 747 | {com}. append using "DataB-Hub/Data7-3.dta" 748 | {txt} 749 | {com}. label data "股东股本相关数据 - From Shutter Zor" 750 | {txt} 751 | {com}. save "DataB-Hub/Data7.dta", replace 752 | {txt}file DataB-Hub/Data7.dta saved 753 | 754 | {com}. erase "DataB-Hub/Data7-1.dta" 755 | {txt} 756 | {com}. erase "DataB-Hub/Data7-2.dta" 757 | {txt} 758 | {com}. 759 | . *- 高管动态相关数据 760 | . /* 包含变量：BOARD INDBOARD MHOLD */ 761 | . 762 | . *- 高管动态数据 763 | . import excel using "DataA-Original/CG_ManagerShareSalary.xlsx", first clear 764 | {res}{text}(6 vars, 122,980 obs) 765 | 766 | {com}. labone, nrow(1 2) concat("_") 767 | {txt} 768 | {com}. drop in 1/2 769 | {txt}(2 observations deleted) 770 | 771 | {com}. 772 | . *- 仅保留年末在职人员样本 773 | . keep if StatisticalCaliber == "1" 774 | {txt}(61,491 observations deleted) 775 | 776 | {com}. 777 | . *- 重命名变量 778 | . rename Symbol STKCD 779 | {res}{txt} 780 | {com}. 781 | . *- 生成变量 - 观测年份 YEAR 782 | . gen YEAR = real(substr(Enddate,1,4)) 783 | {txt} 784 | {com}. 785 | . *- 生成变量 - 董事规模 BOARD 786 | . destring DirectorNumber, replace 787 | {txt}DirectorNumber: all characters numeric; {res}replaced {txt}as {res}byte 788 | {txt} 789 | {com}. gen BOARD = ln(DirectorNumber) 790 | {txt}(31 missing values generated) 791 | 792 | {com}. 793 | . *- 生成变量 - 独立董事占比 INDBOARD 794 | . destring IndependentDirectorNumber, replace 795 | {txt}IndependentDirectorNumber: all characters numeric; {res}replaced {txt}as {res}byte 796 | {txt} 797 | {com}. gen INDBOARD = IndependentDirectorNumber / DirectorNumber 798 | {txt}(31 missing values generated) 799 | 800 | {com}. 801 | . *- 管理层持股数量 802 | . destring Holdshares, replace 803 | {txt}Holdshares: all characters numeric; {res}replaced {txt}as {res}double 804 | {txt}(2028 missing values generated) 805 | {res}{txt} 806 | {com}. 807 | . *- 保留有效变量 808 | . keep STKCD YEAR BOARD INDBOARD Holdshares 809 | {txt} 810 | {com}. 811 | . *- 补充变量标签 812 | . label var YEAR "观测年份" 813 | {txt} 814 | {com}. label var BOARD "董事规模" 815 | {txt} 816 | {com}. label var INDBOARD "独立董事占比" 817 | {txt} 818 | {com}. 819 | . *- 保存数据 820 | . label data "高管动态相关数据-1 - From Shutter Zor" 821 | {txt} 822 | {com}. save "DataB-Hub/Data8-1.dta", replace 823 | {txt}(note: file DataB-Hub/Data8-1.dta not found) 824 | file DataB-Hub/Data8-1.dta saved 825 | 826 | {com}. 827 | . *- 股本结构文件 828 | . import excel using "DataA-Original/CG_Capchg.xlsx", first clear 829 | {res}{text}(3 vars, 61,494 obs) 830 | 831 | {com}. labone, nrow(1 2) concat("_") 832 | {txt} 833 | {com}. drop in 1/2 834 | {txt}(2 observations deleted) 835 | 836 | {com}. 837 | . *- 重命名变量 838 | . rename Stkcd STKCD 839 | {res}{txt} 840 | {com}. 841 | . *- 生成变量 - 观测年份 YEAR 842 | . gen YEAR = real(substr(Reptdt,1,4)) 843 | {txt} 844 | {com}. 845 | . *- 补充变量标签 846 | . label var YEAR "观测年份" 847 | {txt} 848 | {com}. 849 | . *- 保留有效变量 850 | . keep STKCD YEAR Nshrttl 851 | {txt} 852 | {com}. 853 | . *- 保存数据 854 | . label data "高管动态相关数据-2 - From Shutter Zor" 855 | {txt} 856 | {com}. save "DataB-Hub/Data8-2.dta", replace 857 | {txt}(note: file DataB-Hub/Data8-2.dta not found) 858 | file DataB-Hub/Data8-2.dta saved 859 | 860 | {com}. 861 | . *- 合并高管动态与股本结构，主要是计算MHOLD 862 | . // 2024/12/31 开始，取消 “仅保留合并上的结果，即取消 keep if _merge == 3” 863 | . use "DataB-Hub/Data8-1.dta", clear 864 | {txt}(高管动态相关数据-1 - From Shutter Zor) 865 | 866 | {com}. merge 1:1 STKCD YEAR using "DataB-Hub/Data8-2.dta" 867 | {res} 868 | {txt}{col 5}Result{col 38}# of obs. 869 | {col 5}{hline 41} 870 | {col 5}not matched{col 30}{res} 5 871 | {txt}{col 9}from master{col 30}{res} 0{txt} (_merge==1) 872 | {col 9}from using{col 30}{res} 5{txt} (_merge==2) 873 | 874 | {col 5}matched{col 30}{res} 61,487{txt} (_merge==3) 875 | {col 5}{hline 41} 876 | 877 | {com}. drop _merge 878 | {txt} 879 | {com}. 