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8. Download Insider Forms.R
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8. Download Insider Forms.R
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###############################################################################
#################### Setting up ###############################################
###############################################################################
### folder with Parsed Forms
out_dir <- "/Users/evolkova/Dropbox/DataY/Blocks/Parsed Forms/"
### folder with Parsed Forms
ins_dir <- "/Users/evolkova/Dropbox/DataY/Blocks/Insider_Filings/"
### path to CRSP-Compustat merged file
crsp_comp_path <- "/Users/evolkova/Dropbox/DataY/Compustat/crsp_compustat_1990_2021.csv"
crsp_msf_path <- "/Users/evolkova/Dropbox/DataY/CRSP/MSF/CRSP_MSF.csv"
last_year <- 2021
redo <- F ### do we need to re-do insider master file?
require(pacman)
p_load(data.table, lubridate, dplyr, stringr, Hmisc, httr, rvest, magrittr, parallel)
### annual file
annual <- fread(paste0(out_dir, "annual.csv"))
### crsp file
comp <- fread(crsp_comp_path, select = c("LPERMNO", "cik", "fyear"))
### compustat file
crsp <- fread(crsp_msf_path, select = c("PERMNO", "SHROUT", "date", "RET"))
crsp$cik <- comp$cik[match(crsp$PERMNO, comp$LPERMNO)]
crsp <- crsp %>%
filter(!is.na(cik)) %>%
filter(!is.na(SHROUT)) %>%
filter(date >= 19940101) %>%
mutate(date = ymd(date)) %>%
mutate(year_month = floor_date(date, unit = "month"))
###############################################################################
###################### Download master insider ###############################
###############################################################################
start_date <- annual$DATE %>% ymd %>% min %>% floor_date("quater")
end_date <- annual$DATE %>% max
dates <- seq(start_date, end_date, by = "quarters")
qtr.master.file <- function(date) {
master.link <- paste0("https://www.sec.gov/Archives/edgar/full-index/", year(date), "/QTR", quarter(date), "/master.idx")
print(sprintf("Downloading master file for quarter %d of year %s...", quarter(date), year(date)))
download.file(master.link, paste0(out_dir, "tmp.txt"),
headers = c("User-Agent" = "Ekaterina Volkova [email protected]")
)
master <- paste0(out_dir, "tmp.txt") %>%
readLines() %>%
gsub("#", "", .) %>%
paste0(collapse = "\n") %>%
fread(sep = "|", skip = 11) %>%
`colnames<-`(c("cik", "name", "type", "date", "link")) %>%
filter(grepl(form_type, type)) %>%
mutate(link = paste0("https://www.sec.gov/Archives/", link)) %>%
mutate(file = gsub(".*/", "", link))
closeAllConnections()
file.remove(paste0(out_dir, "tmp.txt"))
return(master)
}
form_type <- "^3$|^4$|^5$"
if(redo == T) {
master <- lapply(dates, qtr.master.file) %>% rbindlist %>% mutate(year = year(ymd(date)))
saveRDS(master, paste0(out_dir, "master_insider.rds"))
}
if(redo == F) master <- readRDS(paste0(out_dir, "master_insider.rds"))
###############################################################################
###################### Download master insider ###############################
###############################################################################
get_insider_trades <- function(cik){
filename <- paste0(ins_dir, cik, ".csv")
if(file.exists(filename)) {
#return(0)
initial_ownership <- fread(filename)
if(dim(initial_ownership)[1] < 2) initial_ownership <- NULL
start_date <- max(initial_ownership[[2]])
if(is.na(start_date) | is.infinite(start_date)) start_date <- ymd("19940101")
initial_ownership[[2]] <- as.character(initial_ownership[[2]])
}
print(cik)
if(!file.exists(filename)) {
initial_ownership <- NULL
start_date <- ymd("19940101")
}
page <- cik %>%
sprintf("%08d",.) %>%
paste0("https://www.sec.gov/cgi-bin/own-disp?action=getissuer&CIK=",.) %>%
read_html
ownership <- page %>%
html_table %>%
extract2(8) %>%
data.table %>% try
if(max(grepl("try-error",class(ownership))) == T) {
ownership <- data.table("NULL")
#fwrite(initial_ownership, filename)
return(0)
}
ownership <- ownership[which(ownership[[2]] %>% ymd > start_date)]
min_date <- ownership[[2]] %>% ymd %>% min(.,na.rm = T)
if(is.na(min_date) | is.infinite(min_date)) return(initial_ownership)
next80 <- page %>% html_node("form") %>% as.character
#& min_date >= start_date
while(max(grepl("Next 80", next80)) == T & min_date > start_date){
next80 <- next80[grepl("Next 80", next80)]
next80 <- gsub(".*/cgi-bin/", "https://www.sec.gov/cgi-bin/", next80)
next80 <- gsub("'\\\\.*", '', next80)
next80 <- gsub("'.*", "", next80)
page <- next80 %>% read_html
tmp <- try(page %>%
html_table %>%
extract2(8) %>%
data.table)
if(max(class(tmp) == "try-error") == T) tmp <- NULL
tmp <- tmp[ymd(tmp[[2]]) > start_date]
min_date <- tmp[[2]] %>% ymd %>% min(.,na.rm = T)
if(is.na(min_date) | is.infinite(min_date)) break
ownership <- rbind(ownership, tmp)
next80 <- page %>% html_node("form") %>% as.character
}
for(i in 1:dim(ownership)[2]) ownership[[i]] <- ownership[[i]] %>% as.character
for(i in 1:dim(initial_ownership)[2]) initial_ownership[[i]] <- initial_ownership[[i]] %>% as.character
ownership <- rbind(ownership, initial_ownership)
return(ownership)
fwrite(ownership, filename)
}
### collect all
ciks <- master[cik %in% crsp$cik]$cik %>% unique %>% sort
x <- lapply(ciks, get_insider_trades)