To extract the information from these tables, all rows that contained the CUSIP of an official 13(f) security were kept. Others switch the ordering of the columns, omit certain columns, or provide extraneous ones (such as price). Some tables are formatted as fixed-width, while others are comma- or tab-separated. Prior to 2013Q2, there is remarkable heterogeneity in the format and content of the information tables.After 2013Q2, the SEC required that all filings must be submitted in XML format, which makes this step straightforward.Parse the information table into a machine-readable format.This information table (usually) contains the security name, type of security, CUSIP, position value, and number of shares held, among other fields. Extract the information table in plain text.This includes the name, central index key (CIK), address, and phone number of the institutional investment manager. Extract biographical information about the investment manager.These include amended filings (13F-A), in which managers update existing filings with omitted holdings, and notices (13F-NT), in which managers state that the applicable securities appear on someone else’s report. Because of possible errors in this process, gaps are filled in using the previous quarter’s list of 13(f) securities. Prior to 2004, the lists are scanned archives, so CUSIPs are extracted using optical character recognition (OCR) to get an exhaustive list of all CUSIPs for each quarter. Extract the list of official 13(f) Securities for each quarter.There are six main steps to processing the data: All intermediate and final output is available on Dropbox. The repository with all code used in this process can be found on GitHub. This page describes the process of downloading, parsing, and compiling all 13F filings (including amended filings) on EDGAR from 1999 through the end of 2020. I provide open-source access to this data directly from SEC’s EDGAR, which makes these filings publicly available as they are submitted. These data are usually gathered from third-party vendors, such as Thomson-Reuters and FactSet. ![]() More information about the requirements and information contained in Form 13F can be found on the SEC’s website. These data are required to be submitted quarterly for all institutional investment managers overseeing at least $100 million in official 13(f) securities, which primarily include U.S. Form 13F Data | Institutional Holdings (Form 13F) Data Institutional Holdings (Form 13F) Data Automated parsing of Form 13F filings directly from EDGAR View on GitHub Form 13F Dataįorm 13F data have been used widely in finance among both academic researchers and practitioners.
0 Comments
Leave a Reply. |
AuthorWrite something about yourself. No need to be fancy, just an overview. ArchivesCategories |