880 | . *- 生成变量 - 管理层持股比例 MHOLD 881 | . destring Nshrttl, replace 882 | {txt}Nshrttl: all characters numeric; {res}replaced {txt}as {res}double 883 | {txt} 884 | {com}. gen MHOLD = Holdshares / Nshrttl 885 | {txt}(2,033 missing values generated) 886 | 887 | {com}. 888 | . *- 保留有效变量 889 | . keep STKCD YEAR BOARD INDBOARD MHOLD 890 | {txt} 891 | {com}. 892 | . *- 补充变量标签 893 | . label var MHOLD "管理层持股比例" 894 | {txt} 895 | {com}. 896 | . *- 排序与保存数据 897 | . order STKCD YEAR BOARD INDBOARD MHOLD 898 | {txt} 899 | {com}. label data "高管动态与股本结构相关数据 - From Shutter Zor" 900 | {txt} 901 | {com}. save "DataB-Hub/Data8.dta", replace 902 | {txt}file DataB-Hub/Data8.dta saved 903 | 904 | {com}. erase "DataB-Hub/Data8-1.dta" 905 | {txt} 906 | {com}. erase "DataB-Hub/Data8-2.dta" 907 | {txt} 908 | {com}. 909 | . *- 高管人数、持股相关数据 910 | . /* 包含变量：DUAL */ 911 | . import excel using "DataA-Original/CG_Ybasic.xlsx", first clear 912 | {res}{text}(3 vars, 61,493 obs) 913 | 914 | {com}. labone, nrow(1 2) concat("_") 915 | {txt} 916 | {com}. drop in 1/2 917 | {txt}(2 observations deleted) 918 | 919 | {com}. 920 | . *- 重命名变量 921 | . rename Stkcd STKCD 922 | {res}{txt} 923 | {com}. 924 | . *- 生成变量 - 观测年份 YEAR 925 | . gen YEAR = real(substr(Reptdt,1,4)) 926 | {txt} 927 | {com}. 928 | . *- 生成变量 - 两职合一 DUAL 929 | . destring Y1001b, replace 930 | {txt}Y1001b: all characters numeric; {res}replaced {txt}as {res}byte 931 | {txt}(1714 missing values generated) 932 | {res}{txt} 933 | {com}. rename Y1001b DUAL 934 | {res}{txt} 935 | {com}. replace DUAL = 0 if DUAL == 2 936 | {txt}(43,579 real changes made) 937 | 938 | {com}. 939 | . *- 保留有效变量 940 | . keep STKCD YEAR DUAL 941 | {txt} 942 | {com}. 943 | . *- 补充变量标签 944 | . label var YEAR "观测年份" 945 | {txt} 946 | {com}. label var DUAL "两职合一" 947 | {txt} 948 | {com}. 949 | . *- 保存数据 950 | . label data "高管人数、持股相关数据 - From Shutter Zor" 951 | {txt} 952 | {com}. save "DataB-Hub/Data9.dta", replace 953 | {txt}file DataB-Hub/Data9.dta saved 954 | 955 | {com}. 956 | . *- 合并治理结构相关数据 957 | . // 2024/12/31 开始，取消 “仅保留合并上的结果，即取消 keep if _merge == 3” 958 | . use "DataB-Hub/Data7.dta", clear 959 | {txt}(股东股本相关数据 - From Shutter Zor) 960 | 961 | {com}. merge 1:1 STKCD YEAR using "DataB-Hub/Data8.dta" 962 | {res} 963 | {txt}{col 5}Result{col 38}# of obs. 964 | {col 5}{hline 41} 965 | {col 5}not matched{col 30}{res} 2,404 966 | {txt}{col 9}from master{col 30}{res} 3{txt} (_merge==1) 967 | {col 9}from using{col 30}{res} 2,401{txt} (_merge==2) 968 | 969 | {col 5}matched{col 30}{res} 59,091{txt} (_merge==3) 970 | {col 5}{hline 41} 971 | 972 | {com}. drop _merge 973 | {txt} 974 | {com}. merge 1:1 STKCD YEAR using "DataB-Hub/Data9.dta" 975 | {res} 976 | {txt}{col 5}Result{col 38}# of obs. 977 | {col 5}{hline 41} 978 | {col 5}not matched{col 30}{res} 4 979 | {txt}{col 9}from master{col 30}{res} 4{txt} (_merge==1) 980 | {col 9}from using{col 30}{res} 0{txt} (_merge==2) 981 | 982 | {col 5}matched{col 30}{res} 61,491{txt} (_merge==3) 983 | {col 5}{hline 41} 984 | 985 | {com}. drop _merge 986 | {txt} 987 | {com}. 988 | . *- 排序与保存数据 989 | . order STKCD YEAR BALANCE BOARD INDBOARD MHOLD TOP1 DUAL 990 | {txt} 991 | {com}. label data "治理结构相关变量6个 - From Shutter Zor" 992 | {txt} 993 | {com}. save "DataB-Hub/Data10.dta", replace 994 | {txt}file DataB-Hub/Data10.dta saved 995 | 996 | {com}. 997 | . /* 本部分生成的 Data10 用于后续合并 */ 998 | . /* BALANCE BOARD INDBOARD MHOLD TOP1 DUAL */ 999 | . 1000 | . // 结束时间记录： 1001 | . dis "`c(current_date)' `c(current_time)'" 1002 | {res}31 Dec 2024 12:12:32 1003 | {txt} 1004 | {com}. ******************************************************************************** 1005 | . 1006 | . 1007 | . 1008 | . ******************************************************************************** 1009 | . // 开始时间记录： 1010 | . dis "`c(current_date)' `c(current_time)'" 1011 | {res}31 Dec 2024 12:12:32 1012 | {txt} 1013 | {com}. 1014 | . *- 清洗财务指标分析相关数据 1015 | . /* 包含变量：BM TobinQ */ 1016 | . 1017 | . import excel using "DataA-Original/FI_T10.xlsx", first clear 1018 | {res}{text}(9 vars, 228,927 obs) 1019 | 1020 | {com}. labone, nrow(1 2) concat("_") 1021 | {txt} 1022 | {com}. drop in 1/2 1023 | {txt}(2 observations deleted) 1024 | 1025 | {com}. 1026 | . *- 仅保留年报数据 1027 | . keep if substr(Accper,6,2) == "12" 1028 | {txt}(169,237 observations deleted) 1029 | 1030 | {com}. 1031 | . *- 重命名变量 1032 | . rename (Stkcd ShortName F100901A F100902A F100903A F100904A F101001A F101002A) (STKCD STKNM TobinQ1 TobinQ2 TobinQ3 TobinQ4 BM1 BM2) 1033 | {res}{txt} 1034 | {com}. 1035 | . *- 生成变量 - 观测年份 YEAR 1036 | . gen YEAR = real(substr(Accper,1,4)) 1037 | {txt} 1038 | {com}. 1039 | . *- 生成变量 - 账面市值比 BM 与 托宾Q值 TobinQ 1040 | . destring BM* TobinQ*, replace 1041 | {txt}BM1: all characters numeric; {res}replaced {txt}as {res}double 1042 | {txt}BM2: all characters numeric; {res}replaced {txt}as {res}double 1043 | {txt}TobinQ1: all characters numeric; {res}replaced {txt}as {res}double 1044 | {txt}TobinQ2: all characters numeric; {res}replaced {txt}as {res}double 1045 | {txt}TobinQ3: all characters numeric; {res}replaced {txt}as {res}double 1046 | {txt}TobinQ4: all characters numeric; {res}replaced {txt}as {res}double 1047 | {txt} 1048 | {com}. 1049 | . *- 保留有效变量 1050 | . keep STKCD YEAR BM* TobinQ* 1051 | {txt} 1052 | {com}. 1053 | . *- 补充变量标签 1054 | . label var YEAR "观测年份" 1055 | {txt} 1056 | {com}. 1057 | . *- 保存数据 1058 | . label data "财务指标分析相关变量2个" 1059 | {txt} 1060 | {com}. save "DataB-Hub/Data11.dta", replace 1061 | {txt}file DataB-Hub/Data11.dta saved 1062 | 1063 | {com}. 1064 | . /* 本部分生成的 Data11 用于后续合并 */ 1065 | . /* BM TobinQ */ 1066 | . 1067 | . // 结束时间记录： 1068 | . dis "`c(current_date)' `c(current_time)'" 1069 | {res}31 Dec 2024 12:12:48 1070 | {txt} 1071 | {com}. ******************************************************************************** 1072 | . 1073 | . 1074 | . 1075 | . ******************************************************************************** 1076 | . // 开始时间记录： 1077 | . dis "`c(current_date)' `c(current_time)'" 1078 | {res}31 Dec 2024 12:12:48 1079 | {txt} 1080 | {com}. 1081 | . *- 清洗机构投资者相关数据 1082 | . /* 包含变量：INSTITUTION */ 1083 | . 1084 | . import excel using "DataA-Original/INI_HolderSystematics.xlsx", first clear 1085 | {res}{text}(4 vars, 226,092 obs) 1086 | 1087 | {com}. labone, nrow(1 2) concat("_") 1088 | {txt} 1089 | {com}. drop in 1/2 1090 | {txt}(2 observations deleted) 1091 | 1092 | {com}. 1093 | . *- 仅保留年报数据 1094 | . keep if substr(EndDate,6,2) == "12" 1095 | {txt}(165,609 observations deleted) 1096 | 1097 | {com}. 1098 | . *- 重命名变量 1099 | . rename (Symbol InsInvestorProp InsInvestorProp1) (STKCD INSTITUTION1 INSTITUTION2) 1100 | {res}{txt} 1101 | {com}. 1102 | . *- 生成变量 - 观测年份 YEAR 1103 | . gen YEAR = real(substr(EndDate,1,4)) 1104 | {txt} 1105 | {com}. 1106 | . *- 生成变量 - 机构投资者比例 INSTITUTION 1107 | . destring INSTITUTION*, replace 1108 | {txt}INSTITUTION1: all characters numeric; {res}replaced {txt}as {res}double 1109 | {txt}INSTITUTION2: all characters numeric; {res}replaced {txt}as {res}double 1110 | {txt}(411 missing values generated) 1111 | {res}{txt} 1112 | {com}. 1113 | . *- 保留有效变量 1114 | . keep STKCD YEAR INSTITUTION* 1115 | {txt} 1116 | {com}. 1117 | . *- 补充变量标签 1118 | . label var YEAR "观测年份" 1119 | {txt} 1120 | {com}. 1121 | . *- 保存数据 1122 | . label data "机构投资者相关变量1个" 1123 | {txt} 1124 | {com}. save "DataB-Hub/Data12.dta", replace 1125 | {txt}file DataB-Hub/Data12.dta saved 1126 | 1127 | {com}. 1128 | . /* 本部分生成的 Data12 用于后续合并 */ 1129 | . /* INSTITUTION */ 1130 | . 1131 | . // 结束时间记录： 1132 | . dis "`c(current_date)' `c(current_time)'" 1133 | {res}31 Dec 2024 12:12:55 1134 | {txt} 1135 | {com}. ******************************************************************************** 1136 | . 1137 | . 1138 | . 1139 | . ******************************************************************************** 1140 | . // 开始时间记录： 1141 | . dis "`c(current_date)' `c(current_time)'" 1142 | {res}31 Dec 2024 12:12:55 1143 | {txt} 1144 | {com}. 1145 | . *- 清洗分析师预测相关数据 1146 | . /* 包含变量：AUDIT */ 1147 | . 1148 | . import excel using "DataA-Original/AF_CFEATUREPROFILE.xlsx", first clear 1149 | {res}{text}(4 vars, 61,048 obs) 1150 | 1151 | {com}. labone, nrow(1 2) concat("_") 1152 | {txt} 1153 | {com}. drop in 1/2 1154 | {txt}(2 observations deleted) 1155 | 1156 | {com}. 1157 | . *- 仅保留年报数据 1158 | . keep if substr(Accper,6,2) == "12" 1159 | {txt}(0 observations deleted) 1160 | 1161 | {com}. 1162 | . *- 重命名变量 1163 | . rename (Stknmec Stkcd) (STKNM STKCD) 1164 | {res}{txt} 1165 | {com}. 1166 | . *- 生成变量 - 观测年份 YEAR 1167 | . gen YEAR = real(substr(Accper,1,4)) 1168 | {txt} 1169 | {com}. 1170 | . *- 生成变量 - 是否由四大会计师事务所审计 AUDIT 1171 | . gen AUDIT = 1 if Big4 == "Y" 1172 | {txt}(56,865 missing values generated) 1173 | 1174 | {com}. replace AUDIT = 0 if Big4 == "N" 1175 | {txt}(56,510 real changes made) 1176 | 1177 | {com}. 1178 | . *- 保留有效变量 1179 | . keep STKCD YEAR AUDIT 1180 | {txt} 1181 | {com}. 1182 | . *- 补充变量标签 1183 | . label var YEAR "观测年份" 1184 | {txt} 1185 | {com}. label var AUDIT "是否由四大会计师事务所审计" 1186 | {txt} 1187 | {com}. 1188 | . *- 保存数据 1189 | . duplicates drop STKCD YEAR, force 1190 | 1191 | {p 0 4}{txt}Duplicates in terms of {res} STKCD YEAR{p_end} 1192 | 1193 | {txt}(1 observation deleted) 1194 | 1195 | {com}. label data "分析师预测相关变量1个" 1196 | {txt} 1197 | {com}. save "DataB-Hub/Data13.dta", replace 1198 | {txt}file DataB-Hub/Data13.dta saved 1199 | 1200 | {com}. 1201 | . /* 本部分生成的 Data13 用于后续合并 */ 1202 | . /* AUDIT */ 1203 | . 1204 | . // 结束时间记录： 1205 | . dis "`c(current_date)' `c(current_time)'" 1206 | {res}31 Dec 2024 12:12:57 1207 | {txt} 1208 | {com}. ******************************************************************************** 1209 | . 1210 | . 1211 | . 1212 | . ******************************************************************************** 1213 | . // 开始时间记录： 1214 | . dis "`c(current_date)' `c(current_time)'" 1215 | {res}31 Dec 2024 12:12:57 1216 | {txt} 1217 | {com}. 1218 | . *- 清洗财务报告审计意见相关数据 1219 | . /* 包含变量：OPINION */ 1220 | . 1221 | . import excel using "DataA-Original/FIN_Audit.xlsx", first clear 1222 | {res}{text}(4 vars, 63,201 obs) 1223 | 1224 | {com}. labone, nrow(1 2) concat("_") 1225 | {txt} 1226 | {com}. drop in 1/2 1227 | {txt}(2 observations deleted) 1228 | 1229 | {com}. 1230 | . *- 仅保留年报数据 1231 | . keep if substr(Accper,6,2) == "12" 1232 | {txt}(1,700 observations deleted) 1233 | 1234 | {com}. 1235 | . *- 重命名变量 1236 | . rename (Stkcd Stknme) (STKCD STKNM) 1237 | {res}{txt} 1238 | {com}. 1239 | . *- 生成变量 - 观测年份 YEAR 1240 | . gen YEAR = real(substr(Accper,1,4)) 1241 | {txt} 1242 | {com}. 1243 | . *- 生成变量 - 是否由四大会计师事务所审计 AUDIT 1244 | . gen OPINION = 1 if Audittyp == "标准无保留意见" 1245 | {txt}(3,552 missing values generated) 1246 | 1247 | {com}. replace OPINION = 0 if Audittyp != "标准无保留意见" 1248 | {txt}(3,552 real changes made) 1249 | 1250 | {com}. 1251 | . *- 保留有效变量 1252 | . keep STKCD YEAR OPINION 1253 | {txt} 1254 | {com}. 1255 | . *- 补充变量标签 1256 | . label var YEAR "观测年份" 1257 | {txt} 1258 | {com}. label var OPINION "是否标准无保留意见" 1259 | {txt} 1260 | {com}. 1261 | . *- 保存数据 1262 | . label data "财务报告审计意见相关变量1个" 1263 | {txt} 1264 | {com}. save "DataB-Hub/Data14.dta", replace 1265 | {txt}file DataB-Hub/Data14.dta saved 1266 | 1267 | {com}. 1268 | . /* 本部分生成的 Data14 用于后续合并 */ 1269 | . /* OPINION */ 1270 | . 1271 | . // 结束时间记录： 1272 | . dis "`c(current_date)' `c(current_time)'" 1273 | {res}31 Dec 2024 12:13:00 1274 | {txt} 1275 | {com}. ******************************************************************************** 1276 | . 1277 | . 1278 | . 1279 | . ******************************************************************************** 1280 | . // 开始时间记录： 1281 | . dis "`c(current_date)' `c(current_time)'" 1282 | {res}31 Dec 2024 12:13:00 1283 | {txt} 1284 | {com}. 1285 | . *- 清洗股权性质相关数据 1286 | . /* 包含变量：SOE */ 1287 | . 1288 | . import excel using "DataA-Original/EN_EquityNatureAll.xlsx", first clear 1289 | {res}{text}(4 vars, 59,098 obs) 1290 | 1291 | {com}. labone, nrow(1 2) concat("_") 1292 | {txt} 1293 | {com}. drop in 1/2 1294 | {txt}(2 observations deleted) 1295 | 1296 | {com}. 1297 | . *- 仅保留年报数据 1298 | . keep if substr(EndDate,6,2) == "12" 1299 | {txt}(0 observations deleted) 1300 | 1301 | {com}. 1302 | . *- 重命名变量 1303 | . rename (Symbol ShortName) (STKCD STKNM) 1304 | {res}{txt} 1305 | {com}. 1306 | . *- 生成变量 - 观测年份 YEAR 1307 | . gen YEAR = real(substr(EndDate,1,4)) 1308 | {txt} 1309 | {com}. 1310 | . *- 生成变量 - 是否为国企 SOE 1311 | . gen SOE = 1 if EquityNature == "国企" 1312 | {txt}(36,522 missing values generated) 1313 | 1314 | {com}. replace SOE = 0 if EquityNature != "国企" 1315 | {txt}(36,522 real changes made) 1316 | 1317 | {com}. 1318 | . *- 保留有效变量 1319 | . keep STKCD YEAR SOE 1320 | {txt} 1321 | {com}. 1322 | . *- 补充变量标签 1323 | . label var YEAR "观测年份" 1324 | {txt} 1325 | {com}. label var SOE "是否为国企" 1326 | {txt} 1327 | {com}. 1328 | . *- 保存数据 1329 | . label data "股权性质相关变量1个" 1330 | {txt} 1331 | {com}. save "DataB-Hub/Data15.dta", replace 1332 | {txt}file DataB-Hub/Data15.dta saved 1333 | 1334 | {com}. 1335 | . /* 本部分生成的 Data15 用于后续合并 */ 1336 | . /* SOE */ 1337 | . 1338 | . // 结束时间记录： 1339 | . dis "`c(current_date)' `c(current_time)'" 1340 | {res}31 Dec 2024 12:13:02 1341 | {txt} 1342 | {com}. ******************************************************************************** 1343 | . 1344 | . 1345 | . 1346 | . 1347 | . 1348 | . ******************************************************************************** 1349 | . // 开始时间记录： 1350 | . dis "`c(current_date)' `c(current_time)'" 1351 | {res}31 Dec 2024 12:13:02 1352 | {txt} 1353 | {com}. 1354 | . /* 至此完成了所有数据变量的计算，接下来需要将所有内容完全合并 */ 1355 | . /* 文件位置：DataB-Hub 1356 | > Data1.dta: STKCD STKNM YEAR INDCD INDNM PROVCD PROVNM CITYCD CITYNM MARKET STATE AGE 1357 | > Data6.dta: CFO GROWTH LEV MFEE OCCUPY ROA ROE SIZE TAT 1358 | > Data10.dta: BALANCE BOARD INDBOARD MHOLD TOP1 DUAL 1359 | > Data11.dta: BM TobinQ 1360 | > Data12.dta: INSTITUTION 1361 | > Data13.dta: AUDIT 1362 | > Data14.dta: OPINION 1363 | > Data15.dta: SOE 1364 | > 总计： 33 种变量，其中 AGE、BM、CFO、TobinQ 含有多类 1365 | > */ 1366 | . 1367 | . *- 最终合并 1368 | . // 2024/12/31 开始，取消 “仅保留合并上的结果，即取消 keep if _merge == 3” 1369 | . use "DataB-Hub/Data1.dta", clear 1370 | {txt}(基本信息相关变量11+年龄 - From Shutter Zor) 1371 | 1372 | {com}. merge 1:1 STKCD YEAR using "DataB-Hub/Data6.dta" 1373 | {res}{txt}{p 0 7 2} 1374 | (note: variable 1375 | YEAR was 1376 | int, now float to accommodate using data's values) 1377 | {p_end} 1378 | 1379 | {col 5}Result{col 38}# of obs. 1380 | {col 5}{hline 41} 1381 | {col 5}not matched{col 30}{res} 4,376 1382 | {txt}{col 9}from master{col 30}{res} 7{txt} (_merge==1) 1383 | {col 9}from using{col 30}{res} 4,369{txt} (_merge==2) 1384 | 1385 | {col 5}matched{col 30}{res} 60,752{txt} (_merge==3) 1386 | {col 5}{hline 41} 1387 | 1388 | {com}. drop _merge 1389 | {txt} 1390 | {com}. merge 1:1 STKCD YEAR using "DataB-Hub/Data10.dta" 1391 | {res} 1392 | {txt}{col 5}Result{col 38}# of obs. 1393 | {col 5}{hline 41} 1394 | {col 5}not matched{col 30}{res} 3,633 1395 | {txt}{col 9}from master{col 30}{res} 3,633{txt} (_merge==1) 1396 | {col 9}from using{col 30}{res} 0{txt} (_merge==2) 1397 | 1398 | {col 5}matched{col 30}{res} 61,495{txt} (_merge==3) 1399 | {col 5}{hline 41} 1400 | 1401 | {com}. drop _merge 1402 | {txt} 1403 | {com}. merge 1:1 STKCD YEAR using "DataB-Hub/Data11.dta" 1404 | {res} 1405 | {txt}{col 5}Result{col 38}# of obs. 1406 | {col 5}{hline 41} 1407 | {col 5}not matched{col 30}{res} 5,440 1408 | {txt}{col 9}from master{col 30}{res} 5,440{txt} (_merge==1) 1409 | {col 9}from using{col 30}{res} 0{txt} (_merge==2) 1410 | 1411 | {col 5}matched{col 30}{res} 59,688{txt} (_merge==3) 1412 | {col 5}{hline 41} 1413 | 1414 | {com}. drop _merge 1415 | {txt} 1416 | {com}. merge 1:1 STKCD YEAR using "DataB-Hub/Data12.dta" 1417 | {res} 1418 | {txt}{col 5}Result{col 38}# of obs. 1419 | {col 5}{hline 41} 1420 | {col 5}not matched{col 30}{res} 4,693 1421 | {txt}{col 9}from master{col 30}{res} 4,670{txt} (_merge==1) 1422 | {col 9}from using{col 30}{res} 23{txt} (_merge==2) 1423 | 1424 | {col 5}matched{col 30}{res} 60,458{txt} (_merge==3) 1425 | {col 5}{hline 41} 1426 | 1427 | {com}. drop _merge 1428 | {txt} 1429 | {com}. merge 1:1 STKCD YEAR using "DataB-Hub/Data13.dta" 1430 | {res} 1431 | {txt}{col 5}Result{col 38}# of obs. 1432 | {col 5}{hline 41} 1433 | {col 5}not matched{col 30}{res} 4,674 1434 | {txt}{col 9}from master{col 30}{res} 4,390{txt} (_merge==1) 1435 | {col 9}from using{col 30}{res} 284{txt} (_merge==2) 1436 | 1437 | {col 5}matched{col 30}{res} 60,761{txt} (_merge==3) 1438 | {col 5}{hline 41} 1439 | 1440 | {com}. drop _merge 1441 | {txt} 1442 | {com}. merge 1:1 STKCD YEAR using "DataB-Hub/Data14.dta" 1443 | {res} 1444 | {txt}{col 5}Result{col 38}# of obs. 1445 | {col 5}{hline 41} 1446 | {col 5}not matched{col 30}{res} 3,936 1447 | {txt}{col 9}from master{col 30}{res} 3,936{txt} (_merge==1) 1448 | {col 9}from using{col 30}{res} 0{txt} (_merge==2) 1449 | 1450 | {col 5}matched{col 30}{res} 61,499{txt} (_merge==3) 1451 | {col 5}{hline 41} 1452 | 1453 | {com}. drop _merge 1454 | {txt} 1455 | {com}. merge 1:1 STKCD YEAR using "DataB-Hub/Data15.dta" 1456 | {res} 1457 | {txt}{col 5}Result{col 38}# of obs. 1458 | {col 5}{hline 41} 1459 | {col 5}not matched{col 30}{res} 6,339 1460 | {txt}{col 9}from master{col 30}{res} 6,339{txt} (_merge==1) 1461 | {col 9}from using{col 30}{res} 0{txt} (_merge==2) 1462 | 1463 | {col 5}matched{col 30}{res} 59,096{txt} (_merge==3) 1464 | {col 5}{hline 41} 1465 | 1466 | {com}. drop _merge 1467 | {txt} 1468 | {com}. 1469 | . *- 排序与保存数据 1470 | . order STKCD STKNM YEAR INDCD INDNM PROVCD PROVNM CITYCD CITYNM MARKET STATE AGE1 AGE2 BALANCE BM1 BM2 BOARD CFO1 CFO2 GROWTH INDBOARD INSTITUTION1 INSTITUTION2 LEV MFEE MHOLD OCCUPY ROA ROE SIZE TAT TobinQ1 TobinQ2 TobinQ3 TobinQ4 TOP1 AUDIT DUAL OPINION SOE 1471 | {txt} 1472 | {com}. 1473 | . label data "Commonly used control variables (2001-2023) by Shutter Zor (Shutter_Z@outlook)." 1474 | {txt} 1475 | {com}. save ControlVarsDetail.dta, replace 1476 | {txt}file ControlVarsDetail.dta saved 1477 | 1478 | {com}. 1479 | . // 结束时间记录： 1480 | . dis "`c(current_date)' `c(current_time)'" 1481 | {res}31 Dec 2024 12:13:02 1482 | {txt} 1483 | {com}. ******************************************************************************** 1484 | . log close _all 1485 | {txt}name: {res}ShutterZorADXMU20241231 1486 | {txt}log: {res}F:\Doctor\GitHub Repos\Commonly-Used-Control-Variables\CSMAR CtrlVars Cleaning Log.smcl 1487 | {txt}log type: {res}smcl 1488 | {txt}closed on: {res}31 Dec 2024, 12:13:02 1489 | {txt}{.-} 1490 | {smcl} 1491 | {txt}{sf}{ul off} -------------------------------------------------------------------------------- /ControlVarsDetail.dta: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ShutterZor/Commonly-Used-Control-Variables/d838158b47a09dc38af7891c83e705e833e1d856/ControlVarsDetail.dta -------------------------------------------------------------------------------- /Image/Figure2.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ShutterZor/Commonly-Used-Control-Variables/d838158b47a09dc38af7891c83e705e833e1d856/Image/Figure2.png 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But first, please read 674 | . 675 | -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- 1 | # CSMAR-上市公司实证常用控制变量 2 | 3 | ## 1. 样本概况 4 | 5 | **上市公司：** 6 | 7 | - 全部A股 8 | - 上证A股、深证A股、北证A股、上证主板A股、深圳主板A股、科创板、创业板 9 | - 全部B股： 10 | - 上证B股、深证B股 11 | 12 | **时间范围：** 13 | 14 | 2001 - 2023（含2001与2023） 15 | 16 | **包含变量：** 17 | 18 | - 11个基本信息变量 19 | - 22个常用控制变量，其中连续变量18个，虚拟变量4个 20 | 21 | ## 2. 常用控制变量明细（ControlVarsDetail.dta）2001-2023 22 | 23 | | 变量 | 定义 | 备注 | 24 | | ------------ | :---------------------------------------------------------- | :----------------------------------------------------------- | 25 | | **基本信息** | | | 26 | | STKCD | 证券代码 | | 27 | | STKNM | 证券简称 | | 28 | | YEAR | 观测年份 | | 29 | | INDCD | 行业代码 | 证监会2012行业分类标准 | 30 | | INDNM | 行业名称 | 证监会2012行业分类标准 | 31 | | PROVCD | 省份代码 | | 32 | | PROVNM | 省份名称 | | 33 | | CITYCD | 城市代码 | | 34 | | CITYNM | 城市名称 | | 35 | | MARKET | 股票市场板块 | 依据股票代码划分，详情见[划分释义](#释义) | 36 | | STATE | 上市状态 | | 37 | | **连续变量** | | | 38 | | AGE | [企业年龄](#企业年龄)，企业从成立或上市到观测年份的年数 | 公司研究系列👉上市公司基本信息👉上市公司基本信息年度表 | 39 | | BALANCE | 股权制衡度，第二到第五大股东持股比例之和/第一大股东持股比例 | *公司研究系列👉股东👉股东信息👉十大股东文件* (注：本指标起始年份为2003年6月30日) | 40 | | BM | [账面市值比](#账面市值比)，账面价值/[市场价值](#市场价值) | 公司研究系列👉财务指标分析👉相对价值指标 | 41 | | BOARD | 董事规模，董事会人数的自然对数 | 公司研究系列👉治理结构👉高管动态👉高管人数、持股及薪酬情况表 | 42 | | CFO | 现金流状况，经营活动产生的现金流量净额/总资产 | 公司研究系列👉财务报表👉现金流量表&资产负债表 | 43 | | GROWTH | 营业收入增长率，营业收入的年度增长率 | 公司研究系列👉财务报表👉利润表 | 44 | | INDBOARD | 独立董事占比，独董人数/董事会人数 | 公司研究系列👉治理结构👉高管动态👉高管人数、持股及薪酬情况表 | 45 | | INSTITUTION | 机构持股比例，机构投资者持有股份/总股数 | 公司研究系列👉机构投资者👉机构持股分类统计表 | 46 | | LEV | 资产负债率，总负债/总资产 | 公司研究系列👉财务报表👉资产负债表 | 47 | | MFEE | 管理层费用率，管理费用/营业收入 | 公司研究系列👉财务报表👉利润表 | 48 | | MHOLD | 管理层持股比例，董事、监事以及高管持股总数/总股数 | 公司研究系列👉治理结构👉高管动态 (高管人数、持股及薪酬情况表) &股东股本 (股本结构文件) | 49 | | OCCUPY | 大股东资金占用，其他应收款/总资产 | 公司研究系列👉财务报表👉资产负债表 | 50 | | ROA | 总资产收益率，净利润/总资产 | 公司研究系列👉财务报表👉利润表&资产负债表 | 51 | | ROE | 净资产收益率，净利润/净资产(所有者权益) | 公司研究系列👉财务报表👉利润表&资产负债表 | 52 | | SIZE | 公司规模，总资产的自然对数 | 公司研究系列👉财务报表👉资产负债表 | 53 | | TAT | 总资产周转率，营业收入/总资产 | 公司研究系列👉财务报表👉利润表&资产负债表 | 54 | | TobinQ | 托宾Q值，[企业的托宾Q值](#托宾Q值) | 公司研究系列👉财务指标分析👉相对价值指标 | 55 | | TOP1 | 第一大股东持股比例，第一大股东持股数量/总股数 | 公司研究系列👉治理结构👉股东股本👉十大股东文件 | 56 | | **虚拟变量** | | | 57 | | AUDIT | 是否由四大会计师事务所审计，是则取1，否则取0 | 公司研究系列👉分析师预测👉上司公司基本情况👉上市公司基本信息特色指标表 | 58 | | DUAL | 董事长与总经理是否为同一人，是则取1，否则取0 | 公司研究系列👉治理结构👉基本数据👉治理综合信息文件 | 59 | | OPINION | 审计意见是否为标准无保留意见，是则取1，否则取0 | 公司研究系列👉财务报告审计意见👉基本数据👉审计意见表文件 | 60 | | SOE | 企业股东性质是否为国有企业，是则取1，否则取0 | 公司研究系列👉股权性质👉中国上市公司股权性质文件 (注：本指标起始年份为2003年12月31日) | 61 | 62 | ### 释义 63 | 64 | **A股：** 人民币普通股票，在中国大陆注册、在中国大陆上市的普通股票，以人民币认购和交易。A股与具体的股票代码的对应关系如下： 65 | 66 | - 00开头，深证主板A股；30开头，深证创业板 67 | - 60开头，上证主板A股；68开头，上证科创版 68 | - 43、83、87开头，北证A股 69 | 70 | **B股：** 71 | 72 | - 20开头，深证B股 73 | - 90开头，上证B股 74 | 75 | ### 企业年龄 76 | 77 | 1. AGE1 = 企业从成立年份到观测年份的年龄 78 | 2. AGE2 = 企业从上市年份到观测年份的年龄 79 | 80 | ### 市场价值 81 | 82 | 1. 市值A = A股\*今收盘价A股当期值 + 境内上市的外资股B股\*今收盘价B股当期值(沪市\*CNY_USD, 深市/HKD_CNY, 转化为人民币) + (总股数-人民币普通股-境内上市的外资股B股) \* (所有者权益合计期末值/实收资本本期期末值) + 负债合计本期期末值 83 | 2. 市值B = (总股本-境内上市的外资股B股) \* 今收盘价A股当期值 + 境内上市的外资股B股 \* 今收盘价B股当期值(沪市\*CNY_USD, 深市/HKD_CNY, 转化为人民币) + 负债合计本期期末值 84 | 85 | ### 账面市值比 86 | 87 | 1. 账面市值比A = 资产总计 / 市值A 88 | 2. 账面市值比A = 资产总计 / 市值B 89 | 90 | ### 托宾Q值 91 | 92 | 1. 托宾Q值A = 市值A / 资产总计 93 | 2. 托宾Q值B = 市值A / (资产总计-无形资产净额-商誉净额) 94 | 3. 托宾Q值C = 市值B / 资产总计 95 | 4. 托宾Q值D = 市值B / (资产总计-无形资产净额-商誉净额) 96 | 97 | ## 3. 常用控制变量明细（ControlVarsDetail.dta）2024版 98 | 99 | | 变量 | 定义 | 备注 | 100 | | ------------ | :---------------------------------------------------------- | :----------------------------------------------------------- | 101 | | **基本信息** | | | 102 | | STKCD | 证券代码 | | 103 | | STKNM | 证券简称 | | 104 | | YEAR | 观测年份 | | 105 | | INDCD | 行业代码 | 证监会2012行业分类标准 | 106 | | INDNM | 行业名称 | 证监会2012行业分类标准 | 107 | | PROVCD | 省份代码 | | 108 | | PROVNM | 省份名称 | | 109 | | CITYCD | 城市代码 | | 110 | | CITYNM | 城市名称 | | 111 | | MARKET | 股票市场板块 | 依据股票代码划分，详情见[划分释义](#释义) | 112 | | STATE | 上市状态 | | 113 | | **连续变量** | | | 114 | | AGE | [企业年龄](#企业年龄)，企业从成立或上市到观测年份的年数 | 公司研究系列👉上市公司基本信息👉上市公司基本信息年度表 | 115 | | BALANCE | 股权制衡度，第二到第五大股东持股比例之和/第一大股东持股比例 | 公司研究系列👉治理结构👉股东股本👉十大股东文件 | 116 | | BM | [账面市值比](#账面市值比)，账面价值/[市场价值](#市场价值) | 公司研究系列👉财务指标分析👉相对价值指标 | 117 | | BOARD | 董事规模，董事会人数的自然对数 | 公司研究系列👉治理结构👉高管动态👉高管人数、持股及薪酬情况表 | 118 | | CFO | 现金流状况，经营活动产生的现金流量净额/总资产 | 公司研究系列👉财务报表👉现金流量表&资产负债表 | 119 | | GROWTH | 营业收入增长率，营业收入的年度增长率 | 公司研究系列👉财务报表👉利润表 | 120 | | INDBOARD | 独立董事占比，独董人数/董事会人数 | 公司研究系列👉治理结构👉高管动态👉高管人数、持股及薪酬情况表 | 121 | | INSTITUTION | 机构持股比例，机构投资者持有股份/总股数 | 公司研究系列👉机构投资者👉机构持股分类统计表 | 122 | | LEV | 资产负债率，总负债/总资产 | 公司研究系列👉财务报表👉资产负债表 | 123 | | MFEE | 管理层费用率，管理费用/营业收入 | 公司研究系列👉财务报表👉利润表 | 124 | | MHOLD | 管理层持股比例，董事、监事以及高管持股总数/总股数 | 公司研究系列👉治理结构👉高管动态 (高管人数、持股及薪酬情况表) &股东股本 (股本结构文件) | 125 | | OCCUPY | 大股东资金占用，其他应收款/总资产 | 公司研究系列👉财务报表👉资产负债表 | 126 | | ROA | 总资产收益率，净利润/总资产 | 公司研究系列👉财务报表👉利润表&资产负债表 | 127 | | ROE | 净资产收益率，净利润/净资产(所有者权益) | 公司研究系列👉财务报表👉利润表&资产负债表 | 128 | | SIZE | 公司规模，总资产的自然对数 | 公司研究系列👉财务报表👉资产负债表 | 129 | | TAT | 总资产周转率，营业收入/总资产 | 公司研究系列👉财务报表👉利润表&资产负债表 | 130 | | TobinQ | 托宾Q值，[企业的托宾Q值](#托宾Q值) | 公司研究系列👉财务指标分析👉相对价值指标 | 131 | | TOP1 | 第一大股东持股比例，第一大股东持股数量/总股数 | 公司研究系列👉治理结构👉股东股本👉十大股东文件 | 132 | | **虚拟变量** | | | 133 | | AUDIT | 是否由四大会计师事务所审计，是则取1，否则取0 | 公司研究系列👉分析师预测👉上司公司基本情况👉上市公司基本信息特色指标表 | 134 | | DUAL | 董事长与总经理是否为同一人，是则取1，否则取0 | 公司研究系列👉治理结构👉基本数据👉治理综合信息文件 | 135 | | OPINION | 审计意见是否为标准无保留意见，是则取1，否则取0 | 公司研究系列👉财务报告审计意见👉基本数据👉审计意见表文件 | 136 | | SOE | 企业股东性质是否为国有企业，是则取1，否则取0 | 公司研究系列👉股权性质👉中国上市公司股权性质文件 | 137 | 138 | ### 释义 139 | 140 | **A股：** 人民币普通股票，在中国大陆注册、在中国大陆上市的普通股票，以人民币认购和交易。A股与具体的股票代码的对应关系如下： 141 | 142 | - 00开头，深证主板A股；30开头，深证创业板 143 | - 60开头，上证主板A股；68开头，上证科创版 144 | - 43、83、87开头，北证A股 145 | 146 | **B股：** 147 | 148 | - 20开头，深证B股 149 | - 90开头，上证B股 150 | 151 | ### 企业年龄 152 | 153 | 1. AGE1 = 企业从成立年份到观测年份的年龄 154 | 2. AGE2 = 企业从上市年份到观测年份的年龄 155 | 156 | ### 市场价值 157 | 158 | 1. 市值A = A股\*今收盘价A股当期值 + 境内上市的外资股B股\*今收盘价B股当期值(沪市\*CNY_USD, 深市/HKD_CNY, 转化为人民币) + (总股数-人民币普通股-境内上市的外资股B股) \* (所有者权益合计期末值/实收资本本期期末值) + 负债合计本期期末值 159 | 2. 市值B = (总股本-境内上市的外资股B股) \* 今收盘价A股当期值 + 境内上市的外资股B股 \* 今收盘价B股当期值(沪市\*CNY_USD, 深市/HKD_CNY, 转化为人民币) + 负债合计本期期末值 160 | 161 | ### 账面市值比 162 | 163 | 1. 账面市值比A = 资产总计 / 市值A 164 | 2. 账面市值比A = 资产总计 / 市值B 165 | 166 | ### 托宾Q值 167 | 168 | 1. 托宾Q值A = 市值A / 资产总计 169 | 2. 托宾Q值B = 市值A / (资产总计-无形资产净额-商誉净额) 170 | 3. 托宾Q值C = 市值B / 资产总计 171 | 4. 托宾Q值D = 市值B / (资产总计-无形资产净额-商誉净额) 172 | 173 | ## 4. 在Stata中调用数据 174 | 175 | 打开Stata，输入如下代码调用数据（**实测GitHub慢但稳定，Gitee快但不稳定**）。 176 | 177 | ```Stata 178 | *- 从 Gitee 调用数据 179 | copy "https://gitee.com/Shutter_Zor/Commonly-Used-Control-Variables/raw/main/ControlVarsDetail.dta" "ControlVarsDetail.dta" 180 | use "ControlVarsDetail.dta", clear 181 | *- 或者 182 | use "https://gitee.com/Shutter_Zor/Commonly-Used-Control-Variables/raw/main/ControlVarsDetail.dta" 183 | 184 | *- 从 GitHub 调用数据 185 | copy "https://github.com/ShutterZor/Commonly-Used-Control-Variables/raw/main/ControlVarsDetail.dta" "ControlVarsDetail.dta" 186 | use "ControlVarsDetail.dta", clear 187 | *- 或者 188 | use "https://github.com/ShutterZor/Commonly-Used-Control-Variables/raw/main/ControlVarsDetail.dta" 189 | ``` 190 | 191 | 如果出现`file not found`之类的错误，意味着网络连接不通畅，可直接将链接复制到浏览器下载。建议开梯子用GitHub的方法下载。 192 | 193 | 数据描述： 194 | 195 | ![](Image/Figure2.png) 196 | 197 | 接下来只需要保存到本地就行，比如：`save controls.dta, replace`。 198 | 199 | --------------------------------------------------------------------------------